Minerva Investment Management Society

Fund Update · Long Short Equity Fund

Long Short Equity Fund - December 2023

· Portfolio Management · Long Short Equity Fund

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Summary

The fund is actively managed by Minerva IMS, based on a zero-net investment «multi-factor» strategy. The long-short structure implies a market-neutral exposure and limited correlation to the main market indexes, while the investment strategy is based on a «multi-factor» quantitative proprietary model designed to achieve a systematic, rule-based approach to stock selection. The fund aims at generating a positive absolute return throughout all market conditions.

The performance between 01/05/2023 and 30/11/2023 was 0.6% (approx. 1.0% annualised) with a net zero investment. The performance was supported by the general factor positioning of the fund except for the inversion of the size factor, which lowered the performance of the fund due to the rally of large tech firms in the US over the past 7 months.

This semester, the new team has chosen a conservative stance based on the Quality and Value factors, anticipating stickier inflation and fewer rate cuts than the market expects. Additionally, score-based weights for each stock have been introduced to maximize exposure to our factor selection. The fund is now beta-neutral in both investment regions, starting this semester. Lastly, a thorough review of the Value factor has been conducted, considering the growth in off-balance-sheet assets and exploring interactions with other factors.

Authors

  • David OverbeckPortfolio Manager
  • Michele RinaldiPortfolio Analyst
  • Anna MaruccioPortfolio Analyst
  • Erik VikPortfolio Analyst
  • Jacopo PrevedelloHead of Asset Management
  • Matteo ConsalvoHead of Portfolio Management

Details

Published
19 December 2023
Division
Portfolio Management
Fund
Long Short Equity Fund
Type
Fund Update
Pages
11
Authors
6

Cite this report

Minerva Investment Management Society (2023). Long Short Equity Fund - December 2023. Portfolio Management. https://minervaims.org/archive/long-short-equity-fund-december-2023

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