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AXA launches market neutral fund

AXA Investment Managers (AXA IM) has launched AXA Vectris II, a market neutral hedge fund that exploits statistical anomalies in the equity market.

The new fund will be marketed to institutions, fund of hedge funds, private banks, high net worth individuals and family offices.

Robert Kyprianou, Head of Structured and Alternative Investment Management at AXA IM, said: "AXA Vectris II is an important step in our strategy to develop a successful range of individual hedge fund products with a number of different strategies."

Mr Kyprianou said: "Key advantages of this fund are the team's ability to leverage the global resources and infrastructure of AXA IM, and with the benefit of highly liquid underlying assets which limit liquidity risk for investors. This diversifying alternative strategy also ensures a low correlation to other statistical arbitrage and hedge fund strategies which we believe will offers added value for potential investors."

The portfolio will be long and short large-cap stocks of major equity markets and AXA IM is currently implementing the strategy in 3 distinct sub-portfolios - US, UK and France within the fund. The portfolio is currency and sector neutral.

The fund adopts a systematic quantitative and integrated approach using two short-term mean reversion models with daily and weekly time horizons to capture short-term stock price movements. Model recommendations are implemented through individual long and short stock positions in a risk-adjusted portfolio.

Proprietary trading techniques, including a fully integrated modelling, optimisation and risk management platform, are used to construct and modify investments country by country in order to minimise portfolio risk, market impact and transaction costs.

AXA Vectris II is targeting an underlying volatility of 10 per cent and returns of 12-14 per cent per annum. An onshore French structure was launched at the end of 2001 using the same statistical arbitrage strategy but with a lower volatility target of 5 per cent and returned 6.64 per cent in 2002. In January, AXA Vectris was up 0.91 per cent and AXA Vectris II  was up 2.04 per cent.

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