Al Muharraq Group Limited Bahrain Select Min Vol Fund

Overview

A Shariah-Compliant, open-ended public mutual fund, known as a “Smart Beta” Fund- aims to achieve a performance similar to the performance of the MSCI Bahrain Domestic IMI Islamic Custom Minimum Volatility Index prior to deducting fees and expenses while minimizing the deviation factor between the performance of the Fund and the performance of this index by following a passive investment strategy which invests in a basket of shares with weights similar to those of the index.

The Fund Manager will re-balance the allocation on a regular basis, coinciding with the re-balancing of the index.
Investment Approach

The Al Muharraq Group Limited MSCI Bahrain Select Minimum Volatility Fund is designed to track the MSCI Bahrain Domestic IMI Islamic Custom Minimum Volatility Index with the lowest tracking error possible. Events that prompt intervention include bi-annual rebalancing of the index, significant corporate actions on holdings, and Fund subscriptions and redemptions.

The Index targets the volatility factor using MSCI’s constrained proprietary Minimum Variance optimization designed to boost risk-adjusted returns. Tracking error is minimized through an optimized order placement process which attempts to align execution prices as close as possible to closing prices for rebalancing date. This is achieved through a distribution of order placement near end of session and during post-close market auction.

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