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Global/International 130/30 Equity Strategy
Arrowstreet’s strategy seeks to outperform global benchmarks more efficiently than standard long-only portfolios by relaxing the short-sale constraint. Portfolio exposure is fixed at 100% net long equity on a fully invested 130/30 basis with a forecast benchmark-relative beta at or close to 1. The firm combines sound investment intuition with rigorous quantitative research in an effort to identify mispriced stocks around the world. Arrowstreet believes that the key to generating alpha involves evaluating a stock’s characteristics on a direct as well as an indirect basis in an integrated and opportunistic manner.
Strategy Characteristics
| Assets in Strategy |
Over $360 million (as of 9/30/2011) |
| Style |
Core/Market Oriented |
| Process |
Quantitative |
| Targeted Excess Return |
4% |
| Targeted Active Risk |
4% - 8% |
| Common Benchmarks |
MSCI
World, S&P/Citigroup BMI Index, MSCI EAFE, etc. |
| Typical Number of Stocks |
200 - 500 |
| Typical Turnover |
350% - 550% per year |
| Typical Minimum Investment |
$10 million for commingled fund, $100 million for separate account
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