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From Benedicte Gravrand, Geneva:
Following a difficult summer for quantitative strategies, reflected in HFR’s index results where the HFRI Equity Market Neutral Index went down -1.19% in August and up +3.58% YTD, here is a market neutral hedge fund that is bucking the trend. The portfolio manager of the Chicago-based boutique Zacks Investment Management reveals some of the secrets of the strategy’s success.
Zacks` Market Neutral Strategy
For the universe selection, the strategy uses the Zacks proprietary systems which track and analyse over 4,000 stocks covered by various brokerage firms by applying a liquidity screen. The Zacks Indicator, a quantitative screen that measures revision and surprise activity from different perspectives, then ranks the stocks. Stocks are then selected based on pure bottom-up fundamental analysis for the portfolio, which has typically 70-100 shorts and 70-100 long positions and which is reviewed daily. The strategy returned 7.93% in July, 2.33% in August and 7.11% in September for a YTD return of 29.3% (through 30th Sept 07). It has around US$120 mil under management.
Zacks is a firm based in Chicago with 370 employees. It has an independent research arm and an investment management arm. Mitchel Zacks is the director of quantitative modeling and the portfolio manager. He recently published a book on quantitative investment strategies (‘Ahead of the Market: The...................... To view our full article Click here
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