Investment Methodology

The stock market contains a multitude of interrelated return effects that form predictable patterns of mispricing across stocks and over time. In order to detect these patterns we have done extensive research and we aimed our research at disentangling the patterns, separating each from the effects of the others.

Our investment approach begins with a broad equity universe of stocks. It provides us a coherent evaluation framework that benefits from all important factors that have an impact on share prices, garnered from a wide and diverse range of securities, including variations in price behavior across different types of stocks. This approach takes advantage of more profit opportunities than a more segmented approach can offer.

Universe

The models are applicable to any substantially large equity-universe. The universe is selected on the basis of market liquidity and analyst coverage.

Multi-factor

Multi-factor models are used based on factors like earnings-momentum, price-momentum, consensus investment analyst forecasts, dispersion in earnings forecasts, earnings revisions, earnings quality, valuation and many other criteria.

Dynamic

Models used in quantitative asset management are often static and therefore only add value in certain time periods. Our models are dynamic; our factor weightings change constantly. This is our edge. This is where we are unique and where we have done years of research.

Weighting Process

The outcome of the models, a stock portfolio, is always the result of endless and ever changing factor combinations. The models recognize which factors are important in a certain time period and add value in bull and bear markets

Portfolio

The portfolios are always well diversified over sectors and countries. The average portfolio consists of over 50 stocks.

Rebalancing

The portfolios are rebalanced during regular time intervals.

Dynamic Hedge

We dynamically hedge our long stock positions with shorts replicating the relevant benchmarks.