According to the announcement, the portfolio is market, sector, and factor neutral and is broadly diversified, typically holding 100 to 150 long positions and 100 to 200 short positions. The strategy offers monthly liquidity and has no lock-up period.
It seeks to provide annual returns of 500 to 1000 basis points above the three-month US Treasury bills over a full market cycle, gross of fees, with an expected annual ex-ante volatility of less than 10%. The strategy is built on the firm’s fundamental Core/Value equity research platform, the announcement said.
UBS Global Asset Management also announced the launch of the US Fundamental Equity Market Neutral Plus MSCI World Equity strategy. This strategy ports the alpha from the US Fundamental Equity Market Neutral strategy onto the MSCI World Index, enabling investors the opportunity to obtain the combination of the alpha from the market neutral strategy and the return of the MSCI Equity Index, according to the announcement.