AB Event Driven Portfolio

Investment Objective

The AB Event Driven Portfolio seeks to provide long-term capital appreciation from an alternative, event driven strategy. This is achieved by using a rules-based approach to systematically capture returns from event driven sub strategies. The sub strategies included in the portfolio are broadly classified into hard catalysts (e.g., merger arbitrage) and soft catalysts (e.g., corporate, investor, and liquidity events). The strategy also seeks to access these return streams more efficiently by hedging out the equity beta associated with these types of investments and offering increased liquidity. 

Latest Meeting Note

Meeting 21 Jun 2021

The AB Event Driven Portfolio takes a rules-based systematic approach to event driven investing. The fund trades corporate events (hard and soft catalyst) across developed markets, primarily North America, Western Europe and Japan, whils... Read more

The AB Event Driven Portfolio takes a rules-based systematic approach to event driven investing. The fund trades corporate events (hard and soft catalyst) across developed markets, primarily North America, Western Europe and Japan, whilst targeting a cash +5% return with mid-single digit volatility. The team is headed by Vikas Kapoor, aided by portfolio managers Scott Schefrin (hard catalyst focus) and Jorge Chang (soft catalyst focus), supported by numerous research analysts specializing in macro, hedge funds and equities. With information advantages dwindling the team believe a systematic approach to hard catalyst events is the optimal way to harvest M&A risk premia, with each trading rule verified by academic research, empirical evidence and quantitative testing. The fund also invests in a variety of soft catalyst events to increase diversification and manage cyclicality, with a systematic approach taken to identify and allocate to understandable and intuitive soft catalyst situations. The funds risk budget is loosely designed to be 50/50 between hard and soft, though there is plenty of flexibility based on the current opportunity set. 

Performance

JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD
2020 0.7 1.0 0.3 0.6 0.3 0.4 0.9 0.7 0.1 0.8 0.7 0.1 0.6
2019 0.8 0.2 0.9 0.7 0.4 0.5 0.9 0.6 0.8 0.1 0.4 0.3 0.2

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