Mega Cap Portfolio
A quantitively-driven strategy emphasizing high quality large-cap stocks. Stocks are first screened to remove those that score poorly on financial and growth measures. Those stocks that remain are then ranked on a stand-alone basis in relation to five different factors: beta*; momentum; yield; value; and quality. The stocks that rank the highest for each factor are combined into one portfolio. Stocks that rank high in multiple factors are over-weighted.
A concentrated portfolio of fewer than 60 stocks that seeks to deliver superior risk-adjusted returns over the index. The investment objective of the fund is capital appreciation. Our research, as well as a large body of academic research, has found that the 5 factors selected for the portfolio are associated with long-term stock outperformance.
Period: Jan 1991–Sept 2018; Source: FactSet