MIMS – LONG SHORT EQUITY FUND (REPORT MAY 2024)

The fund is actively managed by Minerva IMS, based on a zero-net investment «multi-factor» strategy. The long-short structure implies a market-neutral exposure and limited correlation to the main market indexes, while the investment strategy is based on a «multi-factor» quantitative proprietary model designed to achieve a systematic, rule-based approach to stock selection. The fund aims at generating a positive absolute return throughout all market conditions.

The performance between 01/12/2023 and 30/4/2024 was 8.27% (approx. 21.02% annualised) with a net zero investment. The performance was supported by the general factor positioning of the fund and an inversion of the size factor.

This semester, the new fund was moved from Excel to Python to support a pivot towards more quantitative techniques for portfolio optimization. The team also put a significant weight on the quality factor and low volatility anomaly as a defense against potential volatility in the markets due to elections in the EU and the US. The inverted size factor position was kept, but significantly lowered in exposure. An analysis of the ESG and Momentum factors was also performed, which led to the expulsion of the ESG factor and an increase in momentum weight. The fund is beta-neutral in both investment regions.

Check out our last report to know more about the fund!