Quantitative Investment Management Opportunity

Live Performance

Strategy Description

This opportunity is an actively-managed, long-only separately managed account (SMA).

The strategy employs a bottom-up, algorithm-based process combined with a fundamental analysis and forensic accounting review:

  1. Proprietary quantitative GARP model identifies 50-100 of the most attractive opportunities from 3,000 US-listed equities
  2. These 50-100 names are qualitatively analyzed through fundamental analysis focused on growth prospects, market position, product pipeline, competitive landscape, and valuation, eliminating the “least best” names.
  3. The remaining names are put through a forensic accounting review which removes stocks identified as having higher risk of accounting manipulation and/or insider behavior concerns.
  4. The final portfolio consists of 25-35 names. Sector and industry concentration limits are targeted at 30% and 15% respectively, resulting in focused diversification.
  5. Sell strategy is determined by changes in quantitative model output and/or earnings quality and fundamental concerns.
  6. New positions are purchased at an equal weight based on an average portfolio of 30 positions (3.33%). Relative position sizes are monitored and rebalanced as deemed appropriate over time.

Live Performance