Minerva Investment Management Society

Fund Update · Long Short Equity Fund

Long Short Equity Fund - May 2025

· 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 “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 22/11/2024 and 25/04/2025, the fund delivered a positive annualized performance of +0.35% with a net-zero investment exposure. During this semester, the Team focused on refining the Python-based infrastructure developed in the previous semester to support a strategic shift toward more quantitative techniques. Additional enhancements included the change of factor composition and portfolio optimization.

With respect to the new factor exposure, the Team adopted a new yield factor to reflect the current macroeconomic conditions and improved the quality factor to better address market uncertainty. Therefore, this shift led to a slight decrease in the weight of the low volatility factor, making room for the inclusion of the new yield factor and aligning with the team’s revised optimization, reflecting a strategic decision to deprioritize specific weighting based on companies’ market capitalizations, in line with the previous six months. Additionally, a new method of portfolio construction utilizing _mean-variance optimization_ was implemented supported by relevant academic research. Therefore, this shift led to a slight decrease in the weight of the low volatility factor, making room for the inclusion of the new yield factor and aligning with the team’s revised optimization approach.

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Details

Published
21 May 2025
Division
Portfolio Management
Fund
Long Short Equity Fund
Type
Fund Update
Pages
13
Authors
9

Cite this report

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

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