Allspring (Lux) Worldwide - Global Long/Short Equity

The Allspring Global Long/Short Equity fund employs a systematic investment strategy that seeks to exploit inefficiencies in global developed markets by going long stocks with exposure to fundamental factors that generate alpha and short stocks with poor fundamental characteristics. By shorting ‘high risk’ stocks the fund aims to harvest the low-risk anomaly. Starting from a global universe (MSCI World), the team uses advanced quantitative techniques to forecast securities expected returns with alpha signals generated from the combination of multiple fundamental, statistical and technical characteristics, covering valuation, growth, quality, financial risk, momentum, liquidity, etc. The relative weighting amongst these variables in the security selection process is key, with the strategy blending factor momentum and factor mean reversion elements (the latter is seen as the long-term anchor point for expected returns). When it comes to positions sizing, risks are dynamically assessed using multiple angles and lenses, with the strategy combining backward-looking statistical and fundamental risk models (PCA and Barra) with proprietary forward-looking measures of risk (implied volatility, news, ESG, active risk). The final portfolio is run with moderate leverage, 100% long vs. 30% short, targeting returns of 8-12% p.a. and a 0.5 beta. The portfolio is rebalanced on a monthly basis.