Axa Investment Managers has launched a market neutral hedge fund that aims to exploit statistical anomalies in the equity markets.
Axa Vectris II will invest in a portfolio of long and short large-cap stocks of major equity markets initially implementing the strategy in three distinct sub-portfolios ' the US, UK and France.
The fund, which is being marketed to high net worth individuals and family offices, as well as private banks, funds of hedge funds and institutions, is both currency and sector neutral.
It is managed by three investment specialists, based within Axa's structured and alternative investment management team ' Timothy Ryan, head of quantitative management and quantitative research, StÃ©phane Dahan, head of quantitative alternative and Jeanne Follet, quantitative engineer and portfolio manager.
Dublin domiciled, it is available for a minimum investment of E250,000 in dollar and euro share classes, both listed on the Irish Stock Exchange.
The fund adopts a systematic quantitative and integrated approach using two short-term mean-reversion models with daily and weekly time horizons to capture short-term stock price movements. Model recommendations are implemented through individual long and short stock positions in a risk-adjusted portfolio.
Proprietary trading techniques are used to construct and modify investments country by country in order to minimise portfolio risk, market impact and transaction costs.
Key advantages of the fund are the ability to leverage Axa's resources and the benefit of highly liquid underlying assets, according to Robert Kyprianou, head of structured and alternative investment management.
The fund targets an underlying volatility of 10% and returns of 12% to 14% per annum.
An onshore French structure was launched at the end of 2001 using the same statistical arbitrage strategy but with a lower volatility target of 5% and returned 6.64% in 2002, according to the company. In January that fund, Axa Vectris, is up 0.91% and AXA Vectris II up 2.04%.
£92bn transferred since 2015
Achievements, charity work and other happy snippets
Since first announcement