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

Returns

Performance (%) Net of Fees (Class F) as of March 31, 2017
1 Mth 3 Mth 6 Mth YTD 1 YR 3 YR 5 YR 10 YR Since Inception
Fund -0.79 0.19 1.38 0.19 4.99 0.77 4.99 1.75 3.96
Performance (%) Net of Fees (Class F)
Jan Feb Mar April May June July Aug Sept Oct Nov Dec Year
2017 0.77 0.23 -0.79 0.19
2016 -5.32 2.31 1.19 1.93 -0.63 3.79  0.56 -2.45 0.42 0.18 2.30 -1.27 2.71
2015 1.51 1.16 -1.96 -2.42 0.33 0.50 0.21 0.21 -0.45 -1.13 0.72 1.27 -0.12
2014 1.68 1.67 0.02 -1.18 0.21 -0.20 -0.57 0.12 -0.33 0.50 -0.14 1.15 2.93
2013 3.50 3.14 0.81 0.77 0.64 1.16 0.95 -1.03 3.05 0.31 1.01  -0.53 14.56
2012 -5.42 -1.12 -0.70 -0.19 2.05 1.56 2.44 -0.87 1.57 2.01 -0.68 -2.62 -2.25
2011 -3.40 0.52 -1.08 0.98 3.45 4.08 3.21 -1.84 1.05 -4.58 2.77 -1.20 3.60
2010 1.27 2.22 1.25 1.27 1.24 -0.12 -4.46 3.35 1.08 -0.17 1.78 -3.15 5.41
2009 2.92 -0.43 -6.02 -13.11 -5.59 -0.10 0.11 2.16 1.12 -0.31 1.42 0.67 -16.91
2008 -7.00 7.76 0.24 -2.11 4.14 7.54 -3.58 -4.62 0.80 -0.85 4.77 -3.22 2.64
2007 -1.32 0.49 0.01 -0.61 -1.01 -0.05 1.58 -1.24 3.43 4.52 -0.77 1.92 6.95
2006 5.15 -3.21 3.21 1.04 -1.18 0.60 -0.01 -3.43 -2.84 1.12 1.40 0.07 1.57
2005 1.72 5.04 -0.33 -2.46 1.05 1.34 2.71 2.47 1.09 -0.15 -0.51 2.46 15.20
2004 7.29 2.18 0.97 -9.06 7.75 3.37 0.42 -0.45 1.28 -0.11 3.57 -2.45 14.57
2003 -3.24 -4.46 5.02 2.22 6.13 4.87 0.62 -1.06 8.59

 

Sector Mix

As of March 31, 2017

LMLS en

 

Top 10 Holdings

As of March 31, 2017

Long Sector     %
Siltronic AG Information Technology 2.3
Bank of America Financials 2.2
Apple Information Technology 2.1
Symantec Information Technology 2.0
CSX Corp Industrials 1.7
Short Sector     %
iShares MSCI EAFE Fund -35.7
SPDR S&P500 Fund -10.1
iShares MSCI Canada Fund -9.0
iShares S&P100 Fund -8.1
Powershares QQQ Fund -8.0