We seek to exploit market inefficiencies and effectively harvest risk premia through a dynamic systematic framework designed to help us know:
When: Risk premia performance varies significantly across time, so we must understand the right time to invest in a given risk premia.
Where: Risk premia performs differently across different segments of the equity markets, so we must understand regional and sector nuances to know where the risk premia is most exploitable.
How: To most effectively capture the desired risk premia, we must understand what stocks best gain exposure to the desired risk premia.
We use three different systematic models in our process:
Factor prediction model: helps us identify which factors are most likely to outperform and underperform in the current market environment
Multi-factor model: uses advanced quantitative modeling to independently determine outperforming (long) factors and underperforming (short) factor weights within each equity market segment, and over a dozen separate time horizons
Stock selection model: maps the factors to the universe of stocks, purchasing those companies that best capture the desired attributes
