Minerva Investment Management Society

Fund Update · Long Short Equity Fund

Long Short Equity Fund - December 2024

· Portfolio Management · Long Short Equity Fund

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Summary

The goal of the Long-Short Equity Fund is to generate a positive absolute return throughout all market conditions. By employing a long-short structure, the fund maintains market-neutral exposure with minimal correlation to major market indices. Its investment strategy is grounded in a proprietary “multi-factor” quantitative model, designed to facilitate a systematic and rule-based approach to stock selection. The fund’s asset allocation is determined by factor weightings, which are carefully selected based on macroeconomic analysis and the prevailing fundamental characteristics of the market environment.

Between 30/4/2024 and 22/11/2024, the fund delivered a positive annualized performance of +5.67% with a net zero investment exposure. This performance was predominantly driven by the positioning in the U.S. market.

During this semester, the Team focused on enhancing the Python code developed in the previous semester to support a strategic shift toward more quantitative techniques for portfolio optimization. The entire selection process was refined, incorporating the use of the Winsorization technique on a sector-by-sector basis. With respect to the new factor exposure, the Team adopted a defensive stance to mitigate potential volatility stemming from the U.S. election results and potential Eurozone outcomes. Consequently, the magnitude of Quality and Value factors was increased. The inverted Size factor was retained but reduced in exposure, reflecting a strategic decision to deprioritize specific weighting based on companies’ market capitalizations, in line with the previous six months. The weight of the low volatility factor was maintained, aligning with the team’s defensive approach to managing potential market fluctuations. An analysis of the Quality and Momentum factors was also performed, which led to the decrease of the MOM factor and the implementation of a new safety score as part of the Quality factor.

Authors

Details

Published
22 December 2024
Division
Portfolio Management
Fund
Long Short Equity Fund
Type
Fund Update
Pages
12
Authors
10

Cite this report

Minerva Investment Management Society (2024). Long Short Equity Fund - December 2024. Portfolio Management. https://minervaims.org/archive/long-short-equity-fund-december-2024

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