AXA World Funds - Chorus Equity Market Neutral Strategy

Investment Objective

The fund deploys a market-neutral strategy composed of long and short positions. The strategy aims to identify overvalued, undervalued or mispriced equity using a set of proprietary ranking techniques. The universe of potential Indicators includes, but is not limited to, stock-price valuation, balance-sheet quality, analysts and investors’ sentiment, technical metrics (such as based on volume and past price movements), and supply and demand dynamics.

Latest Meeting Note

Meeting 18 Feb 2021

AXA IM Chorus was set up in 2016 and today manages over $1bn in alternative liquid alpha products. The firm is mainly owned by the AXA IM Group (75%, the remainder is controlled by Chorus's key employees) and employs 30 people (7 quantit... Read more

AXA IM Chorus was set up in 2016 and today manages over $1bn in alternative liquid alpha products. The firm is mainly owned by the AXA IM Group (75%, the remainder is controlled by Chorus's key employees) and employs 30 people (7 quantitative analysts, 3 PMs), based in Hong Kong and Paris. Trade execution, risk management and compliance are delegated to the AXA IM Group. The Chronus Equity Market Neutral fund launched in May 2019. It is a systematic data driven market neutral strategy targeting beta (and factor) neutrality and low correlation to traditional asset classes. The strategy combines two underlying portfolios, one trading North America (US and Canada, 600 most liquid stocks) and one trading Developed Europe (30% of risk). The investment philosophy is based on proprietary signals (which show significant alpha potential on top of equity factors) and targets strict market neutrality. The process is fully systematised with the portfolio rebalanced every day. To forecast expexted returns, the system analyses all new available data (prices, fundamentals and alternative data sets) leading to the signals generation. Signals are clustered into 6 main categories: fund flows and postioning, fundamentals, imbalance (anomalies driven by investors constrains), linkages, market dynamics (e.g. price-volume patterns) and sentiment. Expected returns for each stock (which are proportional to the weighted sum of signals) feed the portfolio MV optimiser which computes the new target weights for each position (taking into account several constraints, inc. pairwise correlations and transaction costs). The final portfolio is subject to numerous risk-constrains: annualised volatility target of 7%, max leverage of 600%, max beta exposure of +/-0.20, max single name exposure of +/-3.5%.

Performance

JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD
2020 0.4 0.9 0.9 0.9 0.6 0.6 1.0 0.6 0.1 0.6 0.8 0.7 0.9
2019 0.9 0.3 0.3 0.9 0.7 0.1 0.1 0.4 1.0 0.3 0.1 0.4 0.2

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