Investment Objective
Candriam Absolute Return Equity Market Neutral seeks to deliver positive absolute returns by taking long and short positions on worldwide equity indices and their constituents, to benefit from short to medium term pricing inefficiencies. To achieve this objective, the fund managers implement a combination of discretionary statistical arbitrage strategies, using a mix of quantitative and qualitative analysis, while closely managing risk. Such strategies include: Index Rebalancings and Relative Value. This results in a diversified equity market neutral portfolio with a maximum volatility target of 10%
Reference Index
EONIA
Latest Meeting Note
Meeting 19 Feb 2021
The Candriam Absolute Return Equity Market Neutral fund seeks to benefit from the growth of passive investing within the European and North American markets, this is achieved via two underlying strategies: index rebalancing arbitrage and...
The Candriam Absolute Return Equity Market Neutral fund seeks to benefit from the growth of passive investing within the European and North American markets, this is achieved via two underlying strategies: index rebalancing arbitrage and relative value. Index rebalancing arbitrage takes advantage of the impact of the increase in equity index funds in the market. Each time there is a rebalancing in a benchmark index, index funds are obliged to buy/sell the subjected stocks, which leads to increased volumes and ultimately creates moves in stock prices which the PM is looking to profit from. Trades can be implemented in both directions, eg. in the time leading up to a stock being added to an index, they may go long the stock / short index, and the reverse once added (long index / short stock). The relative value strategy trades in a similar manner but takes advantage of more mid to long-term inefficiencies. The PM is constructive on the outlook as the continual growth of passive investing looks to further increase structural inefficiencies in global markets. The fund currently has $233m in assets with a capacity of $1bn.
Performance
JAN | FEB | MAR | APR | MAY | JUN | JUL | AUG | SEP | OCT | NOV | DEC | YTD | ||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2023 | 0.5 | 0.3 | 0.2 | 0.9 | 0.7 | 1.0 | 0.5 | 0.9 | 0.8 | 0.5 | 0.7 | 0.9 | 0.2 | |
2022 | 0.3 | 0.4 | 0.9 | 0.5 | 0.8 | 0.2 | 0.4 | 1.0 | 0.6 | 0.1 | 0.8 | 0.7 | 0.7 |