The growth factor covers companies with growing revenue and earnings. Quality refers to well-managed companies. Liquidity includes the potential outperformance for less liquid stocks. Volatility refers to historically less risky stocks. Short interest will avoid stocks that are being shorted. Momentum includes recent upward price movement. Lastly, value covers those undervalued stocks.
“The Multi-Factor Composite Score uses multiple diversifying factors to seek to provide more consistent performance as compared to individual factor strategies that inherently experience cycles of performance when a particular factor is out of favor,” according to the prospectus.
Top sector tilts include information technology 23.0%, health care 14.1%, financials 14.1%, consumer discretionary 11.2% and industrials 10.1%.
Top holdings include Best Buy 2.4%, Applied Materials 2.3%, McKesson 2.2%, Quest Diagnostics 2.2% and XL Group.
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