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:
Long-short equity

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-May-29

1 Month3 MonthsYTD1 Year3 YearsSince Inception
ATSX7.5%2.1%2.8%2.5%n/a3.2%

Overlay Fund Characteristics as of 2020-May-29

LongShort
Number of Securities4140
Average Market Cap ($mm)$8,483$2,746
Beta1.11.2
EBITDA/EV13.2%10.2%
FCF/EV5.7%-1.6%
Trailing Return24.8%-27.0%
Pct of 52 Week High80.1%60.5%
Return on Capital14.1%-1.4%
Gross Profits/Assets4.8%2.0%
50 DMA to 200 DMA92%73.0%
EPS Revision-3.0%-3.5%
Change In Shares0.9%1.3%
Earnings Abnormal Return2.5%3.6%

Sector Weightings as of 2020-May-29

LongShort
Communication Services3.6%-1.2%
Consumer Discretionary7.0%-5.2%
Consumer Staples4.9%-2.3%
Energy6.1%-7.8%
Financials4.9%-3.6%
Health Care0.0%-3.5%
Industrials7.2%-3.6%
Information Technology3.9%-3.8%
Materials10.2%-13.1%
Real Estate3.8%-3.6%
Utilities0.0%0.0%
Overlay Equity Exposure51.8%-47.6%
S&P/TSX60 Index Exposure98.7%0.0%
TOTAL PORTFOLIO EXPOSURE150.5%-47.6%

Fund Holdings as of 2020-May-29

Long Security NameWeight
S&P / TSX 60 Index Futures90.0%
IShares S&P TSX 60 Index ETF8.7%
BRP Inc1.5%
AutoCanada Inc1.4%
Dundee Precious Metals Inc1.4%
Gran Colombia Gold Corp1.4%
Aritzia Inc1.4%
Celestica Inc1.4%
K92 Mining Inc1.4%
Hardwoods Distribution Inc1.4%
Martinrea International Inc1.4%
CI Financial Corp1.4%
Canadian Tire Corp Ltd1.3%
Colliers International Group Inc1.3%
Kinaxis Inc1.3%
Teranga Gold Corp1.3%
Corby Spirit and Wine Ltd1.3%
Alimentation Couche-Tard Inc1.3%
Real Matters Inc1.3%
Enghouse Systems Ltd1.3%
Canadian Natural Resources Ltd1.3%
DREAM Unlimited Corp1.3%
Computer Modelling Group Ltd1.3%
Torex Gold Resources Inc1.2%
Equinox Gold Corp1.2%
Keyera Corp1.2%
Quebecor Inc1.2%
Royal Bank of Canada1.2%
B2Gold Corp1.2%
Richelieu Hardware Ltd1.2%
Gibson Energy Inc1.2%
Cogeco Inc1.2%
Cogeco Communications Inc1.2%
Parex Resources Inc1.2%
Toromont Industries Ltd1.2%
Empire Co Ltd1.2%
Sun Life Financial Inc1.2%
AGF Management Ltd1.2%
GDI Integrated Facility Service1.2%
Stantec Inc1.2%
Metro Inc1.2%
ATS Automation Tooling Systems1.1%
Kinross Gold Corp1.1%

 

Short Security NameWeight
Lightspeed POS Inc-1.4%
MTY Food Group Inc-1.4%
Park Lawn Corp-1.4%
IMV Inc-1.3%
Inter Pipeline Ltd-1.3%
Methanex Corp-1.3%
NFI Group Inc-1.3%
Teck Resources Ltd-1.3%
Canaccord Genuity Group Inc-1.3%
First Capital REIT-1.2%
Morguard NA Residential REIT-1.2%
Canfor Corp-1.2%
Interfor Corp-1.2%
SmartCentres REIT-1.2%
Spin Master Corp-1.2%
Seabridge Gold Inc-1.2%
Stelco Holdings Inc-1.2%
Sprott Inc-1.2%
Ivanhoe Mines Ltd-1.2%
Chartwell Retirement Residence-1.2%
Restaurant Brands Internationational-1.2%
Tourmaline Oil Corp-1.2%
Sierra Wireless Inc-1.2%
Osisko Gold Royalties Ltd-1.2%
West Fraser Timber Co Ltd-1.2%
BlackBerry Ltd-1.2%
Rogers Sugar Inc-1.2%
Aimia Inc-1.2%
Magellan Aerospace Corp-1.2%
IAMGOLD Corp-1.2%
Cameco Corp-1.1%
Maple Leaf Foods Inc-1.1%
Ag Growth International Inc-1.1%
Vermilion Energy Inc-1.1%
Laurentian Bank of Canada-1.1%
Husky Energy Inc-1.1%
PrairieSky Royalty Ltd-1.0%
Canfor Pulp Products Inc-1.0%
Sienna Senior Living Inc-1.0%
Pinnacle Renewable Energy Inc-0.9%
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