December continued its trend of market normalization, with style factors such as residual volatility and liquidity continuing to underperform while momentum turned positive.

 

Goku’s performance was consistent during the month with a 1.3% return, with the vast majority of the attribution coming from pure alpha.  What has been particularly encouraging is the growing contribution from our single stock shorts in the Cayman fund as we continue to improve execution on the short side.  Not only has this added to returns but has also lowered the fund’s volatility.   We are seeing a continuation of these positive trends into January.