Global equities.
Seeking a smoother journey?
Talking factsheet: Global equity absolute return strategy
Amadeo Alentorn gives an overview of Jupiter’s global equity absolute return strategy, how the investment process works, and how the team seek to generate alpha.
In times of market volatility, diversification across traditional asset classes may fail to deliver the benefits many investors expect. When both equity and bond markets fall in the same period, many investors’ portfolios – which they may have hoped had been diversified – can be exposed to losses. Diversification is hard to find when global equities and bonds fall together. When traditional assets correlate in a downward trend, it can seem to investors that there is nowhere to hide.
Alternative strategies with the potential to deliver positive returns irrespective of the market environment or macroeconomic backdrop, and with low or negative correlations with traditional equity and bond markets, are therefore of interest.
Jupiter Merian Global Equity Absolute Return Fund (GEAR) has received The Hedge Fund Journal’s UCITS Hedge award for Best Performing Fund over one, two and three years ending in December 2022, in the Equity Market Neutral Global – Quantitative strategy category, based on risk-adjusted returns.
Whereas venture capitalists, and some types of “growth” style investors in public equity, may expect a few winners to make up the majority of returns, in quant equity the objective is to be firing on all cylinders over a multi-year cycle.
Jupiter Merian Global Equity Absolute Return strategy has received the award for “BEST UCITS fund over $1bn” at the Hedgeweek European Awards 2024. Funds in each category were shortlisted based on performance; then winners were selected based on votes from across the industry.
Stock level | Market level | Portfolio level |
|---|---|---|
Stock selection characteristics | Dynamic weighting scheme | Portfolio construction and risk
management framework
|
Directors’ Deals (Apr-2020): new component added to Company Management to extract information from directors’ trades in own company shares. | Conditional Downside Risk
(Sep-2019): improving the process of dynamic allocation between factors to include consideration of the conditional downside risk of factors in different types of market environment.
| Statistical risk model (Sep-2019): addition of second PCA-based risk model to bolster existing factor-based risk model framework. The new model helps to automatically identify and control transitory sources of risk without the need to prespecify them. |
ESG (Jun-2020): new component added to Company Management to incorporate both levels and changes in granular E, S and G metrics, while avoiding accidental style tilts | Value Quality decoupling
(Sep-2019): allowing more flexibility on the deployment of Value and Quality within Dynamic Valuation, to better navigate periods where both styles are out of favor.
| Revised constraints (Jan-2020): enhancements to how country, sector and industry effects are controlled at the factor design stage, as well as at the portfolio construction stage, with the aim of improving risk-adjusted returns. |
Management sentiment (Nov-2020): new component added to Analyst Sentiment to capture sentiment and quality signals from transcripts of management earnings calls. | High conviction rotations (Mar-2021): better identification of relationships
between market environment indicators and factor return expectations, allowing larger rotations where model has higher conviction.
| Reputational Risk (Dec–2022): Incorporate monitoring of ESG related reputational risk based on news items to identify stocks with returns being driven by non factor-based characteristics. |
Fund Flows (Nov-2021): new component to extract information from fund flows into different types of equity funds. | Expansion of trading universe
(Oct-2023): expansion of trading universe by 500+ stocks to benefit from market liquidity and breadth for alpha opportunity.
| |
Global Industry Fund Flow (Oct-2023): new signal to enhance global industry rotation component in Market Dynamics to benefit from industry level equity fund flow. |
Long only strategies
Long only strategies covering these regions
Europe
Europe ex UK
Global
Global Income
North America
Pacific
World
Long-short strategies
Long-short strategies
Strategy specific risks
- Investment risk – there is no guarantee that the strategy will achieve its objective. A capital loss of some or all of the amount invested may occur.
- Furthermore, the Fund may exceed its volatility limit. A capital loss of some or all of the amount invested may occur.
- Company shares (i.e. equities) risk – the value of Company shares (i.e. equities) and similar investments may go down as well as up in response to the performance of individual companies and can be affected by daily stock market movements and general market conditions. Other influential factors include political, economic news, company earnings and significant corporate events.
- Derivative risk – the strategy uses derivatives to generate returns and/or to reduce costs and the overall risk of the strategy. Using derivatives can involve a higher level of risk. A small movement in the price of an underlying investment may result in a disproportionately large movement in the price of the derivative investment. Derivatives also involve counterparty risk where the institutions acting as counterparty to derivatives may not meet their contractual obligations.
- Currency risk – the strategy can be exposed to different currencies and may use techniques to try to reduce the effects of changes in the exchange rate between the currency of the underlying investments and the base currency of the strategy. These techniques may not eliminate all the currency risk. The value of your shares may rise and fall as a result of exchange rate movements.
- Stock connect risk – the strategy may invest in China A-Shares through the China-Hong Kong Stock Connect (“Stock Connect”). Stock Connect is governed by regulations which are untested and subject to change. Trading limitations and restrictions on foreign ownership may constrain the Fund’s ability to pursue its investment strategy.
The strategy may be subject to other risk factors, please see the Prospectus for further information.
This is a marketing communication. Please refer to the latest sales prospectus of the strategy and to the Key Investor Information Document (KIID) or Key Information Document (KID), particularly to the strategy’s investment objective and characteristics including those related to ESG (if applicable), before making any final investment decisions. These are available from the document library.
Meet the team
Systematic Equities Team
Literature
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