LOM Quantedge Fund

Fund Overview

Burnaby QGF Fund is a class of participating shares established by Burnaby Special Funds SAC Ltd, a segregated accounts company incorporated and regulated in Bermuda.   Burnaby QGF Fund is feeder fund which invests solely in Quantedge Global Fund (Offshore), a Cayman incorporated hedge fund.

The Quantedge fund’s track record over the last 10 years makes it one of the most successful hedge funds as ranked by Bloomberg, AsiaHedge and Barrons.**

  • Top performing track record
  • Relatively low market correlation
  • 24% annualised return
  • Dynamic asset allocation
  • Ultra diversification

Based in Singapore and New York, Quantedge Capital is an alternative investment asset manager.  Quantedge uses a quantitative global macro discipline that uses statistical models to invest across geographical regions and multiple asset classes which include equities, bonds, commodities, currencies, credit, real estate and reinsurance.

Quantedge’s investment philosophy is that risk premiums exist in all markets around the world. Managers employ a systematic investment strategy that uses a disciplined approach to extract such risk premiums, while minimising tail risk (1) by adopting an ultra diversified portfolio across the asset classes. Historically, the investment allocation in any single instrument has been five percent or less, and continues to fall as diversification increases.

  • At a glance

    Annualized Return: 32.6%

Type 2006 Q4 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 Annualized Correlation
Quantedge 36% 19% -23% 47% 82% 33% 39% 9% 29% -18% 27% 9% 32.6%
Global Equities 9% 12% -42% 35% 13% -7% 17% 23% 5% -2% 8% 7% 5% 0.59%
Global Bonds 2% 10% 7% 6% 5% 6% 4% -3% 2% -3% 2% 1% 4% 0.59%
Global Commodities -5% 33% -46% 13% 9% -1% 0% -1% -33% -33% 11% -5% -9% 0.4%
Global Currencies 8% 18% -20% 18% 1% -9% 7% -5% 1% -14% 7% 1% 1% 0.51%
Global Real Estate 15% -5% -49% 41% 20% -8% 30% 2% 15% 0% 5% 3% 3% 0.58%
Burnaby Fund

The Quantedge fund targets constant volatility and variable exposure regardless of underlying market conditions. Targeting constant volatility ensures that exposures are reduced during turbulent times and increased to take full advantage of calm periods. The underlying principle of constant volatility is to systematically adjust the exposure to a given asset (or portfolio of assets) conditional to its current volatility. The constant volatility mechanism allows managers to make more in good markets and lose less during bad markets. In some years annualized volatility has exceeded thirty percent (30%).

Type '06 - '17 Capital Growth '06 - '17 Annualized Return Historic Long-Term Annualized Return
Quantedge Global Funds 9.9X 32.6%
Global Equities 1.8X 5% 8X
Global Bonds 1.5X 4% 6X
Global Commodities 0.4X -9% 7X
Global Currencies 1.1X 1% 5X
Global Real Estate 1.4X 3% 6X

The Burnaby QGF Fund provides sophisticated HNW investors access to an alternative investment that might otherwise be closed or too heavy an allocation in a diversified portfolio.  The Fund provides an investment option that has a relatively low correlation to traditional benchmarks and the potential to generate double-digit returns.

Past performance may not be indicative of future performance, and simulations and projected performance may not necessarily be a guide to future results.

Tail risk is a form of portfolio risk that arises when the possibility that an investment will move more than three standard deviations from the mean is greater than what is shown by a normal distribution. Tail risks include events that have a small probability of occurring and occur at the ends of a normal distribution curve.  The concept of tail risk suggests that the distribution of returns is not normal, but skewed, and has fatter tails. The fat tails indicate that there is a probability, which may be small, that an investment will move beyond three standard deviations. Tail risk is sometimes defined less strictly, as merely the risk (or probability) of rare events

Data from Bloomberg:

  1. MSCI All Country World Index (Gross)
  2. JP Morgan Global Aggregate Bonds Index (Total Returns)
  3. Goldman Sachs Commodity Index (Total Returns)
  4. Deutsche Bank Global Currency Harvest Index (Total Returns)
  5. FTSE EPRA/NAREIT Global (Total Returns)
  6. Historical Long-Term Average Returns are calculated from the full history of the respective indices as published by Bloomberg

Investing in the Fund involves substantial risk of loss due to the speculative nature of the investments.   The high degree of risk makes an investment in the Fund suitable only for investors who can afford to lose the entire amount of their investment.  Minimum investment is restricted to One Hundred Thousand plus dollars ($100,000.00)

This document is for information purposes only and does not constitute a solicitation for investment in the company described herein, nor does it constitute an offer for sale of shares issued by the company or of those issued by any such fund or company. Prospective investors must read and acknowledge the Fund’s Information Memorandum and several related documents.