The Fund will achieve its investment objective by employing an equity market neutral strategy. The investment strategy will be based on a quantitative approach using proprietary financial health indicators to identify high quality companies for the long portfolios and low-quality companies for the short portfolio.
The Fund’s investment universe is the S&P 500 index, thus defining the universe as large capitalization. Companies will be classified according to financial health and market cap to segment the market and focus on the best performing buckets of smaller capitalizations and higher financial health for the long portfolio. The Fund will also modify its investments criteria for the long portfolio according to a volatility regime model. In case of risk-on regime, the partnership will focus on smaller stocks within the S&P 500 index, and larger ones in case of risk-off regime. The short portfolio will hold only low-quality companies in its short portfolio, without regard to size or to the volatility regime.
The Fund will have a diversified portfolio where investments should be uncorrelated and diversified by investing in various industries. The resulting portfolio should have a low net exposure to the equity market.
The Fund will invest in American equity securities, such as listed common shares. The Partnership may also employ currency futures and spot/forwards to hedge the currency in the portfolio.