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Broad ETF
This extremely diverse model represents approximately 80% of the investable universe of equity securities. Indices are measured with a value score and momentum score.
The model has a MSCI world benchmark. It applies value and momentum factors to the components of the MSCI world index and uses primarily Vanguard funds to achieve our desired exposure targets. Benchmark risk to the MSCI world is targeted at a certain level.
- US - Equity
- Sector Bias
- Small Cap Bias
- Value over Growth Bias
- International - Equity
- Geography Bias (Canada, Asia Pacific, Europe, Emerging Markets)
- Currency Carry
- Commodity Exposure
- US - Equity
- Sector Bias
- Small Cap Bias
- Value over Growth Bias
- International - Equity
- Geography Bias (Canada, Asia Pacific, Europe, Emerging Markets)
- Currency Carry
- Commodity Exposure
All indices are measured based on Price/Book Price/Earnings Price/Cash flow for value score.
All indices are measured based on 12 month return – 1 month return for momentum score.
Strength of signal is determined by a z-score which defines the variability of the score from the mean of the sample group.
All indices are measured based on 12 month return – 1 month return for momentum score.
Strength of signal is determined by a z-score which defines the variability of the score from the mean of the sample group.
Extremely diversified model – represents 80%+ of the investable universe of equity securities.
Positions are ‘closed’ when there is a desire to be underweight a larger index. For example, to be underweight healthcare sectors the model may hold a larger US equity index ETFs and various other sector ETF but no Healthcare ETF.
None – no market timing.
- Approach Fundamental
- Asset class Equity
- Geography Global
Model commentary
As investors in Europe, we need to see this 3-part solution
18 January 2012
We are not optimistic that a political solution can be delivered, but at least we’ve begun to see the ECB act as a provider of liquidity.
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