A news release said the fund will be managed by Khalid Ghayur, Stephen Platt, and Stephen Komon of Westpeak. The Westpeak ActiveBeta Equity Fund (WABAX) will seek to outperform the S&P 500 Index by employing a quantitative value and momentum strategy that uses Westpeak’s portfolio construction process.
The fund uses a disciplined quantitative portfolio construction technique in which all stocks in the S&P 500 Index are ranked independently according to value and momentum signals on a monthly basis, the announcement said.
Value signals include price-to-book, price-to-sales and price-to-cash flow (or earnings). The momentum indicator is a stock’s trailing 12-month return. Positions are taken in high value, high momentum and high value and momentum stocks.
Typically, the fund will invest in about 65% of the names in the S&P 500 Index (approximately 325 stocks), taking small positions in each relative to the index. The portfolio’s weighting of a single security is generally no more than 1% higher than the index and no less than 1.2% lower than the index, the announcement said.