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.