Run by the Cantab team, this is a systematic global equity market neutral fund which aims to provide investors with consistent absolute returns independent of global equity markets over a three year period. The fund uses systematic trading processes within an equity and market-neutral long/short framework. The trading programme invests in 2,500 of the most liquid equities globally and combines multiple investment strategies grouped around core and satellite return streams. The core strategies include 4 principal factors: value, quality, momentum, and defensive. The satellite strategies target more idiosyncratic return sources and use alternative data sets such as analyst sentiment, volumes traded and implied volatilities. The clusters are combined together in a market neutral portfolio with a target of 6%-8% annnualised volatility.
3m LIBOR USD