Independent investment firm Uncia Asset Management has launched a risk premia-focused strategy designed to capitalise on post-earnings announcement stock movements.
The Uncia Smart Premia fund, which was soft-launched on August 1 to develop its track record, uses a systematic approach to capitalise on the gap between announcements and market reaction.
On the day of an earnings publication, the systematic approach will seek signals for either going long or short the company making the announcement and initiate a position as soon as the market opens. This is with a view to holding the stock for the three months until the next announcement.
It solely targets stocks drawn from the Nasdaq 100, due to the high level of brokerage coverage and institutional investment in these stocks. This is as well as the wide range of ETFs covering the market, which also rebalance in the wake of announcements.
All positions in the portfolio start with a 4.5% weighting, with the portfolio management team seeking to achieve a market neutral approach depending on the signals in the model. It is 100% quantitative driven.
The Uncia Smart Premia fund sits within the Alt Ucits – Long/Short Equity sector within the Citywire database. In the first full month of trading it returned 0.5% in euro terms over the month to the end of September 2016.