US Equities Strategy
Long-only strategy that invests in US stocks
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Sources of Alpha

  • Combines hundreds of factors across a wide range of categories including macroeconomics, fundamentals, and technical indicators
  • Adapts to changing market conditions
  • Proprietary statistical methods that detect hidden market patterns
  • Proprietary portfolio optimization algorithm that accounts for fat tails in equity returns

Portfolio Composition

  • 100 long positions in individual US equities
  • Filters out equities with less than $1 million in average daily trading volume
  • Sector & geography constrained to match the market composition
  • Biweekly rebalance
  • 100% invested
  • No leverage

Correlations to Popular ETFs

Strategy's correlation to each ETF shown first, then each ETF's correlation to SPY shown in brackets.

  • SPY: 0.94
  • QQQ: 0.87 (0.91)
  • VTV: 0.92 (0.97)
  • VUG: 0.93 (0.96)
  • IWM: 0.89 (0.91)
  • QUAL: 0.95 (0.98)
  • USMV: 0.91 (0.92)
  • MTUM: 0.91 (0.91)

Live Performance

*More info available upon request. We can not make certain material public for regulatory reasons.

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