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Latest Research

GS Equity Risk Premia Long/Short Portfolio

A rules-based strategy designed to provide exposure to five well known equity risk premia within a beta neutral portfolio. These are: Low beta, size, value, momentum and quality. Once the long book has been constructed based on the five risk premia, the portfolio is hedged to a beta neutral position using a short position in the MSCI World Index. The UCITS fund invests in a 3x version of the strategy which went live in 2013 and has generated an attractive risk adjusted return stream that has been uncorrelated to equity markets. As one would expect for a beta neutral strategy both the backtested and realised track record display virtually no correlation and beta to equity markets making the fund a useful diversifier in portfolios.

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GS Equity Risk Premia Long/Short Portfolio
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Standard Life Global Absolute Return Strategies
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RAM Long/Short European Equities
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TM Fulcrum Diversified Absolute Return Strategies
Fund Research


Index Sep 16 MTD YTD 12M 2015
AH Global Index 0.10 0.0 -0.6 0.0 0.9
AH Credit Index -0.17 0.2 1.8 1.1 -1.2
AH Equity Long / Short Index 0.19 0.2 -2.0 -0.4 3.8
AH Event Driven Index -0.53 0.2 -1.5 -2.3 -2.7
AH FX Index 0.12 0.6 -0.5 -1.3 1.1
AH Macro Index -0.48 0.2 -1.3 -1.5 -1.4
AH Managed Futures Index 0.38 -1.5 3.1 -0.4 -1.9
AH Market Neutral Index 0.03 -0.1 -3.9 -2.3 3.1
AH Multi Asset Index -0.07 -0.6 4.2 4.5 -2.3