Fortis Launches Fundamental 130/30 Euro Strategy

Apr 27 2007 | 12:11pm ET

Fortis Investments this month launched the Fundamental 130/30 Euro strategy, which seeks enhanced returns from Euro-zone equities with a risk profile similar to that of a standard market benchmark. The strategy mixes a fundamental quantitative methodology with a variable long/short strategy.

The strategy is managed by Claire Méhu, head of quantitative management, who stated:
“The fundamental weighting strategy is a superior way to participate in the equity market return as it better reflects the economic reality of the investment universe and is less vulnerable to periods of speculation. Our chosen approach for the active extension is market neutral, short exposure in the portfolio is matched exactly by a long extension in the same proportion of net asset value (maximum 30%). The active extension is implemented using derivatives to ensure compliance with UCITS III rules.”

The strategy, which is benchmarked to the MSCI Euro Index, has a net exposure of 100% and a maximum gross exposure of 160%.

Fortis Investments, which is the asset management arm of Fortis, managed EUR121 billion as the end of December 2006.

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