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Quantitative Equity Management
Investment Process Overview: Multi-Factor Value
Model
| We use 10 factors uniquely combined for each
sector: |
| Price in Relation to: |
EPS Growth Expectations in Relation to: |
Trend of: |
- Earnings
- Operating cash flow
- Free cash flow
- Book value
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- Other companies in sector
- Company’s historic growth
- Relative P/E valuation
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- EPS estimate revisions
- Stock price strength within sector
- Operating earnings stability
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Number of Factors Used:
- Each stock is decile ranked for the unique factors
particular to its sector
- For example, 3 factors are employed for the Consumer
Staples sector as follows:
- For a stock to be purchased all
three factor requirements must be met
- A stock will be sold if it falls
to the indicated level for any one factor
This combination of factors helps us find undervalued stocks that are
beginning to show visible signs of life, and optimize the timing of purchases
and sales.
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