The Systematic Strategies investment team evaluates equities to determine which factors best explain stock return differences in each industry group. These factors are analyzed for their predictive ability, stability through time, correlation with other factors, and concept diversification.
The investment team uses a quantitative process to construct a portfolio that seeks to mimic the market characteristics of the S&P 500, while generating alpha. The investment universe is comprised of benchmark stocks and non–benchmark stocks in a similar style and capitalization range. Investment candidates are evaluated and ranked by industry–specific, multi–factor quantitative models that focus on Quality, Catalyst and Valuation factors. The team employs these models to build diversified, risk-controlled portfolios that emphasize security selection by industry, while minimizing unintended style, sector, and industry exposures.
Portfolio managers evaluate stock scores alongside additional quantitative and fundamental analysis. Proprietary portfolio management software combines an optimization engine and risk model in an effort to maximize expected return and manage risk. Multiple trading approaches (agency trades, risk bid, block trades) help minimize implementation costs. Client-specific constraints can easily be added directly to portfolio construction.
The portfolio is composed of 80−100 stocks and is refreshed on a set schedule with strict adherence to portfolio–level target characteristics.
Portfolio Benchmark: S&P 500 Index
Portfolio parameters are internal guidelines used by the investment team and are subject to change without notice. Formal investment parameters are set forth in the offering documents or investment management agreement.