The portfolio is market-, sector-, and factor-neutral and is broadly diversified, typically holding between 100 and 150 long positions and between 100 and 200 short positions, according to a press release. The strategy offers monthly liquidity and has no lock-up period.
It seeks to provide annual returns of 500 to 1,000 basis points above the three-month U.S. 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 release 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.