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
ATSX TRADING DATA
NAV: $21.7069
Date: 2020-08-11
MEDIA
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:
$0.10 per Quarter
Exchange:
TSX
Currency:
CAD
Risk Rating:
Medium
Reference Portfolio Performance
Investment Process
In addition to providing exposure to the broad Canadian equity index, either through derivatives, ETFs or the underlying equities, ATSX holds a diversified, long-short equity overlay portfolio of Canadian equities.
To select the long-short overlay portfolio, ATSX utilizes a systematic, proprietary multi-factor model to sort and rank all liquid Canadian stocks based on 5 principle factors:
- Value
- Quality
- Price Momentum
- Operating Momentum
- Trend
The Fund goes long a portfolio of the highest expected return stocks selected from the top decile ranking from the multi-factor model while going short a portfolio of the lowest expected return stocks selected from the bottom decile ranking. The portfolio is balanced on a monthly basis. The long portfolio is up to 50% of NAV and the short portfolio is up to -50% of NAV.
Performance as of 2020-Jul-31
| 1 Month | 3 Months | YTD | 1 Year | 3 Years | Since Inception | ||
|---|---|---|---|---|---|---|---|
| ATSX | 4.5% | 15.0% | 9.9% | 5.5% | n/a | 10.3% |
Overlay Fund Characteristics as of 2020-Jul-31
| Long | Short | |
|---|---|---|
| Number of Securities | 39 | 41 |
| Average Market Cap ($mm) | $7,672 | $4,637 |
| Beta | 1.0 | 1.3 |
| EBITDA/EV | 13.2% | 9.9% |
| FCF/EV | 6.5% | 0.6% |
| Trailing Return | 25.3% | -27.4% |
| Pct of 52 Week High | 86.8% | 69.4% |
| Return on Capital | 14.2% | -2.1% |
| Gross Profits/Assets | 4.7% | 2.1% |
| 50 DMA to 200 DMA | 108% | 91.3% |
| EPS Revision | 4.3% | -1.8% |
| Change In Shares | 1.5% | 1.3% |
| Earnings Abnormal Return | 2.4% | 1.0% |
Sector Weightings as of 2020-Jul-31
| Long | Short | |
|---|---|---|
| Communication Services | 3.8% | -1.2% |
| Consumer Discretionary | 6.2% | -4.7% |
| Consumer Staples | 5.2% | -2.3% |
| Energy | 3.8% | -9.1% |
| Financials | 3.8% | -3.5% |
| Health Care | 1.3% | -2.4% |
| Industrials | 7.7% | -4.7% |
| Information Technology | 3.9% | -5.3% |
| Materials | 11.4% | -12.2% |
| Real Estate | 2.6% | -3.6% |
| Utilities | 1.3% | 0.0% |
| Overlay Equity Exposure | 51.2% | -49.1% |
| S&P/TSX60 Index Exposure | 97.9% | 0.0% |
| TOTAL PORTFOLIO EXPOSURE | 149.0% | -49.1% |
Fund Holdings as of 2020-Jul-31
| Long Security Name | Weight | |
|---|---|---|
| S&P / TSX 60 Index Futures | 89.1% | |
| IShares S&P TSX 60 Index ETF | 8.7% | |
| K92 Mining Inc | 1.6% | |
| Teranga Gold Corp | 1.5% | |
| Kinross Gold Corp | 1.5% | |
| B2Gold Corp | 1.4% | |
| Celestica Inc | 1.4% | |
| Dundee Precious Metals Inc | 1.4% | |
| Torex Gold Resources Inc | 1.4% | |
| Computer Modelling Group Ltd | 1.4% | |
| Real Matters Inc | 1.4% | |
| AGF Management Ltd | 1.3% | |
| Empire Co Ltd | 1.3% | |
| Stantec Inc | 1.3% | |
| Metro Inc | 1.3% | |
| Gran Colombia Gold Corp | 1.3% | |
| Canadian Tire Corp Ltd | 1.3% | |
| Cogeco Communications Inc | 1.3% | |
| Richelieu Hardware Ltd | 1.3% | |
| Superior Plus Corp | 1.3% | |
| Viemed Healthcare Inc | 1.3% | |
| Equinox Gold Corp | 1.3% | |
| BRP Inc | 1.3% | |
| Transcontinental Inc | 1.3% | |
| Enghouse Systems Ltd | 1.3% | |
| CI Financial Corp | 1.3% | |
| Corby Spirit and Wine Ltd | 1.3% | |
| Alimentation Couche-Tard Inc | 1.3% | |
| Quebecor Inc | 1.3% | |
| Gibson Energy Inc | 1.3% | |
| GDI Integrated Facility Services | 1.3% | |
| DREAM Unlimited Corp | 1.3% | |
| Westshore Terminals Investment | 1.3% | |
| Cogeco Inc | 1.2% | |
| Quarterhill Inc | 1.2% | |
| Royal Bank of Canada | 1.2% | |
| Exco Technologies Ltd | 1.2% | |
| Martinrea International Inc | 1.2% | |
| Hardwoods Distribution Inc | 1.2% | |
| Parex Resources Inc | 1.2% | |
| Aritzia Inc | 1.2% |
| Short Security Name | Weight | |
|---|---|---|
| Sierra Wireless Inc | -1.7% | |
| Ivanhoe Mines Ltd | -1.4% | |
| Resolute Forest Products Inc | -1.4% | |
| Lightspeed POS Inc | -1.4% | |
| Interfor Corp | -1.3% | |
| Morguard North American REIT | -1.3% | |
| Park Lawn Corp | -1.3% | |
| Canfor Corp | -1.3% | |
| IAMGOLD Corp | -1.3% | |
| Canadian Pacific Railway Ltd | -1.3% | |
| Osisko Gold Royalties Ltd | -1.3% | |
| Sienna Senior Living Inc | -1.3% | |
| Ag Growth International Inc | -1.3% | |
| Canaccord Genuity Group Inc | -1.2% | |
| Tourmaline Oil Corp | -1.2% | |
| MTY Food Group Inc | -1.2% | |
| Maple Leaf Foods Inc | -1.2% | |
| Aimia Inc | -1.2% | |
| BlackBerry Ltd | -1.2% | |
| PrairieSky Royalty Ltd | -1.2% | |
| Chartwell Retirement Residence | -1.2% | |
| SmartCentres REIT | -1.2% | |
| Pinnacle Renewable Energy Inc | -1.2% | |
| Magellan Aerospace Corp | -1.2% | |
| Cenovus Energy Inc | -1.2% | |
| Tricon Residential Inc | -1.2% | |
| Spin Master Corp | -1.1% | |
| Inter Pipeline Ltd | -1.1% | |
| Husky Energy Inc | -1.1% | |
| Sprott Inc | -1.1% | |
| Canfor Pulp Products Inc | -1.1% | |
| Restaurant Brands International | -1.1% | |
| Laurentian Bank of Canada | -1.1% | |
| Rogers Sugar Inc | -1.1% | |
| NFI Group Inc | -1.1% | |
| Stelco Holdings Inc | -1.1% | |
| Methanex Corp | -1.1% | |
| Cameco Corp | -1.1% | |
| Vermilion Energy Inc | -1.1% | |
| CGI Inc | -1.0% | |
| Teck Resources Ltd | -1.0% |
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