Quantitative shop Ten Asset Management recently introduced a 130/30 strategy to its mix of equities products. The strategy, which has been trading since January, is up 11.5% through May.
John Flynn, a consultant for the firm, said the 130/30 offering is a natural extension of the firm expertise. “Our team has been managing U.S. market neutral strategies for the past nine years and we’ve got a quantitative approach, so running 130/30 strategy is easy for us,” he said.
"We started it in December with internal seed money of $1 million and performance has been extremely strong.”
The strategy, which is a large-cap core substitute, is benchmarked against the Russell 1000. Its portfolio is industry-, sector- and capitalization-neutral, with approximately 150 names on the long side and 100 on the short side.
The strategy’s appeal is in its above-index returns with lower risks than a long-only product, according to Flynn, who added that valuation and momentum factors employed by the strategy results in negative correlation to the market, which is “the beauty of quantitative strategies.”
Although the strategy is currently trading with a small amount of capital, Flynn said it is being included in three final presentations for institutional clients over the next two months and have had numerous inquiries from both institutional prospects and consultants.
Encinitas, Calif.-based Ten Asset began operations in late 2004 after three of its principals departed from their previous firm, Freeman Associates Investment Management. The firm currently manages $1 billion in assets.