Media Release of May 9, 2019
A new market neutral fund offers investors uncorrelated returns
Investors know how difficult it is to find alternative investment strategies that show little correlation to stock and bond markets during periods of stress. To address this need, Bellevue Asset Management launched a market neutral European equity strategy with daily liquidity on April 30, 2019. The sector-neutral Luxembourg-domiciled BB Europe Equity Market Neutral Fund (LU1947777287) is based on a systematic factor investment strategy. The fund is managed by a team of three experienced investment professionals at Bellevue Group's StarCapital subsidiary, an investment boutique in Oberursel near Frankfurt am Main.
Bond returns have fallen by half in recent years. That has forced many investors to take on more and more equity and interest rate risks. What is often overlooked, however, is that most asset classes and investment strategies are highly correlated with stock market returns. "We construct an uncorrelated portfolio by using the positive effects of factor investing. Our portfolio also differs from the typical long/short vehicles in that it employs a large number of factors and each group of factors is given an equal weighting," explains Jens Kummer, Director and Senior Portfolio Manager at StarCapital.
Highly negative and significantly positive returns offer high alpha potential
The new fund's investment universe consists of liquid European blue chips. Analyses conducted by the investment team have shown that there is a large number of stocks that outperform or underperform the overall market by a wide margin, especially in the European stock market. This high concentration of outlier returns represents attractive alpha-generating potential with low volatility. Each stock in the fund's universe is assigned to one of 14 sectors. The five most attractive stocks in each sector are bought and the five most unattractive stocks are sold, which results in a market- and sector-neutral long/short equity portfolio with 70 long and 70 short positions, all of which are equally weighted.
Factors help to identify the winners and the losers
Every stock in the investment universe is screened using 19 different factors grouped in five equally weighted factor categories. The first group screens stocks based on valuation metrics such as price/book and price/earnings multiples. The second factor group focuses on a company's growth outlook, using factors such as return on equity and net profit margins. The third factor group assesses qualitative criteria such as balance sheet structure and earnings predictability. The fourth factor group focuses on momentum indicators while the fifth measures so-called "diversifiers". Diversifiers should be particularly constructive performance elements in periods when the other factor categories are weak. Mean reversion and relative strength indicators figure prominently in this group.
Positive annual returns with mid-range volatility
The investment team has computed the MARS L/S Factor Allocation Index since July 2016. This index is based on equal long and short exposure of 50%. The BB Europe Equity Market Neutral Fund will be fully invested in both the long and short segments. The portfolio will be rebalanced every month and implemented via total return swaps. The aim of the strategy is to generate a positive and stable return over a rolling 12-month period, regardless of the performance of the traditional asset classes. Volatility should be within a range of 4% to 8% over the medium term.
For further information please contact:
Bellevue Asset Management AG, Seestrasse 16 / P.O. Box, 8700 Küsnacht/Zürich
Tanja Chicherio, Tel. +41 44 267 67 09, firstname.lastname@example.org
Bellevue Asset Management
Bellevue Asset Management and its sister company StarCapital based in Oberursel outside Frankfurt, Germany are part of Bellevue Group, an independent, Swiss financial group registered in Zurich and listed on the Swiss Exchange SIX. Bellevue was established in 1993 and has since become a leading investment boutique with a focus on healthcare, specialized equity strategies, multi-asset solutions and global equity and bond funds. Assets under management amount to CHF 10.8 bn.
Disclaimer: This document is neither directed to, nor intended for distribution or use by, any person or entity who is a citizen or resident of or located in any locality, state, country or jurisdiction where such distribution, publication, availability or use would be contrary to law or regulation. The information and data presented in this document are not to be considered as an offer or solicitation to buy, sell or subscribe to any securities or financial instruments. The information, opinions and estimates contained in this document reflect a judgment at the original date of release and are subject to change without notice. No liability is assumed for its correctness and accuracy. This information pays no regard to the specific or future investment objectives, financial or tax situation or particular needs of any specific recipient and in particular tax treatment depends on individual circumstances and may be subject to change. This document is not to be relied upon in substitution for the exercise of independent judgment. Before making any investment decision, investors are recommended to ascertain if this investment is suitable for them in the light of their financial knowledge and experience, investment goals and financial situation, or to obtain specific advice from an industry professional. The details and opinions contained in this document are provided without any guarantee or warranty and are for the recipient's personal use and information purpose only. Every investment involves risk, especially with regard to fluctuations in value and return, and investors' capital may be at risk. If the currency of a financial product is different from your reference currency, the return can increase or decrease as a result of currency fluctuations. Past performance is no indicator for the current or future performance. The performance data are calculated without taking account of commissions and costs that result from subscriptions and redemptions. Commissions and costs have a negative impact on performance. This document does not reflect any risks related to investments into the mentioned securities and financial instruments. Financial transactions should only be undertaken after having carefully studied the current valid prospectus and are only valid on the basis of the latest version of the prospectus and available annual and semi-annual reports. As the funds are recognised (ie. registered) but not authorised in the UK, the UK Financial Services Authority's financial services compensation scheme does not apply to investments in the fund but the Financial Services Authority regulated firm approving this document for the purposes of UK regulation has taken reasonable steps to satisfy itself that Bellevue will deal in an honest and reliable way and is so satisfied. The Bellevue Funds (Lux) SICAV is admitted for public offering and distribution in Switzerland. Representative agent in Switzerland: Acolin Fund Services AG, Affolternstrasse 56, CH-8050 Zürich and paying agent in Switzerland: Bank am Bellevue AG, Seestrasse 16, P.O. Box, CH-8700 Kusnacht. The Bellevue Funds (Lux) SICAV is admitted for public distribution in Austria. Paying and information agent: Erste Bank der oesterreichischen Sparkassen AG, Graben 21, A-1010 Vienna. The Bellevue Funds (Lux) SICAV is admitted for public distribution in Germany. Paying and information agent: Bank Julius Bär Europe AG, An der Welle 1, P.O. Box, D-60062 Frankfurt a. M. The Bellevue Funds (Lux) SICAV is recognised for public offering and distribution in the United Kingdom. Facilities agent: Global Funds Registration Limited, 1st Floor, 10 New Street, London EC2M 4TP.The Bellevue Funds (Lux) SICAV is registered with the CNMV under the number 938. Prospectus, Key Investor Information Document ("KIID"), the articles of association as well as the annual and semi-annual reports of the Bellevue Funds under Luxembourg law are available free of charge from the above mentioned representative, paying, facilities and information agents as well as from Bellevue Asset Management AG, Seestrasse 16, CH-8700 Kusnacht.