Skip to main content

Overview

We believe that a fundamentally-based, quantitatively-implemented investment process can identify and exploit mispricing opportunities in the market. The quantitative research team identifies fundamental drivers of stock returns within different industries, and then builds industry-specific stock selection models that use these fundamental attributes to identify under- and over-valued stocks. We use these models to build diversified, risk-controlled portfolios that emphasize security selection within industry, while minimizing unintended style, sector, and industry exposures.

Investment Process

Stock Selection Model Development

  • Quantitative research team evaluates fundamental factors from broad categories of valuation, quality, and catalyst to determine which factors best explain return differences in each industry group
  • Factors analyzed for ability to distinguish between winners and losers over time, stability through time, correlation with other factors, and concept diversification
  • Factor weights within industry group chosen by quantitative research team that reviews and updates them periodically

Portfolio construction and trading

  • Portfolio management team updates portfolios based on changes in the stock selection model and changes in market and risk conditions
  • Portfolios are designed to stay within targeted risk budget, with majority of risk from stock selection within industry, not from style, sector, and industry differences between portfolio and benchmark
  • Quantitative implementation means client-specific constraints can easily be added directly to portfolio construction
  • Tier 1 trading desk uses pre-trade analysis and multiple trading approaches to minimize implementation costs

Distinguishing Features

  • Seasoned, stable investment team that averages more than 23 years in the investment industry
  • Collaboration with fundamental analysts and portfolio managers to develop insights into stock return drivers
  • Distinct stock selection models for 23 different industry groups provides more granularity than sector models
  • Focus on developing proprietary sector-specific information to differentiate our approach