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Equity Investments

Structured US Market Neutral

Philosophy

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.


Process

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 – 300 long/short positions with turnover ranging between 250 – 400% on an annualized basis.