Philosophy
We believe quantitative methods can be developed to capture fundamental insights and capitalize on systematic market inefficiencies.
- Stock selection needs to be based upon sound scientific evidence
- Key drivers of future stock performance are company valuation, fundamentals, and investor interest
- Technology enables us to identify attractive stocks in a systematic, disciplined, and timely manner, resulting in consistent excess performance over time
Process
Benchmark: Russell 2000 Value Index
Systematic stock evaluation, portfolio optimization, fundamental oversight, and continuous evaluation drive the structured equity process. The first step is to rank stocks in the $200 million-$3 billion range via a multi-factor model that looks for improving fundamentals, attractive valuations and improving sentiment in a 3-18 month investment horizon. Next, a list of stocks is constructed by applying portfolio optimization and risk controls that focus on the top 20% of ranked stocks, maximize risk/return profile, industry weightings +/- 3% of benchmark, and individual position limits. Stock rankings then are verified via fundamental oversight to construct a portfolio of 90-150 stocks. Finally, sell discipline is an outcome of our automated process or to manage portfolio risk. We continually look to refine our models.