Model Rules Overview
Sustainable Equity (ESG)
- Screen universe (S&P 500) for ESG progressive companies
- Exclusionary screens to eliminate bad actors
- Inclusionary screens to find the best of those remaining
- Screen universe for 36 Alpha generating factors
- Roughly half the factors are fundamental and half risk-based
- Optimize using a Higher Moment Risk Optimizer
Equity Income
- Screen universe (S&P 500) for stocks with higher yields than the index
- Screen universe for stocks with consecutive years of dividend increases
- Screen universe for higher quality companies than the index
- ROE
- Free Cash Flow to Dividend Yield Ratio
- Accrual Ratio
- Debt to Equity Ratio
All Cap Equity
- Screen universe (all US traded stocks) for aggressive legal insider buying
- Screen universe for positive earnings estimates revisions and EPS surprises
- Screen universe for momentum and fundamental value
- 12-month price appreciation
- 6-month price appreciation
- return on assets
- price to cash flow
Asset Allocation
- Adjust Asset Allocation template to consider non-normal risks
- Serial correlation
- Fat tails
- Correlation breakdown
- ETFs must possess the following characteristics:
- A Rules-Based methodology
- Asset class and asset category purity
- Sufficient testing
- Reliable sponsorship and liquidity
- Ability to address one of the 20+ timely Asset Allocation risk factors identified by EAM
- Existing product competition
- Competitive short-term Alpha vs competition within category
- Competitive expense ratio
- Favorable taxation characteristics
Sector Rotation
- Screen (S&P 500) for positive or negative momentum
- Screen sectors for positive or negative momentum