Minerva Investment Management Society

Fund Update · Long Short Equity Fund

Long Short Equity Fund - December 2025

· Portfolio Management · Long Short Equity Fund

Open the PDF Download

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 small correlation to major market indices. Its investment strategy is grounded in a proprietary multifactor 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 28/04/2025 and 21/11/2025, the fund delivered a positive annualized performance of +13.6% with a net-zero investment exposure.

During this semester, the Team implemented new innovative factors while further refining both our systematics factor framework and portfolio construction techniques.

With respect to the new factor exposure, the Team further developed our yield curve factor to reflect more precisely macroeconomic conditions via the addition of two new components representing the sensitivity to yield-curve steepness (β₁) and to the hump in the curve (β₂). These additions strengthen the model’s ability to reflect shifts in the macroeconomic environment and resulted in a greater overall weight assigned to these yield curve factors. Furthermore, an important shift concerns the reduced emphasis on size factors, which have been replaced by liquidity metrics (Illiquidity) that currently offer greater explanatory power.

In addition, a new portfolio construction framework based on Hierarchical Risk Parity (HRP) has been introduced, supported by strong academic evidence. This methodological evolution has improved risk diversification and has replaced the previous reliance on mean–variance optimization as the fund’s main weighting approach.

Authors

Details

Published
6 December 2025
Division
Portfolio Management
Fund
Long Short Equity Fund
Type
Fund Update
Pages
17
Authors
10

Cite this report

Minerva Investment Management Society (2025). Long Short Equity Fund - December 2025. Portfolio Management. https://minervaims.org/archive/long-short-equity-fund-december-2025

Related reports