Model Rules Overview

EAM All Strategies Performance Fact Sheet 9.30.2022

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  Awarded Zephyr Informa Financial Intelligence PSN Top Guns Award for 1Q, 2Q, and 3Q 2021.

• 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