Integrating quantitative and fundamental analysis
SGA believes the optimal approach to public equity investing is to integrate quantitative tools with fundamental analysis combined with an active stock selection and risk management strategy. This approach blends the unemotional, repeatable breadth of quantitative research with the experience and qualitative judgment involved in fundamental stock analysis. SGA’s investment philosophy is designed for consistency and our process is bottom-up. SGA does not make large country, currency, industry, or sector bets, but instead focuses on driving outperformance through stock selection.
SGA’s process provides a quantitative approach to idea generation along with a comprehensive fundamental review of the resulting global equity buy universe. We score companies across multiple factors which are behaviorally and fundamentally based. These factors fit within one of four categories (Valuation, Quality, Growth, Sentiment) and provide information as to how a company compares to members of its global industry peer group.
SGA also applies both quantitative and fundamental approaches to risk management. While proprietary systems target and track risk exposures, portfolio management oversight and judgment are also applied at all stages of the process.
Scoring & Ranking
Companies are scored across multiple factors which are behaviorally and fundamentally based. These factors fit within one of four categories:
Expected Outcome: Expected alpha for each company based on a composite of rankings.
Assess a variety of risks that exist in international investing:
- Currencies, style factors, and more
Expected Outcome: Risk profile of each company
Portfolio Construction and Idea Generation
Screening for best ideas through optimization maximizes expected risk-adjusted alpha and eliminates companies with the lowest risk-adjusted alphas. Constraints include:
- Tracking error
- Beta and more
Expected Outcome: Best ideas are produced from an optimal portfolio with risk constraints.
Review and Implementation
Validate buy ideas and identify non-quantifiable risk:
- Fundamental review
- Assess political, regulatory and litigation risk
- News assessment
Expected Outcome: Approved stocks eligible for a final optimization and portfolio construction.