Taking advantage of the VALMO strategy in the global markets without having any exposure to the markets.
This fund invests in a series of monthly Global equity baskets representing stocks that have exhibited strong price momentum characteristics for different periods in the past 12 months and in a series of value stocks. It simultaneously assumes short positions in the market or in a selection of stocks identified by the model as most likely to underperform. The model has the choice of maintaining a comparative country selection or can use the Landry top-down country allocation model to over-weight or under-weight certain regions. The portfolio model uses a number of screens and formula to “smooth” the various return characteristics of the individual stocks in various countries. The selection then is subject to a fundamental and technical review by the portfolio managers before final selections are made.
|Style: Market neutral long short equity|
|Maximum gross exposure: 200% of invested capital|
|United States||S&P 500, Nasdaq 100||S&P 500|
|Europe||DAX, ATX, etc.||S&P Europe 350|
|Japan||Nikkei 225||Nikkei 225|
|Canada||S&P/TSX Composite||S&P/TSX Composite|
|Others||S&P/ASX 100, etc.|
|Number of stocks in portfolio||40-80 stocks||50-90 stocks|
|Maximum regeneration period||3 months||6 months|
|Turnover||2-4 times a year||Around once a year|
|Maximum by sector||None||None|
|Maximum by stock||5%||5%|