But it was investments surrounding earnings announcements that recently dominated the portfolio, accounting for 30.6 per cent of its exposure in December 2009. Here the fund searches for “how many times a company has, in the past, beat or not beaten earnings expectations,” Meroni said. Such history also indicated the potential upside or downside of an earnings result. Including its performance in the Rubicon days, the fund now has generated an annualised return of 10.6 per cent in a little more than three years, net of fees, and a Sharpe ratio of 1.7. Meroni said any big increase in scale would not make the strategy cumbersome, because investing in stocks across the capital spectrum was not problematic if the fund could enter and exit within three days of trading at stressed volumes. Such turnover, too, is back-tested. “In periods of dislocation, we have seen the worst volume in periods of stress,” Meroni said.