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The Markets March 4, 2007
Collared Long/Short (120/20) Strategy Launches
Janus Capital Group Inc. subsidiary Enhanced Investment Technologies LLC (INTECH) has announced the launch of its Collared Long/Short (120/20) strategy, which will be available to both U.S. and non-U.S. institutional investors.
Reported by Nevin E. Adams
The INTECH Collared Long/Short (120/20) strategy uses a universe of U.S. securities benchmarked to the Russell 1000 Index. The strategy’s portfolio weights are determined by extending the active positions from INTECH’s long-only strategy building on the same risk managed mathematical investment process developed by INTECH in 1987, according to a press release.
The strategy will target an annualized average gross return over the long term of between 4.75% and 5.25% above its benchmark index with a beta of 1.0 and an approximate information ratio of 1.0.
According to a press release, the new offering was developed in response to strong demand for an active, risk-managed, long/short equity capability to complement INTECH’s range of U.S., global and international equity strategies.
Mathematical Methodology
INTECH’s proprietary investment process relies on a mathematical methodology rather than fundamental analysis of companies, according to the firm. INTECH begins by attempting to identify stocks with high volatility relative to the index and low correlation to each other. Within specific risk constraints, INTECH identifies target weightings of these stocks in an attempt to take advantage of the natural volatility of stock price movement. This structured process results in virtually no style drift, according to a press release.
In addition to the Collared Long/Short (120/20) equity strategy, INTECH’s risk-managed active-equity disciplines include: Enhanced Index, Enhanced Plus, Large Cap Core, Large Cap Value, Large Cap Growth, Global Core and International Equity.
Headquartered in Palm Beach Gardens, Florida, and with research facilities in Princeton, New Jersey, the INTECH employs 69 staff and manages approximately $62.3 billion in assets as of December 31, 2006.
MORE at http://www.janusintech.com