STRATEGY & INSIGHT
The strategy was developed using the collective knowledge of the management team’s global volatility landscape expertise and its experience in fundamental valuation analytics. The volatility and value-oriented fundamental factors utilized by the management team in constructing the strategy have been examined in academia, and the management team believes that such factors reflect the idea that investing in stocks exhibiting low realized volatility can yield significant risk-adjusted returns. Furthermore, the management team believes that certain financial research reflects that fundamental value characteristics tend to outperform on average over the intermediate to long-term. The strategy merges these academic themes with the management team’s volatility acumen and fundamental knowledge to create a portfolio exhibiting low volatility and greater margin of safety. The strategy represents a seamless integration of the management team’s cumulative experience in both the practitioner and academic fields.
Our multi-factor and multi-stage investment process starts with an investible universe of any broad market index constituents (excluding financials and utility companies), then filters out companies with subpar volatility characteristics. We then conduct a multi-faceted scoring procedure to arrive at a ranking for each company based on our core value characteristics. We then select the top decile of companies based on our multi-factor ranking methodology to create the MVVP portfolios. We conduct our rebalancing procedure monthly or quarterly depending on the strategy.