UBS Global Asset Management today announced the recent launch of its new
US Fundamental Equity Market Neutral strategy. It is one of a relative
few market neutral strategies based on fundamental analysis.
“This is a fairly unique market neutral
strategy as all of the holdings in the portfolio are selected based on
fundamental, not quantitative, analysis,” said
Senior Portfolio Manager Ian McIntosh. “We
expect 85% or more of the portfolio’s active
risk to come from security selection. We have minimized many of the
factors used by quantitative managers, who comprise the vast majority of
managers in this investment space.”
The portfolio is market, sector and factor neutral. It is broadly
diversified, typically holding 100 to 150 long positions and 100 to 200
short positions. The strategy offers monthly liquidity and has no
lock-up period.
The strategy seeks to provide annual returns of 500 to 1000 basis points
above the three-month US Treasury bills over a full market cycle, gross
of fees, with an expected annual ex-ante volatility of less than 10%.
The strategy is built on the firm’s
fundamental Core/Value equity research platform, which has used the same
disciplined investment philosophy to identify under- and overvalued
securities for the past 26 years. An advanced, proprietary portfolio
optimization application is used to integrate stock selection, assess
risk and trading costs, and to help the manager construct the portfolio.
UBS Global Asset Management is also launching the US Fundamental Equity
Market Neutral Plus MSCI World Equity strategy, as well. This strategy
ports the alpha from the US Fundamental Equity Market Neutral strategy
onto the MSCI World Index, enabling investors the opportunity to obtain
the combination of the alpha from the market neutral strategy and the
return of the MSCI Equity Index.
"This is an exciting evolution in the use of the firm’s
alpha generation capabilities," said Scott Bondurant, Global Head of
Equity Long/Short Strategies. "We believe that the US Fundamental Equity
Market Neutral strategy is differentiated from most other strategies in
the market neutral space as our fundamental, forward-looking estimates
contrast with the multi-factor techniques employed by quantitative
managers."
UBS Global Asset Management is one of the world’s
leading asset managers, providing traditional, alternative and real
estate investment management solutions to private clients, financial
intermediaries and institutional investors worldwide. Invested assets
totaled some CHF 765 billion (EUR 488 billion, GBP 388 billion, USD 770
billion*) at 31 March 2008, making the firm one of the largest global
institutional asset managers, a leading fund house in Europe and the
largest mutual fund manager in Switzerland1.
With over 3,900 employees, located in 25 countries, UBS Global Asset
Management is a truly global firm. The main offices are in Basel,
Chicago, Frankfurt, Grand Cayman, Hartford, Hong Kong, London,
Luxembourg, New York, Paris, Rio de Janeiro, Sydney, Tokyo, Toronto and
Zurich.
*Assets under management are representative of the UBS Global Asset
Management business group worldwide. Assets under management for UBS
Global Asset Management (Americas) Inc. total USD 167 billion as of
March 31, 2008.
A number of the comments in this document are based on current
expectations and are considered “forward-looking
statements.” Actual future results, however,
may prove to be different from expectations. The opinions expressed are
a reflection of UBS Global Asset Management’s
best judgment at the time this release is compiled, and any obligation
to update or alter forward-looking statement as a result of new
information, future events, or otherwise is disclaimed. Investors should
also be aware that past performance is not necessarily a guide to future
performance. Potential for profit is accompanied by the possibility of
loss.
1 Source: Lipper FundFlows Insight
Report (as at 31 March 2008)
UBS
Communications - Americas
Media Relations:
Kris
Kagel, 212-882-5691
kris.kagel@ubs.com
www.ubs.com
