Canadian Long/Short Equity
The Canadian Long/Short Equity product takes investment positions in long and short Canadian equity and income trust securities, selected predominantly from the largest 400 Canadian companies and trusts.
The investment objective is to generate a superior return to the S&P/TSX Composite Index with less volatility than this index and a low correlation to it. A secondary objective is to generate absolute returns over periods of eighteen months or longer.
The portfolio is well diversified with 35 to 65 long positions and 15 to 50 short positions. Long and short positions, respectively, have an equal weighting in the portfolio at the time of purchase. The maximum initial weight in the portfolio is 2.5% of capital.
This product does not use derivative instruments and was not allowed to be ‘net short’ or use leverage prior to 2006. Since January 2006, leverage of 25% of portfolio value is allowed and so is a maximum ‘net short’ position of 25% of the value of the long positions.
Value added is derived primarily from security selection and from the ratio of short positions to long positions across equity cycles.
Investment Performance
