57 River Street,

Suite 301
Wellesley, MA 02481

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