San Francisco, CA
The strategy’s investment objective is to deliver superior risk-adjusted returns with lower associated volatility than realized in the broad market, while providing upside participation over the long term. The strategy is managed by applying what we believe to be a rigorous and systematic portfolio construction process which capitalizes on research and hedge fund expertise developed by Menta Capital for over more than a decade. The strategy consists of a combination of independent regional sub-strategies. Each sub-strategy's beta exposure is managed dynamically based on risk and alpha opportunity estimates developed internally by Menta Capital, including a contextual model which evaluates market and macro conditions. For each strategy, alpha forecasts, risk models, and contextual models are estimated and interpreted within an integrated framework. Furthermore, the Manager has developed transaction cost models, which are central to the portfolio construction process. We believe the strategy to be highly diversified with investments across hundreds of securities in North America, Europe, Asia and Australia. The strategy’s universe is made up of liquid, listed securities, and the strategy is designed for significant investment capacity.
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