AAS Hedged Equity

Updated:
04.11.07
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Description:

This is a fifteen position portfolio with 10 long holdings and 5 short holdings. We start with the S&P 1500 which is narrowed down based on closing price, volume, EPS, gross revenue, weighted relative strength and historic market data available. This normally produces a universe of between 200 and 300 securities, which is then analyzed using credit and liquidity metrics such as debt-to-equity, PEG, PE, and institutional holding %. Any outliers after this process are removed from the universe. The remaining list is then scored and ranked using seven proprietary algorithms based on trend, relative strength and momentum analysis. We then apply a proprietary risk-adjusted return algorithm which is a time-weighted adoption of the Sharpe Ratio. Finally, two independent technical indicators, which compare short and long-term moving average and closing price values, must support the equity selection.

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