Keeping Risk Exposure in Check

Components Performance/Risk
Period Return
53.0%
Return Rank
Strong
Risk Exposure
Low Risk

The selection of equities, listed on NYSE and NASDAQ, is updated dynamically by machine learning at market closure every night

Stocks are screened for below average volatility over a full year and over the most recent 3-months period

The selection is controled for above-average performance, positive earnings yield and constrained financial leverage 

 

Volatility  /  Peformance Arbitrage

  • Volatility, a measure of risk exposure, ranks the selection with assets exhibiting the most favorable track record of below-average risk (both over the past year and over the quarter)
  • Performance, normally weaker for low risk assets, is screened for above-average return over the past 60 trading days (corresponding to 3 months)

 

Earnings yield

  • Yield is measured as return on capital invested, shareholder capital and total debt, screened for above-average rankings
  • Relating earnings to the total value of a company from all sources financing its operations, yield signals effective use of company assets

 

Debt leverage (D/E)

  • Financial leverage refers to the amount of debt the company has been using to finance its business operations
  • When interest rates are rising, low debt protects the firm, especially when profitability is impacted by a recession
  • D/E<1.5 is the constraint setting the maximum level debt allowed as % of shareholder equity  (150%)

 

iShares MSCI USA Min Vol Factor ETF Invalid tag asset is the benchmark of this selection

Theme Components
Name
Ticker
Sector
Industry
Cur. Price
Mkt. Cap
Performance
Momentum
Risk Rank
Risk Contrib
 
Cass Information Systems CASS ServicesGeneral Business Services53.37689 M50.4% Weak Down Low Risk
Village Super Market VLGEA ServicesGrocery Chains Food Distribution & Contract Catering43.95648 M43.9% Neutral Below Average
Ennis EBF ServicesOffice Equipment & Supplies Services22.17561 M37.1% Neutral Low Risk
Star Gas Partners L.P. SGU ServicesOther Specialty Retail Stores13.11431 M24.2% Neutral Low Risk
Dorchester Minerals L.P. DMLP EnergyRoyalty Interests Oil&Gas29.711.4 B40.2% Neutral Low Risk
Kimbell Royalty Partners, LP KRP EnergyRoyalty Interests Oil&Gas15.431.7 B40.7% Neutral Low Risk
Plains All American Pipeline PAA EnergyMidstream Oil & Natural Gas24.5017 B74.4% Weak Down Low Risk
Shell plc (ADS) SHEL EnergyIntegrated Oil & Gas Companies101.59309 B50.3% Strong Up Low Risk
Black Stone Minerals BSM EnergyOil & Natural Gas E&P14.843.4 B35.5% Neutral Low Risk
Gilead Sciences GILD Health CareBiopharmaceuticals150.43187 B31.6% Neutral Low Risk
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