Objective - To deliver attractive risk-adjusted absolute returns over the medium-term, using a proprietary, quantitative model based only on price evolution data.
Investment Strategy - Market neutral portfolio of long and short positions in liquid, global, large-cap equities.
We aim to take advantage of negative serial correlation (mean reversion) characteristics in equity prices, and use a bottom-up, pure statistical arbitrage process driven by our quantitative model at every stage. We assess the price evolution of individual stocks versus their stock groups and identify short-term differences in the underlying price diffusion processes. We trade the discrepancies, using a blend of proprietary execution software and broker algorithms to take long and short positions.
The portfolio is actively (but not continuously) traded. 'Alpha runs' typically take place two to three times a day, to reflect the changing characteristics of the underlying optimal portfolio. Daily turnover is 15-20% of gross book, and may rise to 30-40% in volatile markets.
AUM reflects the aggregate of the various share classes and is denominated in USD.