Disciplined, Yet Adaptable

Mutual Fund Q&A:

Author: Ticker Magazine
123jump.com
Last Update: 9:37 AM EST December 07 2007

Click here to view the detailed PDF version

(Continued)

Email article | Print article

Harindra (“Harin”) de Silva		“Our edge is the ability to continuously innovate and come up with ways to incorporate all the new data into a pricing model, and then incorporate that into the ranking process and, ultimately, into performance.”
		Old Mutual Analytic US Long Short Fund

With the premise that investors’ focus changes over time, Harindra de Silva, the manager of the Old Mutual Analytic U.S. Long/Short Fund, believes that the challenge for modern managers is adapting to changes in a systematic way. Quantitative in nature, the fund’s core competence is weighting the various data factors to provide meaningful rankings. Then it utilizes its research both to hold the attractive stocks and to short the unattractive ones.

A: We target beta of 1 and a tracking error within 3% to 4% of the S&P 500. We also keep the average market cap to be similar to that of the S&P 500 and the sector exposure within 1% of the S&P 500, so it is a diversified portfolio. We don’t engage in market timing and we maintain a volatility forecast for every stock on our universe that is based on the recent volatility and the option market.

If a stock gets very risky, our position shrinks to reflect that. In that way, we attempt to guard against stocks that have a lot of risk associated with them, stocks that may be in a takeover position or stocks that may have some litigation surrounding them. We make sure that the individual events don’t cost us more than we can tolerate in the fund.

1 2 3

More: Mutual Funds Archive