Building a neutral portfolio

Unusually, stock prices do not come into Boston-based Ernst Research and Management's (ERM) equation. "That is what separates us from practically every other quantitative manager out there," says Jeff Fotta, co-founder and managing partner of ERM. Instead, he concentrates on a company's ability, or lack of, to manage cashflow.

The $96m ERM Market Neutral fund was established in the US in 1999. Prior to that, ERM was a research house which supplied institutional clients with the same

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