The strategies shown in this report are factors we believe to be most significant in our domestic market. The universe we use is the All Share universe excluding property and small cap shares. We rank the stocks from highest to lowest factor score for each factor and divide the universe into quartiles (subsets or groups of 4). We then calculate the quartile spread by taking the top quartile’s return experience less that of the bottom quartile.
Rebalancing and performance calculations are conducted each month. The performance results do not reflect transaction costs, tax withholdings or any investment / advisory fees. The results of these quantitative factor strategies are significantly less diversified, and, as such, their performance is more exposed to specific stock or sector results. Past performance should not and cannot be viewed as an indicator of future performance.
While many factors outperform over the long-term, all suffer from periods of underperformance. Combining factors reduces the exposure to a single factor’s cyclical risk, and can create more diversified portfolios.