DuPont Capital believes securities are regularly mispriced due to investors’ overconfidence or overreaction to short term events such that strong relative risk adjusted returns can be achieved by systematically identifying companies with sustainable earnings power trading at reasonable valuations as, in the long run, security prices follow business fundamentals.
Sophisticated, proprietary models and quantitative bottom-up company analysis are sources of investment ideas for our Structured Market-Neutral portfolio. The portfolio utilizes multi-factor models (customized by sector) to identify and rank investment candidates according to their aggregate alpha signals. Our fundamentally-based quantitative strategy includes internal estimates to and rank (by industry) investment candidates according to their forecasted rates of return. The US Equity Market-Neutral portfolio holds between 200 – 350 long/short positions with turnover ranging between 200 – 400% on an annualized basis.