| Parameter |
Limit |
| AUM |
Tested on $0.5 billion of AUM |
| Sector Concentration |
25% at rebalance |
| Maximum Position Targeted |
4% on a rebalance and up to 10% (in line with UCITS 5 / 10 / 40 rule) |
| Number of Positions in Portfolio |
~100 dependent on analysis of perceived opportunities |
| Minimum Market Capitalisation |
>$300 million |
| Liquidity Constraints |
<5 days to liquidate, based on 30% average daily volume |
| Portfolio Rebalancing Frequency |
2 Weeks – 8 weeks |
| Single Position Stop-Loss |
-25% from inception price |
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| Average Position Holding Period |
~3 months |
| Portfolio Risk Monitoring |
Daily internal performance attribution reports with monitoring of holdings, liquidity, and risk exposures |
| Position Constraints |
Control for maximum position size and sector net exposure |
| Portfolio Diversification |
Portfolio holds securities diversified across complementary market segments spread across investment themes |
| Portfolio Oversight |
Weekly Investment Review Automated live analysis of entire portfolio |