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-Sep-30

1 Month3 MonthsYTD1 Year3 YearsSince Inception
ATSX-1.6%1.5%6.7%1.8%n/a7.2%

Overlay Fund Characteristics as of 2020-Sep-30

Long Short
Number of Securities4241
Average Market Cap ($mm)$4,972$4,284
Beta1.01.2
EBITDA/EV15.5%6.6%
FCF/EV8.2%-0.9%
Trailing Return36.1%-13.1%
Pct of 52 Week High83.8%68.7%
Return on Capital13.0%-3.2%
Gross Profits/Assets4.9%1.7%
50 DMA to 200 DMA110%99.3%
EPS Revision1.8%4.9%
Change In Shares0.4%2.4%
Earnings Abnormal Return3.5%1.0%

Sector Weightings as of 2020-Sep-30

Long Short
Communication Services3.6%-1.2%
Consumer Discretionary5.9%-5.8%
Consumer Staples3.9%-2.3%
Energy4.5%-8.5%
Financials2.4%-2.1%
Health Care1.1%-2.2%
Industrials8.4%-3.0%
Information Technology2.4%-3.4%
Materials10.6%-10.5%
Real Estate3.7%-6.8%
Utilities3.8%0.0%
Overlay Equity Exposure50.4%-45.9%
S&P/TSX60 Index Exposure99.3%0.0%
TOTAL PORTFOLIO EXPOSURE149.7%-45.9%

Fund Holdings as of 2020-Sep-30

Long Security NameWeight
S&P / TSX 60 Index Futures91.8%
IShares S&P TSX 60 Index ETF7.5%
BRP Inc1.6%
K92 Mining Inc1.5%
DREAM Unlimited Corp1.4%
Exco Technologies Ltd1.4%
Hardwoods Distribution Inc1.3%
Dundee Precious Metals Inc1.3%
Viemed Healthcare Inc1.3%
Equinox Gold Corp1.3%
Canadian Tire Corp Ltd1.3%
Teranga Gold Corp1.3%
Enghouse Systems Ltd1.3%
Champion Iron Ltd1.3%
Aritzia Inc1.2%
Computer Modelling Group Ltd1.2%
Richelieu Hardware Ltd1.2%
Cogeco Inc1.2%
Kinross Gold Corp1.2%
B2Gold Corp1.2%
Superior Plus Corp1.2%
Torex Gold Resources Inc1.2%
Metro Inc1.2%
Transcontinental Inc1.2%
Quarterhill Inc1.2%
Northland Power Inc1.2%
TFI International Inc1.2%
Brookfield Infrastructure Corp1.2%
North American Construction Group1.2%
Parex Resources Inc1.2%
Gibson Energy Inc1.1%
Empire Co Ltd1.1%
Quebecor Inc1.1%
Gran Colombia Gold Corp1.1%
Stantec Inc1.1%
CI Financial Corp1.1%
AGF Management Ltd1.1%
Celestica Inc1.1%
Cogeco Communications Inc1.1%
Alimentation Couche-Tard Inc1.1%
Martinrea International Inc1.1%
Magna International Inc1.1%
Westshore Terminals Investment Corp1.1%
Enerplus Corp1.0%
Real Matters Inc1.0%

 

Short Security NameWeight
Resolute Forest Products Inc-1.7%
Spin Master Corp-1.4%
Aimia Inc-1.4%
Tricon Residential Inc-1.3%
Lightspeed POS Inc-1.3%
Stelco Holdings Inc-1.3%
Pinnacle Renewable Energy Inc-1.3%
MTY Food Group Inc-1.3%
Cameco Corp-1.3%
Osisko Gold Royalties Ltd-1.3%
NFI Group Inc-1.3%
BlackBerry Ltd-1.3%
Methanex Corp-1.3%
Park Lawn Corp-1.3%
Chartwell Retirement Residences-1.3%
Energy Fuels Inc-1.2%
Bank of Montreal-1.2%
Ag Growth International Inc-1.2%
IAMGOLD Corp-1.2%
Tourmaline Oil Corp-1.2%
Sienna Senior Living Inc-1.2%
Maple Leaf Foods Inc-1.2%
Canada Goose Holdings Inc-1.2%
SmartCentres REIT-1.2%
Ivanhoe Mines Ltd-1.2%
Westaim Corp-1.2%
Laurentian Bank of Canada-1.2%
PrairieSky Royalty Ltd-1.2%
Teck Resources Ltd-1.2%
Cominar REIT-1.2%
Summit Industrial Income REIT-1.1%
Morguard North American REIT-1.1%
Rogers Sugar Inc-1.1%
Magellan Aerospace Corp-1.1%
Sierra Wireless Inc-1.1%
Husky Energy Inc-1.1%
Cenovus Energy Inc-1.1%
Restaurant Brands International-1.0%
Vermilion Energy Inc-1.0%
Canfor Pulp Products Inc-1.0%
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