Asset management · Quantitative equities · Tokyo / Hong Kong · Founded 2017
Factors decay, budgets do not: value, residual momentum and low-vol inside an 8% vol target.
Foothill Systematic is a Tokyo and Hong Kong-based quantitative manager founded in 2017. The firm runs a multi-factor Asia book to a hard volatility target and treats drawdown as a design constraint rather than an outcome. On Orbit its Asia multi-factor and Japan value sleeves are published through the Meridian Systems desk, with research led by Yui Takahashi. Reported AUM is US$420 million.
Profile compiled by Orbit from information supplied by the firm; figures are for demonstration, licence and custody wording is illustrative.
Each strategy maps to one vault; deposits are made into a specific vault.
Value, residual momentum and low-vol with an 8% vol target. Weekly rebalance.
Trading involves risk. Past performance is not indicative of future results. Vault NAV can rise or fall.
Value and quality on TOPIX large caps with a currency hedge. Slow, boring, and meant to be.
Trading involves risk. Past performance is not indicative of future results. Vault NAV can rise or fall.
Low-vol and value contributed; residual momentum was a drag. The 8% vol target kept the sleeve inside its drawdown budget.
A factor table tells you where last month's return came from. It does not tell you where next month's will come from, and the desks that present it as if it did are selling you a story with decimals.