| Investment Strategy
The investment
strategy is based on long-only value investing at public stock
markets. Like other value investors we take advantage of price
inefficiencies in the stock markets that are caused by less informed
traders' overreactions to good or bad news announcements. However,
unlike the stock selection process of most other value investors our
investment system is entirely quantitative. The role of the portfolio
managers is therefore not to pick the stocks themselves but to operate
the developed quantitative system that picks the stocks. The purely
quantitative approach makes it possible to reproduce the performance of
the investment system using historical data and thereby gather evidence
on its potential return and risk ahead of doing any real investments.
This is associated with validation and development advantages that are not
possible when using a more traditional investment approach where the
stocks ultimately are selected based on the personal judgment of a
portfolio manager.
Well Known and
Well Documented
Value investing is one of the few investment strategies that are well
documented to be able to outperform the long-term market return on a
risk adjusted basis. There is an increasing number of high quality
academic references confirming this and it can also be seen from the
long-term return of the publicly available stock indexes (e.g. MSCI’s
global value index). So what is new about the developed system? It has
optimized the purely quantitative type of value investing in several
novel ways so that it is much better at identifying the underpriced
stocks than demonstrated by any of the publicly known systems. However,
for obvious reasons no material information will be disclosed to the
public about
the developed investment system.
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