According to the announcement from INTECH, a subsidiary of Janus Capital Group, the strategy builds on the same volatility capture strategy that the firm has implemented since 1987, while targeting an absolute return above LIBOR.
Using INTECH’s proprietary investment process, the Market Neutral strategy seeks to outperform the three-month LIBOR rate over rolling three- to five-year periods, according to the firm. The strategy will target leverage of approximately $1 of short exposure and $1 of long exposure for every $1 in the portfolio’s nominal value. With a target beta of approximately zero, the strategy extends INTECH’s existing long-only Large Cap Core investment process to build an absolute return product.
For the three-month period ended December 31, 2008, INTECH’s Market Neutral strategy has generated positive returns and outperformed the LIBOR three-month rate by 1.84%, net of fees. For the one-year period ended December 31, 2008, the strategy outperformed the LIBOR three-month rate by 1.2%, with an annual return of 3.98% net of fees, as of December 31, 2008.
In addition to the Market Neutral strategy, INTECH’s risk-managed active equity disciplines include:
- Broad Large Cap Core 130/30,
- Enhanced Index,
- Enhanced Plus,
- Global Core,
- International Equity,
- Large Cap Core,
- Large Cap Growth, and
- Large Cap Value.
As of December 31, 2008, INTECH had approximately $42.4 billion under management and 82 employees. INTECH is an independently managed subsidiary of Janus Capital Group.
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