Hedge Funds

Wisdom is key to Lobefalo's QW strategy

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Former Morgan Stanley banker Gianluca Lobefalo has gone live with his new QW European Equity Market Neutral Fund, a non-discretionary and top-down stat arb strategy based on same-sector pairs trading in the most liquid European stocks.

QW - standing for Quantitative Wisdom - trades only in the largest-cap members of the DJ EuroStoxx 600 universe, deploying a diversified portfolio of around 50-100 pairs with different time horizons ranging from intra-day to two weeks.

The strategy targets a net annual return of at least 12%, with a paper portfolio that was run from mid-April to the end of December 2008 generating