JPM Europe Equity Absolute Alpha

The JPMorgan Europe Equity Absolute Alpha fund employs an alpha-centric market neutral strategy that combines advanced quantitative screening techniques with rigorous fundamental analysis to identify specific style characteristics and exploit inefficiencies that are persistent in the market due to behavioural biases. The fundamental philosophy held by the team is that attractively valued, high quality stocks with positive earnings momentum and sustainable businesses will outperform the market over time. Based on this philosophy the team rank the universe of stocks based on value, quality and earnings momentum factors, and invest in those with the most attractive characteristics. The same philosophy applies on the short side where the team will short expensive, low quality business with negative earnings momentum. The portfolio is selected from a universe of +1500 European stocks across the market capitalisation spectrum and will typically be made up of between 300-400 positions at any one time. Whilst there are constraints placed on the level of sector and country level concentration, the team are comfortable with running ‘sensible’ regional, sectoral, style biases at the portfolio level (typically +/-10%). The fund aims to generate uncorrelated returns with a 5-8% volatility range (max gross is 250%).