Objective*
The objective of the strategy is to generate long term capital growth and control risk by maintaining a long-short portfolio that is neutral versus:
- Equity market direction
- Equity market economic sectors
- Equity market style exposures
- Equity market size
*There is no guarantee that the investment objective will be met.
Process
The strategy takes equal long and short positions, with a net notional exposure target of zero. The strategy primarily adds value by buying stocks with the most attractive factor profiles and shorting stocks with the least attractive factor profiles, within a set of risk constraints. Performance is therefore driven purely by the performance of the valuation model and is only minimally affected by market-wide factors. Risk Control is achieved through the use of strict constraints in a non-linear optimization process.
Portfolio Characteristics
| Benchmark: | Merrill Lynch 90-Day T-Bill® |
|---|---|
| Absolute Risk Target: | Overall volatility target (as measured by standard deviation) between 6.0% - 10.0% |
| Strategy Inception: | March 2006 |
| Investor fit: | Investors seeking strategies with the potential for high risk-adjusted returns characterized by sustainable, uncorrelated sources of alpha. |
Please click on the following link to obtain a Fact Sheet which will contain more detailed information, including performance information, for this solution.