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