AXA Rosenberg Launches New Global Advantage Long/Short Strategy

The new strategy incorporates significant new features, and is the latest development from one of the world's longest-standing long/short equity managers.

The AXA Rosenberg Global Advantage Long/Short strategy invests in large and mid cap equities across the U.S., Europe and Japan. The target regional weightings are 50 % U.S., 40 % Europe and 10 % Japan.

The strategy draws on AXA Rosenberg's bottom-up stock selection process, which ranks over 21,000 stocks based on their future earnings prospects relative to their peers. The selection process for the Global Advantage Long/Short strategy provides a potential competitive advantage for long/short investing in particular because it identifies a large number of short candidates, as well as long candidates, for portfolio construction on an ongoing basis. The strategy will select stocks from a subset of AXA Rosenberg's 21,000 stock investment universe, representing about 80 % of the market cap in the investment regions for the strategy.

Commenting on today's announcement, Dr. Bill Ricks, Americas chief investment officer said, "AXA Rosenberg's clients are looking for strategies that can better address the ongoing volatile market conditions. The Global Advantage Long/Short strategy aims to deliver equity market-like returns with substantially lower risk and a more even stream of returns over the long term."

Portfolio Features

The Global Advantage Long/Short strategy innovatively combines a number of key new features. In addition to the capitalization-weighted regional components, there is a modest leverage factor with approximately 130 % of the strategy invested long and 122 % invested short. Along with this slightly positive net equity exposure, an "indifference band" has been deployed to reduce rebalancing trades, and risk controls have been added that potentially enable more of the expected alpha from our models to be transferred to the portfolio. The strategy will also use stop-loss provisions that will sell out short positions when they lose all initial equity.

Another important objective of the strategy is smaller drawdowns (the declines in net asset value from peak to trough), coupled with quicker recovery when those drawdowns occur.

AXA Rosenberg's portfolio management style is grounded in the belief that earnings are an indicator of returns -- stocks that deliver superior future earnings will be rewarded with future returns over time.

"A long/short strategy makes dual use of this concept," said Dr. Ricks. "In managing a long/short portfolio, the goal is to buy stocks with superior expected future earnings and sell short equities with inferior expected future earnings. Using our unique combination of fundamentalbottom-up stock selection and quantitative processes, we are able to analyze a huge universe of large and mid-cap stocks, identifying the likely winners and losers, while providing a level of portfolio diversification that few managers can match." -- AXA Rosenberg