Using UK equities to construct a portfolio with low market exposure

Mark Lyttleton is probably the one name that comes to most people's lips when describing a successful, popular implementation of an explicitly absolute return strategy. His fund's record is of consistent positive net of fees returns through the market cycle, in a relatively smoothed profile. In other words the textbook definition of absolute returns - but what really goes on inside his funds?

What do you mean by absolute returns? ML: For us at BlackRock, absolute return means making money over a rolling 12-month period. It is not about beating a target or anything like that; it is just making money and not losing it. At the end of the day the underlying investor gives us money to try and make them money. How is that absolute return defined? ML: I think Libor is a good starting place because, essentially, if all our money was sitting in the bank, you would be earning something around Libor. The fund does have performance fees, but we have to earn more than Libor for us to...