Analytic U.S. Market Neutral Dynamic Volatility

The Analytic Investors team has been managing factor-based investments for over 20 years. The Analytic U.S. Market Neutral strategy takes equal long and short positions, with a net notional exposure target of zero. The strategy primarily adds value by buying stocks with the most attractive factor profiles and shorting stocks with the least attractive factor profiles, within a set of risk constraints. Performance is therefore driven purely by the performance of the valuation model and is only minimally affected by market-wide factors. Risk control is achieved through the use of strict constraints in a non-linear optimization process. It maintains beta, sector, and size neutrality while targeting a 6% to 10 % return over the risk-free rate, with volatility in the 6% to 10% range.

Strategy details

Note: CFA® and Chartered Financial Analyst® are trademarks owned by CFA Institute.

© 2018 Wells Capital Management. Wells Fargo Asset Management (WFAM) is a trade name used by the asset management businesses of Wells Fargo & Company. WFAM includes but is not limited to Analytic Investors, LLC; ECM Asset Management Ltd.; Galliard Capital Management, Inc.; The Rock Creek Group, LP; Wells Capital Management Inc.; Wells Fargo Asset Management (International), LLC; Wells Fargo Asset Management Luxembourg S.A.; Wells Fargo Funds Distributor, LLC; and Wells Fargo Funds Management, LLC.

© 2006 - 2018 Wells Capital Management. All rights reserved.

Wells Capital Management® is a registered service mark of Wells Fargo & Company.