Candriam Absolute Return Equity Market Neutral

Investment Objective

Candriam Absolute Return Equity Market Neutral seeks to deliver positive absolute returns by taking long and short positions on worldwide equity indices and their constituents, to benefit from short to medium term pricing inefficiencies. To achieve this objective, the fund managers implement a combination of discretionary statistical arbitrage strategies, using a mix of quantitative and qualitative analysis, while closely managing risk. Such strategies include: Index Rebalancings and Relative Value. This results in a diversified equity market neutral portfolio with a maximum volatility target of 10%

Latest Meeting Note

Meeting 19 Feb 2021

The Candriam Absolute Return Equity Market Neutral fund seeks to benefit from the growth of passive investing within the European and North American markets, this is achieved via two underlying strategies: index rebalancing arbitrage and... Read more

The Candriam Absolute Return Equity Market Neutral fund seeks to benefit from the growth of passive investing within the European and North American markets, this is achieved via two underlying strategies: index rebalancing arbitrage and relative value. Index rebalancing arbitrage takes advantage of the impact of the increase in equity index funds in the market. Each time there is a rebalancing in a benchmark index, index funds are obliged to buy/sell the subjected stocks, which leads to increased volumes and ultimately creates moves in stock prices which the PM is looking to profit from. Trades can be implemented in both directions, eg. in the time leading up to a stock being added to an index, they may go long the stock / short index, and the reverse once added (long index / short stock). The relative value strategy trades in a similar manner but takes advantage of more mid to long-term inefficiencies. The PM is constructive on the outlook as the continual growth of passive investing looks to further increase structural inefficiencies in global markets. The fund currently has $233m in assets with a capacity of $1bn.

Performance

JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD
2020 0.6 0.2 0.8 0.1 0.0 0.7 0.4 0.5 0.8 1.0 0.4 0.8 0.7
2019 0.1 0.9 0.6 0.5 0.3 0.4 0.6 0.6 0.4 0.1 0.4 0.8 1.0

or Register for Free

  • Access the full universe of UCITS Hedge Funds and Absolute Return Funds.
  • Build and curate a watchlist.
  • View the latest research.
Close Current Site Absolute Hedge is a market leading UCITS research database providing proprietary research on funds, themes and strategies in the UCITS space. Kepler Trust Intelligence is produced by the investment companies team at Kepler Partners and is the UK’s premier source of detailed qualitative research on investment trusts. Kepler Liquid Strategies is a Dublin domiciled UCITS fund platform featuring a number of best-of-breed fund managers. Kepler Partners is a corporate advisory and asset raising boutique specialising in the regulated funds market in Europe and investment trusts in the UK.