23 Apr MIMS – Long-Short Equity Fund (Report March 2020)
MIMS – Long Short Equity Fund is an actively-managed fund by Minerva Investment Management Society, based on a zero-net investment ‘multi-factor’ strategy. The Fund has the investment objective of achieving a positive absolute return, through long-term capital appreciation.
The Fund uses a «multi-factor» based investment style adopting a quantitative proprietary model in order to achieve a systematic, rules-based approach to stock selection. Stocks are selected from the broad US Equity market (S&P 500 Index) and the European Equity market (Euro STOXX 600 Index).
A score is produced with reference to each considered style factor: (1) ‘value’ (stocks appearing cheaper with respect to their fundamentals); (2) ‘momentum’ (investments with relatively strong recent performance); (3) ‘quality’ (as reflected by indicators such as ROE and consensus EPS forecasts); (4) low volatility; (5) size (in terms of market float); (6) ESG factor (as conveyed by Thomson Reuters ESG Score).