Australian Market Neutral

This strategy aims to deliver stable long-term absolute returns above the RBA cash rate, with relatively low levels of risk and volatility, by actively investing in Australian companies.

INVESTMENT UNIVERSE

1000+ Australian stocks (includes ex-index stocks to maximise the opportunity set).

RETURN FORECAST

Daily analysis at stock-specific, peer group, and macro level results in objective risk and return forecast

PORTFOLIO CONSTRUCTION & TRADING

Forecasts enter proprietary portfolio optimisation system, weighing expected return against risk, liquidity and T-costs

Financial assets are often mispriced due to behavioural errors, such as incorrectly processing information or acting on incomplete information.

Top-performing companies display many qualities. Their success is multi-faceted and cannot be attributed to any single factor.

Market inefficiencies and attractive opportunities are best captured using systematic processes.

Curated application of artificial intelligence (AI) and machine learning (ML) technology can help extract pertinent information from large, complex datasets.

Investment processes must be dynamic and adapt to changes in investor behaviour and the investment environment.

CCAT’s edge comes from embracing innovative ideas and continuously investing in people, technology, and data.

Why market neutral?

Market-neutral is a type of long/short strategy that aims to generate smoother, active returns in different market environments conditions.
Market-neutral strategies have a low correlation to traditional asset classes, providing portfolio diversification benefits.
Our strategy actively harvests franking credits as a key source of return.
We systematically forecasts the timing and quantity of future franking credit payments using data like historical dividends payments and franking ratios.

Parameters

Targeted Annualized Volatility	4 - 5%
Targeted Beta	0
Max Position Size	135 BPS
Number of Holdings	250 - 300
Gross Exposure	160 - 200%

*Typical Portfolio

As of March 2024

	Composite (Gross)	Composite (Net)	RBA Cash Rate	Value-Added(Gross) vs. Benchmark	Franking Credits***	Value-Added (Composite (Gross) + Franking Credits) Vs. Benchmark***
One Month Return	1.0	0.8	0.4	0.6	0.2	0.9
Three Month Return	2.8	2.3	1.1	1.7	0.4	2.1
Year-to-Date Return	2.8	2.3	1.1	1.7	0.4	2.1
One Year Annualized Return	5.4	4.6	4.2	1.2	1.2	2.4
Three Year Annualized Return	6.2	4.7	2.1	4.1	1.4	5.4
Five Year Annualized Return	4.0	2.7	1.5	2.5	1.2	3.7
Since-Inception Annualized Return	4.0	2.7	1.6	2.4	1.2	3.6
Since-Inception Annualized Standard Deviation and Active Risk	4.4	3.9	0.3	4.1
Since-Inception Sharpe Ratio	0.5	0.2

*Returns that include the most recent month are preliminary. **The Net Asset Value for this product is calculated on a monthly basis. In the absence of daily net of fee returns, CCAT presents daily statistics gross of fees of a representative portfolio with the goal of providing increased transparency into the daily risk profile of our investment process. Up and down markets are defined by the performance of the S&P/ASX 300 Index. ***Where decisions around franking credits are made, they are made assuming a 0% tax investor. Franking Credit data presented here is for a representative portfolio and is supplemental to the composite performance disclosure page attached. CCAT Partnership Capital INC claims compliance with the Global Investment Performance Standards (GIPS®). GIPS® is a registered trademark of CFA Institute. CFA Institute does not endorse or promote this organization, nor does it warrant the accuracy or quality of the content contained herein. Reference to the benchmark is for comparative purposes only and is not intended to indicate that the composite will contain the same investments as the benchmark. Investors have the opportunity for losses as well as profits. Past performance is no guarantee of future results. The complete performance disclosure can be found in the composite performance disclosure page attached. Index Source: RBA Cash Rate.

Current Positioning Sector *

As of March 2024

Market Neutral 1 Q1 2024

**The data presented here is representative of the portfolio’s holdings in the CCAT Australian Equity Market Neutral Fund and is supplemental to the co mpo site performance disclosure page attached.
*** Current Positioning displayed as daily asset weighted average values over the monthly period. Investors have the opportunity for losses as well as profits. Past performance is no guarantee of future returns. The actual taxation benefit will vary depending on the investor’s tax status.

Parameters* **

Current Positioning**

*The volatility exposure is to CCAT’s volatility score, which is based on a stock’s trailing 60-day realized volatility. The volatility score has a close-to-normal distribution. A 1% exposure to the volatility score amounts to the longs having 0.2% more annualized volatility than the shorts. The strategy does not have a meaningful volatility tilt.
**The data presented here is representative of the portfolio’s holdings in the CCAT Australian Equity Market Neutral Fund and is supplemental to the composite performance disclosure page attached.

Quarterly Factsheet

Strategy Document

CCAT Asset Management (Australia) Limited (“CCAT Australia”) ABN 41 114 200 127 is the holder of Australian financial services license ("AFSL") number 291872. It is also registered as an investment adviser with the U.S. Securities and Exchange Commission ("SEC"). Under the terms of its AFSL, CCAT Australia is limited to providing the financial services under its license to wholesale clients only.
CCAT Australia is a wholly owned subsidiary of CCAT Partnership Capital INC (“CCAT”), a U.S. registered investment adviser regulated by the U.S. SEC. CCAT is exempt from the requirement to hold an AFSL under the Corporations Act 2001 (Cth) ("Corporations Act"). CCAT is regulated by the SEC under United States of America laws, which differ from Australian laws. This website is intended only to provide a summary of the subject matter covered. It does not purport to be comprehensive or to provide legal, taxation or other advice on the subject matter. No reader should act on the basis of any matter contained in this website without first obtaining specific professional advice.
The information on this web page is provided to you because CCAT Australia reasonably believes that you are a "wholesale client" within the meaning of that term under the Corporations Act and not any other class of persons. This information is not an advertisement and is not intended to induce retail clients to invest in any product. Retail clients who are interested in products referenced on this website should contact their financial adviser.
In Australia ‘Colonial’, ‘Colonial First State’, and ‘CFS’ are trademarks of Colonial Holding Company Limited and all of these trademarks are used on this website with consent.