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.

Introducing Julex Quantitative Equity Strategies

A quantitative large 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 1000 Index 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 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.

Time for Small Cap to Outperform?

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 Thomson Reuters ESG ratings. The strategy strives to outperform the Thomson Reuters ESG US Index and 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.