Friday, July 5, 2013

Trust no one?

I'd written quite extensively about the dark side of the Polish discretionary investment funds (the term in vogue is absolute return, now), but I had some hope in the emerging class of Polish quantitative funds.

So far, they rather disappoint, what frankly I much regret :(

The largest of them, UniSystem 1, managed by Union Investment, is down -8.5% YTD.


It has been falling systematically since the opening of the fund to the public in late 2012.

Unfortunately, it doesn't quite look like a simulated results presented in the fund's marketing materials:

One may say, that the fund is just following the trend:

Source: stooq
Note: fund certificates traded on open market are highly discounted (by some 18%)

Indeed, UniSystem 1 seems highly correlated with WIG20, the main index of the Warsaw Stock Exchange.

It is a little strange for a fund marketed as a market-neutral vehicle, aimed at various markets around the world, and willing to benefit from geographical diversification.

There may be something wrong with the investment models the fund employs.

The poor performance of UniSystem 1 has probably been the reason for cancellation of the new issue of the fund's certificates.

The disappointing fund performance is quite sad, especially taking into account that heavily beaten in recent years SuperFund seems to be finally catching some breath this year. Even if it is still behind S&P500:

Source: SuperFund

Nevertheless, I still hope, UniSystem 1 can turn around, and at least stabilize. The case of Provide Able 2 Trend may be a faint hint of such possibility:


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