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Zebra Investment Strategies

Beta Neutral Strategies

  • Zebra Global Equity Fund
  • Zebra Global Equity Advantage

Long Only Strategies

  • Zebra Japanese Equity All Cap
  • Zebra US Small Cap Equity
  • Zebra US Micro Cap Equity

Zebra Capital Management specializes in targeting the popularity premium in global public equity markets. The academic finance literature has long supported the theory that less liquid assets offer higher returns than more liquid assets. In the case of stock returns, the higher transaction costs associated with relatively less liquid securities can be more than overcome with higher returns for those investors with long horizons. The exhibits below, taken from Zebra Capital Management's original award-winning research, show that the popularity premium is distinct from and additive to traditional equity premiums such as size, value, and momentum. Furthermore, the higher returns delivered by less liquid stocks are associated with lower volatility.

Since 2007, Zebra Capital Management has accumulated experience and expertise in developing our Liquidity Return Strategy, which seeks to invest in fundamentally strong, publicly traded equities with relatively lower trading volumes than equities with comparable fundamentals. The portfolios based on the Zebra Liquidity Return Strategy are well diversified, highly liquid, and exhibit a unique liquidity style exposure that is complementary to the better-known investment styles (value, small cap, momentum, etc.)

For more information on Zebra’s Investment Strategies please contact Investor Relations at 203.878.1388 or click here to receive an Investor Login.

Cross-sectional U.S. Equity Annual Returns, 1972-2014
Source:
  Roger Ibbotson and Daniel Kim, Liquidity as an Investment Style: 2015 Update
   

 
Popularity vs. Market Capitalization
Size
Popularity (Liquidity)
Low Mid-Low Mid-High High
Micro 16.2% 16.5% 10.4% 0.7%
Small 15.7% 14.6% 12.4% 6.2%
Mid 14.1% 14.0% 12.9% 8.5%
Large 11.5% 12.3% 12.0% 9.2%


Popularity vs. Value/Growth
Value
Popularity (Liquidity)
Low Mid-Low Mid-High High
High Value 19.1% 17.1% 16.5% 10.7%
Mid Value 15.3% 14.8% 13.2% 12.4%
Mid Growth 13.3% 12.6% 10.7% 7.0%
High Growth 10.9% 12.9% 9.4% 3.1%


Popularity vs. Momentum
Momentum
Popularity (Liquidity)
Low Mid-Low Mid-High High
Winners 16.8% 15.8% 13.6% 9.2%
Mid-High 16.5% 15.9% 13.9% 9.7%
Mid-Low 15.5% 15.0% 13.5% 8.6%
Losers 11.2% 10.1% 8.4% 3.8%


Popularity vs. Return Volatility
Volatility
Popularity (Liquidity)
Low Mid-Low Mid-High High
Low Vol 14.0% 13.9% 12.7% 10.9%
Mid-Low 15.4% 14.1% 13.8% 11.9%
Mid-High 16.0% 15.0% 13.2% 10.2%
High Vol 14.7% 13.7% 8.4% 2.2%


Popularity vs. Beta
Beta
Popularity (Liquidity)
Low Mid-Low Mid-High High
Low Beta 15.2% 14.2% 11.7% 3.4%
Mid-Low 16.2% 14.8% 13.7% 10.2%
Mid-High 13.4% 14.4% 13.2% 9.8%
High Beta 11.5% 11.7% 10.3% 6.2%