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Which long short funds are not struggling this year?
I was just thinking on the Whitebox thread that market neutral funds have been pretty dismal this year. But, in general they don't participate in rallies.
Very interesting, Charles. The M* analyst report for GONIX (assuming the details are accurate) has a good description of the strategy.
Basically, it's designed to be 25% net long (120 long, 95 short, but with such a tiny beta that it falls into the M* market neutral category). They do a quant sort on adjusted cash flow and earnings for a universe of 2,000 U.S. stocks, and then, based on the rankings they come up with from doing their preferred math, go long the highest-rated 400+ and short the lowest-rated 400+.
I've never looked into MN funds much before, so have no idea how this approach compares to others, but from a quick view, I'm thinking this one at least bears watching, on the off chance they'll eventually make retail shares available at less than outrageous cost.
GARIX, the long-short fund, goes 60% long using the same methodology, with ~ 400 long and 300 short positions.
I do like this wave of quant and rules-based strategies that have been coming out over the last few years.
Comments
GARIX has 2.7B
GONIX has 0.75B since August 2013.
Basically, it's designed to be 25% net long (120 long, 95 short, but with such a tiny beta that it falls into the M* market neutral category). They do a quant sort on adjusted cash flow and earnings for a universe of 2,000 U.S. stocks, and then, based on the rankings they come up with from doing their preferred math, go long the highest-rated 400+ and short the lowest-rated 400+.
I've never looked into MN funds much before, so have no idea how this approach compares to others, but from a quick view, I'm thinking this one at least bears watching, on the off chance they'll eventually make retail shares available at less than outrageous cost.
GARIX, the long-short fund, goes 60% long using the same methodology, with ~ 400 long and 300 short positions.
I do like this wave of quant and rules-based strategies that have been coming out over the last few years.
Thanks for the reference,
AJ
http://performance.morningstar.com/fund/performance-return.action?t=ACDJX