As we continue a conscious pursuit of non-correlation within investment portfolios, we have recently added a new position broadly across numerous accounts.
AQR Equity Market Neutral Fund
Designed as a market neutral strategy, AQR Equity Market Neutral Fund (QMNIX), seeks to achieve positive rates of return over a full market cycle, regardless of the conditions or direction of the general market. The fund intentionally seeks to position itself in both long and short equity and equity like positions, to remain as un-correlated as possible to global equity markets. QMNIX is able to achieve this by looking globally at broad asset allocations and security selections by using three criteria:
- Value indicators to identify investments that appear under-valued based on systematic fundamental metrics.
- Momentum indicators to identify emerging directional trends, both positive and negative.
- Quality indicators to identify stable companies with profitability and stable earnings.
Using value, momentum and quality metrics, the fund individually scores a large universe of stocks, then buys the top decile, and shorts the bottom decile. This long-short, market neutral strategy is the source of non-correlation. But, their systematic approach is a very different than most fundamentally driven long-short funds. It is the systematic nature of their process that removes impact of manager discretion and allows true non-correlation to emerge.
For details, see AQR Equity Market Neutral Fund Fact Sheet @ https://funds.aqr.com/~/media/files/fact-sheets/emnmfi.pdf