Accelerate Enhanced Canadian Benchmark Alternative Fund

About the Fund

The Accelerate Enhanced Canadian Benchmark Alternative Fund (TSX: ATSX) combines exposure to the S&P/TSX 60 plus a long-short Canadian equity overlay designed to add incremental performance above the broad Canadian equity index.

Investment Objectives

  • Outperform the broad Canadian equity index
  • Provide volatility in-line with the broad Canadian equity index
QUICK FACTS

Type:
Alpha + beta

Structure:
Alternative ETF

Date Started:
May 10, 2019

Management Fee:
0.00%

Performance Fee:
1/2 of outperformance above S&P/ TSX 60 Total Return

Investment Manager:
Accelerate Financial Technologies Inc.

Distribution:
$0.10 per quarter

Exchange:
TSX

Currency:
CAD

Risk Rating:
Medium

Reference Portfolio Performance

Investment Process

In addition to providing exposure to the broad Canadian equity index, either through derivatives, ETFs or the underlying equities, ATSX holds a diversified, long-short equity overlay portfolio of Canadian equities.
To select the long-short overlay portfolio, ATSX utilizes a systematic, proprietary multi-factor model to sort and rank all liquid Canadian stocks based on 5 principle factors:
  1. Value
  2. Quality
  3. Price Momentum
  4. Operating Momentum
  5. Trend

The Fund goes long a portfolio of the highest expected return stocks selected from the top decile ranking from the multi-factor model while going short a portfolio of the lowest expected return stocks selected from the bottom decile ranking. The portfolio is balanced on a monthly basis. The long portfolio is up to 50% of NAV and the short portfolio is up to -50% of NAV.

Performance as of 2020-Dec-31

1 Month3 MonthsYTD1 Year3 YearsSince Inception
ATSX0.4%-1.6%5.1%5.1%n/a3.3%

Overlay Fund Characteristics as of 2020-Dec-31

Long Short
Number of Securities4245
Average Market Cap ($mm)$3,894$7,806
Beta1.11.3
EBITDA/EV14.8%5.3%
FCF/EV8.6%0.4%
Trailing Return25.8%-7.9%
Pct of 52 Week High86.9%78.4%
Return on Capital15.4%-3.5%
Gross Profits/Assets5.5%2.4%
50 DMA to 200 DMA112%115.3%
EPS Revision1.0%1.5%
Change In Shares0.3%2.1%
Earnings Abnormal Return3.0%0.9%

Sector Weightings as of 2020-Dec-31

Long Short
Communication Services3.6%-1.2%
Consumer Discretionary6.4%-5.4%
Consumer Staples3.3%-1.2%
Energy2.4%-8.8%
Financials3.7%-2.2%
Health Care1.0%-3.5%
Industrials9.4%-7.0%
Information Technology2.3%-4.4%
Materials10.8%-9.6%
Real Estate2.5%-6.7%
Utilities3.6%0.0%
Overlay Equity Exposure49.0%-50.0%
S&P/TSX60 Index Exposure100.3%0.0%
TOTAL PORTFOLIO EXPOSURE149.3%-50.0%

Fund Holdings as of 2020-Dec-31

Long Security NameWeight
S&P / TSX 60 Index Futures100.3%
IShares S&P TSX 60 Index ETF0.0%
Gran Colombia Gold Corp1.5%
goeasy Ltd1.4%
Magna International Inc1.4%
Aritzia Inc1.3%
DREAM Unlimited Corp1.3%
CanWel Building Materials Group1.3%
Sleep Country Canada Holdings1.3%
Dundee Precious Metals Inc1.2%
Cogeco Inc1.2%
BRP Inc1.2%
Real Matters Inc1.2%
Northland Power Inc1.2%
Transcontinental Inc1.2%
Linamar Corp1.2%
TFI International Inc1.2%
Brookfield Infrastructure Corp1.2%
Hardwoods Distribution Inc1.2%
AGF Management Ltd1.2%
Computer Modelling Group Ltd1.2%
Quebecor Inc1.2%
IBI Group Inc1.2%
West Fraser Timber Co Ltd1.2%
Mullen Group Ltd1.2%
K92 Mining Inc1.2%
Torex Gold Resources Inc1.2%
Calibre Mining Corp1.2%
Celestica Inc1.2%
Champion Iron Ltd1.2%
Cogeco Communications Inc1.2%
North West Co Inc/The1.1%
Superior Plus Corp1.1%
Westshore Terminals Investment1.1%
Enghouse Systems Ltd1.1%
CI Financial Corp1.1%
Kinross Gold Corp1.1%
Empire Co Ltd1.1%
B2Gold Corp1.1%
Metro Inc/CN1.0%
Viemed Healthcare Inc1.0%
Gibson Energy Inc1.0%
Richelieu Hardware Ltd1.0%
Parex Resources Inc0.2%

 

Short Security NameWeight
Canadian Pacific Railway Ltd-1.6%
Ivanhoe Mines Ltd-1.4%
Lightspeed POS Inc-1.3%
SilverCrest Metals Inc-1.3%
Methanex Corp-1.3%
Osisko Gold Royalties Ltd-1.3%
Pinnacle Renewable Energy Inc-1.2%
CAE Inc-1.2%
MTY Food Group Inc-1.2%
Sienna Senior Living Inc-1.2%
MEG Energy Corp-1.2%
Seabridge Gold Inc-1.2%
NFI Group Inc-1.2%
Tricon Residential Inc-1.2%
CGI Inc-1.2%
Bank of Montreal-1.2%
Aimia Inc-1.2%
Cenovus Energy Inc-1.2%
Spin Master Corp-1.2%
Maple Leaf Foods Inc-1.1%
Extendicare Inc-1.1%
Summit Industrial Income REIT-1.1%
Enerplus Corp-1.1%
Chartwell Retirement Residence-1.1%
Osisko Mining Inc-1.1%
Morguard North American Residential RIET-1.1%
Teck Resources Ltd-1.1%
SmartCentres Real Estate Investment-1.1%
RioCan Real Estate Investment-1.1%
Cominar Real Estate Investment-1.1%
Laurentian Bank of Canada-1.1%
Martinrea International Inc-1.1%
Sierra Wireless Inc-1.1%
Restaurant Brands International-1.1%
SNC-Lavalin Group Inc-1.0%
PrairieSky Royalty Ltd-1.0%
Vermilion Energy Inc-1.0%
Novagold Resources Inc-1.0%
Ag Growth International Inc-1.0%
Inter Pipeline Ltd-1.0%
Enerflex Ltd-1.0%
Canada Goose Holdings Inc-0.9%
Air Canada-0.9%
BlackBerry Ltd-0.9%
Alimentation Couche-Tard Inc-0.1%
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