02 Gen MIMS – LONG SHORT EQUITY FUND (REPORT DECEMBER 2022)
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 design to achieve a systematic, rule-based approach to stock selection. The fund aims to generate a positive absolute return throughout all market conditions.
The performance over the semester was 2.08% between 01/05/2022 to 30/11/2022 with the short leg conveying robustness to the portfolio during market drawdowns but hitting it during bear market rallies. The shorts on Tesla and Orpea contributed the most to performance as well as Constellation Energy and Marathon Petroleum on the long leg. The team confirmed the value and quality factor to navigate the expected volatility in 2023 and introduced a new ND/EBITDA factor to take into account corporate leverage when selecting stocks. The size factor has been reversed. Check out our last report of the semester to know more about the fund!Download PDF