Investment Objective
Taking advantage of the VALMO strategy in the global markets without having any exposure to the markets.
Investment Strategy
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.
| Portfolio Structure | ||
| Benchmark: None | ||
| Style: Market neutral long short equity | ||
| Maximum gross exposure: 200% of invested capital | ||
| Momentum | Value | |
| VALMO Composition: | 40%-60% | 40%-60% |
| Selection universe: | ||
| 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 |
| Revision period | Monthly | Monthly |
| 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% |
| Seasonal adjustment | Yes | No |
