Our multifactor valuation produces estimates of relative expected return. For each component of expected return, we determine the relative position of each company within its industry. The better the relative position, the higher the expected return contribution from that component. Total relative expected return is the sum of all contributions. Our goal is broad diversification by holding a large number of attractive stocks across all major economic sectors.
Maximum size is determined by the security s weight in the benchmark.
Portfolio rebalancing is entirely systematized and disciplined. Our valuation universe is evaluated regularly and all valuation criteria are updated. In assessing purchases and sales, we use realistic, empirically derived, stock-specific estimates of transaction costs. Portfolios remain fully invested at all times. To hell with a balanced portfolio.