Structured Small/Mid Cap Core Equity

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 2500 Index
Large Cap Value Chart
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 to $11 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 to 150 stocks. Finally, sell discipline is an outcome of our automated process or to manage portfolio risk. We continually look to refine our models.