Multi-Cap Equity

Multi-Cap Equity portfolios are driven by a top down, bottom-up investment decision making process which relies on a proprietary methodology to filter large quantities of macroeconomic, fundamental and technical data in an attempt to detect situations within the domestic equity market that represent potential investment opportunities.

 

The investment process dictates the level of investment style emphasis, market capitalization exposure and sector concentration within portfolios.

 

The methodology continually monitors current market forces and compare them to historical observations stretching over decades of market history. Portfolios are positioned in advance of major inflection points within the market cycle. Once the appropriate levels of emphasis are achieved, portfolios are structured in order to capitalize on a new cyclical phase.

 

Our Multi-Cap Equity investment philosophy is driven by the following beliefs:

• Capital markets are ultimately efficient and operate in an environment of generally useful and correct information over time. However, through accurate evaluation areas of opportunity can be identified and prioritized based on their potential and risk.
• In such environments, the value added reward in active portfolio management comes from a process based on relative portfolio positioning rather than targeted stock picking.

Our Multi-Cap Equity quantitative and qualitative investment process focuses on the pivotal investment questions of HOW MUCH to commit and WHEN to make the commitment, rather than the traditional approach of WHAT to invest in and WHY.

Investment Process

Multi-Cap Equity methodology has been designed to identify key variables and statistical relationships that, over time, have a quantifiable influence on market cycles.  The methodology calls attention only to those observations that represent significant deviations from long term historical norms.  Such extreme statistical relationships indicate potential inflection points in the relative performance cycles of market capitalization segments (Large/Mid/Small), investment style universes (Growth/Value) and broad market sectors (Cyclical/Defensive/Thematic), creating an “actionable situation” that the portfolio manager must evaluate for potential investment. 

 

The process allows portfolio managers to actively emphasize investment exposure to three key areas:  market capitalization, investment style and broad market sector. Once the top down modeling process has identified the appropriate areas of the investment universe within which to concentrate research focus and investment emphasis, the portfolio managers utilize both quantitative and qualitative bottom-up analysis in order to identify individual securities for inclusion within portfolios.

 

Portfolio Guidelines

Benchmark Index:	Russell 3000
Minimum market capitalization at time of purchase:	$500 million
Maximum portfolio exposure to Small & Mid Cap securities:	75%
Minimum exposure to Large Cap securities:	25%
Maximum position size:	15%
Maximum sector weightings:	25% for sectors with a market representation of < 10% 40% for sectors with a market representation of >10%
Portfolio concentration:	25-55 securities
Portfolio turnover:	25%-55%

 

Multi-Cap Equity Data Sheet

  J. Andrew Richey, CFA
  President, Chairman Investment Policy Committee
  CIO Multi-Cap Strategy, Portfolio Manager

  Vittorio Fratta, CFA
  Assistant Portfolio Manager