Global Market Neutral Strategy
Absolute return strategy that invests in equities around the globe
World Map

Sources of Alpha

  • Combines hundreds of factors across a wide range of categories including macroeconomics, fundamentals, and technical indicators
  • Adapts to changing market conditions
  • Proprietary statistical methods that detect hidden market patterns

Portfolio Composition

  • 200 long positions in individual global equities
  • Filters out equities with less than $1 million in average daily trading volume
  • Sector & geography constrained to match the global index composition
  • Shorts S&P 500 and EAFE indices with combined value equalling long positions'
  • Rebalanced weekly
  • 100% invested
  • No leverage

Circuit Breaker

  • Triggers if loss exceeds 99.9% value at risk
  • Sells all positions and sits on cash for 1 week
  • Resets waiting period if hypothetical losses exceed value at risk tolerance again

Correlations to Popular Factors

  • Price to Book: -0.2
  • 12 Month Momentum: -0.1
  • Size: 0.3
  • Profitability: 0.2
  • Investment: -0.3
  • Defensive: -0.1
  • Quality: -0.1

*More info available upon request. Public dissemination of some information is restricted due to regulations.

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