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investment strategy in Hong Kong and Singapore that aims to deliver equity-like returns at lower levels of risk and with low correlation to equity markets. Axa Rosenberg is an Axa Investment Managers company specialising in quantitative active global equities.
The Axa Rosenberg Global Advantage Long/Short strategy invests in large- and mid-cap equities in the US, Europe and Japan, and targets weightings of 50%, 40%, and 10% in those markets, respectively. The fund targets institutional investors. The minimum investment amount is $10 million, or its equivalent in euro or Japanese yen.
The strategy draws on Axa RosenbergÆs bottom-up stock selection process, which ranks over 21,000 stocks based on their future earnings prospects relative to their peers. The selection process identifies a large number of short and long candidates for portfolio construction on an ongoing basis. The strategy will select stocks from a subset of the investment universe, representing about 80% of the market cap.
Anthony Fasso, Axa RosenbergÆs Asia-Pacific CEO, says the strategy is ôrelevant and effectiveö in the current market conditions because it is aimed at delivering equity market-like returns with lower risk as well as more consistent returns over the long term.
The new strategy combines a number of key new features. In addition to the capitalisation-weighted regional components, there is a modest leverage factor with approximately 130% of the strategy invested long and 122% invested short. Along with this slightly positive net equity exposure, an ôindifference bandö
has been deployed to reduce rebalancing trades, and risk controls have been added that potentially enable more of the expected alpha from Axa Rosenberg's models to be transferred to the portfolio. The strategy will also use stop-loss provisions that will sell out short positions when they lose all initial equity.
Another important objective of the strategy is smaller drawdowns (the declines in net asset value from peak to trough), coupled with quicker recovery when those drawdowns occur.
Axa RosenbergÆs portfolio management style is grounded in the belief that earnings are an indicator of returns, and that stocks that deliver superior future earnings will be rewarded with future returns over time. Long/short portfolios make dual use of this concept. When managing a long/short portfolio, the goal is to buy stocks with superior expected future earnings and, at the same time, sell short equities with inferior expected future earnings.
Axa Rosenberg has managed long/short strategies for 19 years. As of March, the firm had more than $5 billion in assets under management in long/short products.
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