ETF Trends
ETF Trends

By J.P. Morgan Asset Management via Iris.xyz

Yaz Romahi, portfolio manager and CIO for Quantitative Beta Strategies, explains his approach to security selection and the benefits of multi-factor screening.

How would you summarize your approach to security selection?

There are a number of sources of equity returns beyond growth itself. These include factor exposures such as value, size, momentum and quality (or low volatility, which is closely related). When creating a diversified factor portfolio, we seek to build up the constituents with exposure to these sources of return.

Our bottom-up stock filter scores each company based on a combination of these return factors to determine whether it is included in the index. These factors provide access to a broader, more diversifying source of equity returns. The low correlation of these factors to one another complements our risk-based diversification.

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