BlackRock Asia Pacific Diversified Equity Absolute Return

The BlackRock Asia Pacific Diversified Equity Absolute Return fund employs a systematic, research driven market neutral investment process with a strong emphasis on innovation, data and technology. The fund is managed by the BlackRock Systematic Active Equity (SAE)’s Asia Pacific team in San Francisco which is led by Jeff Shen (co-head of SAE). The strategy uses a systematic stock selection process that aims to identify and exploit market inefficiencies driven by classic fundamental and behavioural insights, looking across +4500 Asian equities daily. The fund comprises two separate stock selection models – Asia Pacific large cap and Asia Pacific small cap –  and leverages over 600 signals looking at fundamental, quality, sentiment, and macro themes to generate return forecasts for each stock within the reference market. These are combined with a forecast of trading costs and a risk view at the stock and portfolio level before the optimisation process translate alpha forecast into target positions, with a typical investment horizon of 3-6 months (each sleeve has its own bespoke stock scoring model). The large cap sleeve also includes a ‘mid-horizon’ strategy, focused on investment opportunities (statistical arbitrage, technical patterns, events) with a time horizon of less than 1 month. Advanced machine learning techniques are incorporated into the process, and are increasingly utilised in conjunction with stock specific data sources to capture non-linear effects across combinations of traditional stock selection signals and enhance predictability. Portfolio construction is entirely automated within the investment process, with the fund targeting 8% vol and generally invested in 3000-3500 positions at any given time (long and short).