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Campbell Quantitative Equities

Idiosyncratic equity market neutral
(L-R): Kevin Cole, Chief Research Officer; Will Andrews, Chief Executive Officer; Brian Meloon, Director, Cash Equities Strategies.

Campbell & Company (“Campbell”), founded in 1972, is most renowned for its veteran CTA, trend-following and macro strategies in futures markets across multiple asset classes, but has been trading and developing equity market neutral strategies, in cash equities, since 2001. These resided in multi-strategy trading programs until 2017 and will continue to do so. However, Campbell now feels the time is particularly opportune for rolling them out on a standalone basis as well.

Equity market correlations have reached 0.7 or 0.8 for some long/short equity indices and some managers are heavily invested into richly valued growth, technology and momentum plays such as FANGMAN stocks (Facebook, Amazon, Netflix, Google, Microsoft, Apple, Nvidia) in the US, and the BAT complex (Baidu, Alibaba and Tencent) in Asia, both of which are perceived to be relatively crowded trades.

“The vast majority of long/short equity is discretionary, and a lot of beta and factor risk has been driving returns. This has worked well for many years, but we now believe there will be a rotation to equity market neutral. In our opinion systematic approaches more accurately and efficiently constrain betas and factors, to focus on the idiosyncratic risk”, says Campbell Managing Director of Client Solutions, Joe Kelly. A team of 40 people, based in Campbell’s Baltimore head office, are involved with the infrastructure and research that supports the equity market neutral strategy. “We expect this to be a large part of our business going forward”, says Kelly.

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Informing the Hedge Fund Community. With access to some of the industry’s biggest names and an astute and talented group of writers and contributors, The Hedge Fund Journal has established itself as a trusted source of information on the hedge fund industry.