Minerva Investment Management Society

Fund Update · Long Short Equity Fund

Long Short Equity Fund - May 2026

· Portfolio Management · Long Short Equity Fund

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Summary

The Long-Short Equity Fund seeks to generate a positive absolute return throughout all market conditions. By employing a long-short structure, the fund aims to maintain both market-neutral and beta-neutral exposure while keeping low correlation with major market indices. Its investment strategy is grounded in a proprietary multifactor quantitative model designed to support a systematic, rule-based approach to stock selection. The fund’s asset allocation is driven by factor weights, which are automatically determined via a time-series factor-momentum framework.

Between 24 November 2025 and 24 April 2026, the fund did not achieve a positive return, recording an annualized return of -2.2% from a net-zero investment exposure. During the semester, the team implemented a new tail-risk factor while further developing the systematic factor framework, improving factor diagnosis and automating factor weighting.

The new tail-risk factor is designed to capture stocks’ exposure to extreme market events and has historically performed particularly well during periods of high volatility. Furthermore, an important addition has been the introduction of fully automated factor weighting via a time-series factor-momentum framework, representing a significant step toward a fully automated stock-selection pipeline. The team also refined the fund’s statistical metrics to better account for the increasing complexity of the evolving factor model.

Additional research into climate-based investing and machine learning applications was also conducted and will be further developed in future semesters.

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Details

Published
20 May 2026
Division
Portfolio Management
Fund
Long Short Equity Fund
Type
Fund Update
Pages
20
Authors
11

Cite this report

Minerva Investment Management Society (2026). Long Short Equity Fund - May 2026. Portfolio Management. https://minervaims.org/archive/long-short-equity-fund-may-2026

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