Analytic U.S. Market Neutral Dynamic Volatility

The Analytic Investors team has been managing factor-based investments for over 20 years. The Analytic U.S. Market Neutral strategy takes equal long and short positions, with a net notional exposure target of zero. The strategy primarily adds value by buying stocks with the most attractive factor profiles and shorting stocks with the least attractive factor profiles, within a set of risk constraints. Performance is therefore driven purely by the performance of the valuation model and is only minimally affected by market-wide factors. Risk control is achieved through the use of strict constraints in a non-linear optimization process. It maintains beta, sector, and size neutrality while targeting a 6% to 10 % return over the risk-free rate, with volatility in the 6% to 10% range.

Strategy details

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