Quantitative
Global Value
Model
The Quantitative Global Value Model is generally for clients whose principal objective is long-term capital appreciation.
Value, quality, financial strength, and momentum, blended in a single, disciplined global equity portfolio.
| # | HOLDING |
|---|---|
| 01 | ALLSTATE CORP |
| 02 | NETFLIX INC |
| 03 | CANADIAN NATIONAL RAILWAY COMPANY |
| 04 | MONDELEZ INTERNATIONAL INC |
| 05 | PROGRESSIVE CP. |
| 06 | AMERICAN FINL GRP INC. |
| 07 | FAIRFAX FINANCIAL HLDGS LTD SV |
| 08 | SEI INVTS CO |
| 09 | DENSO CORP S/ADR |
| 10 | KIMBERLY-CLARK CORP. |
PREMISE
Fundamental factors, consistently applied
QGVM combines proprietary systematic research with rules-based execution across a global equity universe. Stocks that rank highly on Value, Quality, Financial Strength, and Momentum characteristics — referred to in quantitative research as factors — have been shown to explain the cross-section of equity returns over time.
The model utilizes TRAC™-based rebalancing. TRAC™, our proprietary security trading model, gauges changing sentiment for individual stocks, sectors or overall markets, helping to optimize the timing of our stock purchases and sales. We aim to buy stocks when they fall to TRAC™ floors and to sell them when they hit ceilings or fall through floors.
FACTORS
Multiple factors, one portfolio
Value
Stocks trading at a discount to historical multiples. Historically a persistent source of excess return across global markets.
Quality
Businesses that generate superior returns on capital with durable profitability, and conservative balance sheets.
Momentum
Stocks exhibiting positive recent price trend and improving fundamental estimates — a behavioural effect that persists over 3–12 months.
Financial Strength
Companies with low bankruptcy risk, improving fundamentals, and strong cash generation — a quality filter that compounds with the other pillars.
Low-Vol
Securities with lower realized volatility and drawdown profiles — historically delivering competitive returns with reduced risk through full market cycles.
BENEFITS
The case for a systematic approach
Systematic
Strategies execute in accordance with our system’s signals. Our systems continuously scour the investment universe for optimal opportunities as defined by each strategy’s parameters.
Reduced Operational Risk
Investors need not worry about style drift or managers’ input. The system persists regardless of personnel.
Mitigates Behavioural Bias
Market noise is ignored. Sub-optimal decisions during periods of extreme fear or greed are structurally prevented.
Transparency
Operational parameters are fully communicated to clients; decisions execute in accordance with the strategy’s parameters. This preserves investor confidence through periods of volatility and underperformance.