The APFC’s Absolute Return strategy aims to provide the Fund a consistent, uncorrelated return that is accretive to the overall target return. The portfolio offers better liquidity than most alternative investments, while investing in a diversified range of geographies, securities, and strategies.
KEY PORTFOLIO FIGURES
as of June 30, 2022
FY22 TARGET ASSET ALLOCATION
The Absolute Return strategy invests in hedge fund managers uncorrelated to overall markets. We target an absolute return of CPI + 5%, regardless of the broader market environment and invest with downside protection in mind; our strategy of minimal correlation results in willingly forgoing upside potential during periods of market exuberance to insulate from downside potential in the event of market corrections.
The APFC is strategy-agnostic regarding hedge fund managers, as long as managers are able to demonstrate minimal correlation to overall markets and a track record of returns in excess of CPI + 5%. Strategies we have recently added to the portfolio include: global macro, CTA, fundamental equity market-neutral, fixed income relative value and event-driven.
- Achieve a minimum of 5.0% annualized excess return over CPI over a market cycle, net of all fees;
- Achieve this return with a long-term correlation of monthly returns compared to the Fund’s overall returns of less than 50.0%;
- Achieve this return with an ex-ante standard deviation of monthly returns of less than 12.0% per annum.
Performance reports for the portfolio can be found in the monthly performance reports and in the board meeting packets.