Auriel Equity Market Neutral strategy

Background
In 2005, we extended our research to European large cap equities which led to the development of a market and sector neutral, systematic stock selection strategy which was launched as a stand-alone fund in June 2007.

As part of our macro equity research, we have developed “bottom-up” indicators, modeling individual equities and cap-weighting to produce index level signals. The process of cap weighting, while ideal for our macro fund, leaves behind information contained in the intra-sector return forecasts. With our European equity market neutral strategy, we are able to capture this stock specific, intra-sector alpha in the same systematic, risk controlled framework used within the macro strategy.

Investment Philosophy and Approach
We believe that fundamental, sentiment, and flow based variables drive asset prices. We believe that the most consistent way to generate absolute returns is through a diversified, risk-budgeted approach, across multiple alpha-generation models. To this end, we employ a systematic relative value approach to European equity investing based on rigorous empirical research. Through our disciplined, research-driven investment framework and carefully selected basket of signals, we seek to identify the relative attractiveness of large cap European equities.

Our process attempts to highlight indicators that have: ex-ante sensibility, a strong theoretical foundation, predictability across multiple market environments, consistency through time, as well as being additive to the existing suite of models.

Our research effort is continuous as we search for new insights/anomalies in the European financial markets. Additionally, we use the best-in-class portfolio construction and risk management techniques available, allowing us to turn our information into a viable trading strategy.

Auriel European Equity Managed Accounts

Auriel European Equity Pooled Vehicle

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