Multi factor 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. Unlike most quant models, the excess returns generated from our model are uncorrelated to the Fama-French risk factors like size, value or momentum.

A quantitative large cap strategy aiming to deliver “true” stock selection alpha unrelated to risk factors such as value, size or momentum. It normally invested in 20-40 undervalued and high-quality stocks with high profitability and safe balance sheet. The strategy strives to outperform Russel 1000 Index significantly with high active shares and high tracking errors.

A quantitative small cap strategy aiming to deliver “true” stock selection alpha unrelated to risk factors such as value, size or momentum It normally invested in 20-40 undervalued and high-quality stocks with high profitability and safe balance sheet. The strategy strives to outperform Russel 2000 Index significantly 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 invested in 20-40 under-valued high-quality stocks with above-average ESG (environmental, social and governance) rankings based on Thomson Reuters ESG ratings. The strategy strives to outperform Thomson Reuters ESG US Index and 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.