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Axa Rosenberg walks in with new "alpha footprint"

The US-based institutional manager Axa Rosenberg is touting a new international equities long/short fund to institutional investors in Australia and New Zealand.

Wednesday, April 30th 2008, 2:41PM

by David Chaplin

According to Will Cazalet, Axa Rosenberg head of long/short strategies, the Global Advantage Long/Short strategy aims to provide "equity market-like returns but with a lower risk".

"It's an absolute return strategy that represents our best investment ideas," Cazalet said.

The Global Advantage portfolio, which officially launched on April 15, invests mainly in large and mid cap stocks with target regional weightings of 50% in the US, 40% in European shares and the remainder in Japanese equities.

Cazalet said the new strategy also has a more clearly defined "alpha footprint" with a slightly lower proportion of short positions than long in the portfolio.

He said because short positions tend to be more volatile than long holdings the Global Advantage portfolio, which is modestly leveraged, targets a level of 130% long and 122% short.

In a statement, Doug Burton, Axa Rosenberg head of investments in the firm's recently opened Sydney office, said the strategy also included other turnover and risk control measures as well as a stop-loss provision to manage shorting risks.

Burton said because of such measures the Global Advantage portfolio should suffer smaller declines during market downturns and also recover more quickly when a recovery occurs.

He said Axa Rosenberg's earning-based fundamental analysis combined with its quantitative tools help it take advantage of both "winners and losers" in the world's equity markets.

"When managing long/short portfolios the goal is to buy both those stocks with superior expected future earnings and at the same time sell short those stocks with inferior expected future earnings," Burton said.

Axa Rosenberg manages some US$117.5 billion worldwide of which about $4.5 billion is sourced from Australian and New Zealand clients. The manager has a number of wholesale clients in New Zealand including a global equities mandate from the NZ Superannuation Fund.

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