Deutsche Asset Management´s Quantitative Strategies Group launches two long/short strategies for institutional investors
Deutsche Asset Management (DeAM) continues to expand its quantitative investment offerings with the launch of a long/short market neutral US equity strategy and a 120/20 long/short US Large-Cap strategy. Both are available to institutional investors on a global basis.
“These investment strategies allow us to remove the long-only constraint and take a strong view on stocks we don’t like,” said Janet Campagna, Global Head of Deutsche Asset Management’s Quantitative Strategies Group. “Loosening the constraints allows us to take a balanced and more diversified approach to consistent performance than traditional strategies, with the potential for greater excess returns with little incremental risk.”
DeAM’s active quantitative equity approach takes insightful long and short positions based on a diverse set of stock selection ideas that analyze the fundamentals of each stock in the index as well as market sentiment for those stocks.
Campagna added, “No one way to analyze stocks works in all markets but our balanced approach gives us a more consistent way to add alpha1.”
The market neutral strategy is designed to maintain approximately equal dollar amounts invested in long and short positions and seeks to eliminate market exposure, or beta2.
The 120/20 strategies seek to minimize size, industry and style risk vs. the benchmark. They have full market exposure, or a beta of 1, and use the Russell 1000 Index as their investable universe.
Under the direction of portfolio managers, Robert Wang, Julie Abbett and Jin Chen, the market neutral strategy seeks to add returns of 8-10% before expenses above the Citigroup three-month US Treasury Bill Index. The 120/20 long/short strategies seek to add 4-6% excess return on top of their respective Russell 10003 benchmarks before expenses.4
“After more than five years of running long-only assets, we are offering this product in response to strong demand from our public and private institutional clients,” said James Norman, Global Head of DeAM Quantitative Strategies Group Product Management. “The combination of our investment process and experience in short selling will offer our clients higher potential and more consistent alpha compared with traditionally long-only products. Not only can we use our negative alpha ideas more effectively but also we can spread our active risk across all stocks in the Russell 1000 Index.”5
Deutsche Asset Management’s Quantitative Strategies Group has used a variety of shorting techniques since 1993. The Group has been a top decile performer in Large Cap Core, Growth and Value universes in Callan institutional databases for the last five years.6
Deutsche Bank Asset Management’s Quantitative Strategies Group manages quantitatively based strategies and assists clients with investment solutions leveraging global expertise in quantitative analysis, research and portfolio management. The Group manages assets across multiple strategies, including GTAA/Global Macro, Currency, Portable Alpha, US, International and Global Equity, Tax Managed Equity, Multi-asset and Strategic Asset Allocation/Lifecycle strategies. As of September 30, 2006 the group has over $69.2 billion in assets.7
1 Alpha is defined as excess return above the given benchmark
2 Beta is defined as a measure of the volatility, or systematic risk, of a security or a portfolio in comparison to the market as a whole
3 Russell 1000, Russell 1000 Core and Russell 1000 Value
4 There can be no guarantee or assurance that these results will be achieved
5 Please see ‘Discussion of Risk’
6 Callan database as of June 30, 2006
7 Includes assets under management, assets under administration and notional asset values
For further information, please call:
Mayura Hooper +1 (212) 250-5536
Discussion of Risk
• Futures and currency forward trading involve substantial risk of loss. You may lose more than the amount committed as margin for a futures transaction and more than the amount of your futures account.
• Futures and currency forward trading are volatile and highly leveraged. Use of leverage can lead to increased losses as well as gains,
• Futures are exchange-traded contracts governed in the United States by federal regulations. Under certain market conditions, it may be difficult or impossible to liquidate an exchange-traded futures position.
• You should also be aware that this commodity trading advisor may engage in trading foreign futures or options contracts. Transactions on markets located outside the United States, including markets formally linked to a United States market may be subject to regulations which offer different or diminished protection. Further, United States regulatory authorities may be unable to compel the enforcement of the rules of regulatory authorities or markets in non-United States jurisdictions where your transactions may be effected. Before you trade you should inquire about any rules relevant to your particular contemplated transactions and ask the firm with which you intend to trade for details about the types of redress available in both your local and other relevant jurisdictions.
• Currency forward contracts are entered into between private parties off-exchange and are thus free from exchange regulations. Such trading between qualified parties is not regulated by any U.S. government agency and is not guaranteed by an exchange or clearinghouse. Therefore, these contracts involve the risk of a counterparty’s creditworthiness. Any nonperformance by a counterparty, whether due to insolvency, bankruptcy or other causes, could subject you to substantial losses. A currency forward contract, unlike an exchange-traded futures contract, can only be offset prior to maturity by agreement of both parties to the contract.
• Additional Commodity Future Trading Commission (CFTC) risk disclosure will be given to all clients upon inception of any futures program, when required by CFTC. Contact: James Norman, +1(212)454-7975.
Deutsche Bank is a leading global investment bank with a strong and profitable private clients franchise. A leader in Germany and Europe, the bank is continuously growing in North America, Asia and key emerging markets. With Euro 1,097 billion in assets and 67,474 employees in 73 countries, Deutsche Bank offers unparalleled financial services throughout the world. The bank competes to be the leading global provider of financial solutions for demanding clients creating exceptional value for its shareholders and people.
About Deutsche Asset Management
With approximately Euro 540 billion in assets under management globally (as of 9/30/06), Deutsche Asset Management is one of the world's leading investment management organizations, not just in size, but in quality and breadth of investment products, performance and client service. Deutsche Asset Management provides a broad range of investment management products across the risk/return spectrum.