AGFiQ MultiFactor Active Canadian Equity Strategy

Approach
Quantitative, Fundamental Approach
Cap
Multi-Factor, All Cap
Benchmark
S&P/TSX Composite Total Return Index
Inception Date
December 2013
Documents

Key Reasons to Invest

    • For investors looking for a long-term rate of return similar or slightly in excess of the rate of return for the S&P TSX Composite Total Return Index.
    • The Strategy is designed with reduced risk relative to the benchmark with volatility calculated on a four year rolling basis.
    • The Strategy offers strong downside protection and stocks are selected to minimize portfolio volatility with a minimum variance approach applied during construction.

Strategy

The AGFiQ MultiFactor Active Canadian Equity Strategy aims to achieve superior long-term risk adjusted returns and provide downside protection relative to the S&P/TSX Composite Total Return Index.

Philosophy

We believe that sector diversification provides broad market exposure and reduces the likelihood of style and sector biases.

We believe that stock fundamentals are key drivers of returns and as a result, proprietary stock selection models provide upside capture. Additionally, the Highstreet Low Volatility Canada strategy offers downside protection.

Process

The AGFiQ MultiFactor Active Canadian Equity Strategy uses a systematic three step investment process that is updated and reviewed by the investment team on a monthly basis: (1) GVQ+RTM based sector-specific stock selection models, (2) Proprietary Minimum Variance Statistical Optimization, and (3) Portfolio Monitoring.  

The AGFiQ MultiFactor Active Canadian Equity Strategy’s investment process begins with stock selection where sector-specific stock selection models rank stocks within the Highstreet team’s proprietary sectors. The second step is the application of AGFiQ’s Minimum Variance Optimization process, which includes the use of a proprietary Risk Model and the Optimization Tool to accurately estimate stock covariance and achieve the minimum variance portfolio.  Portfolio Monitoring is the third stage of the investment process. It ensures that a lower overall portfolio volatility profile is maintained, while the fundamental and statistical risk profile of the portfolio is monitored to create a core-like portfolio with lower benchmark relative volatility and offers downside protection. 

AGFiQ team’s investment process, as summarized below, achieves a superior low volatility portfolio as Highstreet’s proprietary optimization process ensures the minimum variance portfolio is achieved. Additionally, the fundamental factor based stock selection models enable greater upside participation and offers downside protection. The final step is portfolio implementation, and this ensures broad sector diversification.

Additionally, the fundamental factor based stock selection models enable greater upside participation and offers downside protection. The final step is portfolio implementation, and this ensures broad sector diversification.