- MDD
- -5.70%
- Sharpe
- 1.61
- Win rate
- 55.9%
- Vol 30D
- $4.22M
- Age
- 697d
- Skin in game
- 9%
- Perf fee
- 12%
- Lockup
- 7d
- Depositors
- 10
- Leader
- Description
- Value, residual momentum and low-vol with an 8% vol target. Weekly rebalance.
- Value + residual momentum + low-vol, 8% vol target, weekly rebalance.
- Process
- Rebalance Mondays 02:00 HKT. Hard 10% name cap.
- Custody
- Capital enters a MAIN illustration account, subscription moves to STRATEGY, exits return to MAIN then redeem. Segregation is illustrative.
| Market | Side | Size | Entry | Mark | uPnL (ROE) | Liq. price | Margin |
|---|---|---|---|---|---|---|---|
| HSI | long | $102,899 | 17,815.95 | 17,840.00 | $138.89 +1.12% | 12,827.49 | $12,348 |
| EWY | long | $85,288 | 67.07 | 66.00 | -$1,355.73 -13.25% | 48.29 | $10,235 |
| 700.HK | long | $131,559 | 379.69 | 382.00 | $800.09 +5.07% | 273.38 | $15,787 |
Community & manager updates
The manager's market reads, rebalance records and monthly letters, alongside depositors' discussion. All simulated.
Discussion
8 posts · 5 replies · 7 participants · Last activity 4 Sept 2026
- 1 Sept 2026via iPhone
September rebalance done Monday 02:00 HKT as scheduled. Value and low-vol carried August; residual momentum lagged again. We did not override the model into the Hong Kong single-name rally and we will not. Vol target 8%, realised 7.6%.
- 4 Sept 2026via Web
How much of last month came from currency? The Japan sleeve is hedged; is this one?
This one is unhedged by design; HKD and KRW exposure is part of the Asia book. Currency contributed +0.4% in August, published in the factor table.
- Tokyo ValueDepositor · 2026-022 Sept 2026via iPhone
Been comparing this with $Japan Value Factor$ from the same desk. Overlap is lower than I expected, eight names. Holding both.
Eight is right. The Japan sleeve is value only and yen-hedged; this one carries momentum and low-vol as well, so the overlap is mostly the value bucket.
- 1 Sept 2026via Web
Weekly rebalance, three largest moves.
Market Side Fill Weight HSI long 17,840.00 34.0%→31.0% EWY long 66.00 28.0%→33.0% 700.HK long 382.00 22.0%→20.0% Rebalanced 1 Sept 2026 - 31 Aug 2026via Web
August letter: +1.8% for the month. Value +1.1%, low-vol +0.9%, momentum −0.4%, currency +0.4%, costs −0.2%. Turnover 18%. Realised vol 7.6% against the 8% target.
- 25 Aug 2026via Web
Why a 10% single-name cap when the index itself is 12% in one name?
Because we are not the index. The cap is a promise about concentration, and a promise that moves with the benchmark is not one.
Trading involves risk. Past performance is not indicative of future results. Vault NAV can rise or fall.
Foothill's Asia multi-factor sleeve, published as a copyable desk.
- Official posts
- 4
- Replies
- 3
- Last post
- 1 Sept 2026
September rebalance done Monday 02:00 HKT as scheduled. Value and low-vol carried August; residual momentum lagged again. We did not override the model into the Hong Kong single-name rally and we will not. Vol target 8%, realised 7.6%.All vaults by this manager
Latest rebalances
Fills and weight changes the manager published
| Market | Side | Fill | Weight |
|---|---|---|---|
| HSI | long | 17,840.00 | 34.0%→31.0% |
| EWY | long | 66.00 | 28.0%→33.0% |
| 700.HK | long | 382.00 | 22.0%→20.0% |
Trading involves risk. Past performance is not indicative of future results. Vault NAV can rise or fall.