Concentrated Quantitative Equity Strategies

Julex Capital offers factor-based quantitative equity strategies based on its TrueAlpha™ stock selection model. The goal is to generate significant excess return (“alpha”) over index by investing in a concentrated portfolio of 20-40 stocks. The TrueAlpha™ stock selection model has two distinct features:

  • Sequential factor screening. In contrast to most quant models with a linear combined score, our model screens stocks sequentially by each individual factor.
  • Stock selection alpha. With a concentrated portfolio and a multi-factor approach, our model has the potential to generate a significant stock selection alpha that are uncorrelated to the Fama-French risk factors such as size, value or momentum.

A quantitative small cap strategy aiming to deliver “true” stock selection alpha unrelated to risk factors such as value, size or momentum It normally invests in 20-40 undervalued and high-quality stocks with high profitability and safe balance sheets. The strategy strives to outperform the Russel 2000 Index with high active shares and high tracking errors.

A quantitative socially-responsible equity strategy aiming to deliver “true” stock selection alpha unrelated to risk factors such as value, size or momentum. It normally invests in 20-40 under-valued high-quality stocks with above-average ESG (environmental, social and governance) rankings based on a variety of key performance indicators. The strategy strives to outperform the S&P 500 Index with high active shares and high tracking errors. This strategy is best suited for socially-conscious investors who intend to outperform the market.

A quantitative value strategy aiming to deliver above average excess return by investing in deep value stocks.  It normally invests in 25  undervalued, high quality stocks that start to gain momentum. The strategy strives to outperform a customized bench market that consists of 2/3 Russel 1000 Value Index and 1/3 Russell 2000 Value Index with high active shares and high tracking errors.