According to Dimensional Fund Advisors, when combined, the various factors may help improve a portfolios risk-adjusted returns over time. The multifactor strategies select securities of a specific sector with a desired market capitalization range, with an increase emphasis on higher expected return securities. The securities will exhibit lower relative price, higher profitability and lower market capitalization. Moreover, securities’ weights are capped to diminish concentration.
“The beauty of Dimensional’s philosophy is that it is straightforward and disciplined in its approach, yet so thoughtful and innovative in its implementation. They are truly an exceptional firm to be able to partner with to deliver solutions to our clients,” Steve L. Deroian, head of ETF strategy at John Hancock Investments, said in a note.
JHMD’s sector weights include financials 18.4%, industrials 15.6%, consumer discretionary 15.3%, materials 10.5%, health care 7.8%, consumer staples 7.7%, telecom services 5.6%, utilities 4.6% energy 4.4% and information technology 4.2%
Top holdings include Toyota 2.0%, ABB LTD 1.2%, Novartis AG 1.0%, Basf SE 1.0% and HSBC Holdings 1.0%.
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