AGF Dynamic Hedged U.S. Equity Strategy
Approach
Quantitative, Multi-Factor
Cap
Large Cap
Benchmark
S&P 500 Index
Inception Date
December 2017
Key Reasons to Invest
1
Risk-managed U.S. equity exposure blending a multi-factor approach with a strategic hedge.
2
Allows investors to participate in rising markets while seeking to minimize drawdowns and preserving capital during market declines.
3
Consistent, repeatable* and systematic process.
4
Utilizes ETFs as portfolio construction vehicles, allowing the strategy to capitalize on the transparency, liquidity and tradability of exchange listed products, while gaining factor exposure in an efficient and cost-effective manner.
Overview
Philosophy
A risk-managed market-cap weighted U.S. equity strategy with a strategic allocation to an equity hedge, which seeks to manage volatility, drawdowns and mitigate left-tail events. The strategy is structured with a long-term target weight of 75% U.S. equity exposure and a long-term strategic hedge target weight of 25%1.
The core U.S. equity exposure is obtained via market-cap weighted sector ETFs and allocation is determined via a quantitative framework incorporating AGF’s multi-factor models to over- or under-weight sector exposure.
| Strategic Hedge - 25% | Multi-Factor Sector Allocation Model - 75% |
|---|---|
|
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Sector Allocation
- AGF’s sector model ranks the 11 GICS®2 sectors using well-known factors including valuation, momentum and size.
- Each sector receives a weight relative to the underlying benchmark sector weight.
- Top four ranked sectors receive weights that are in excess of the underlying benchmark sector weights up to a predefined ceiling.
- The bottom four ranked sectors receive weights that are below the underlying benchmark sector weights to a predefined floor (1% when portfolio is fully invested in equities).
- The three middle sectors are neutral to benchmark sector weight.
AGF as ETF Model Portfolio Managers
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Asset Management Expertise
The investment team has extensive experience designing and managing investment mandates across asset classes; equities, fixed income and alternatives, for pensions, sovereign wealth funds, foundations and private clients.
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Index Creator Expertise
We have a history of hands-on experience with idea generation and implementation with a variety of index partners. We have been at the forefront of creating and managing market neutral and long / short passive, and active strategies, in addition to long-only domestic, international and currency hedged products.
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ETF Manufacturer’s Expertise
We believe our unique insight into the creation of ETFs as an issuer of proprietary and sub-advised ETFs, lends expertise to strategy design, implementation and trading. AGF employs open architecture models to best tailor investment design with desired investment outcomes.
At AGF, we have a deep understanding of all the moving parts of the ETF ecosystem. This allows us to provide strategic and educated insight into the design and implementation of ETF Model Portfolios for both institutions and private clients.
Investment Team
Bill DeRoche is Head of Quantitative Investing at AGF Investments LLC¹, a Boston-based investor advisory firm founded in 2009 and a subsidiary of AGF Management Limited. Bill is responsible for the overall leadership and management of AGF Investments’ Quantitative Investment team and is a leader of the firm’s quantitative investment platform. AGF Investments’ Quantitative Investment team is grounded in the belief that investment outcomes can be improved by assessing and targeting the factors that drive market returns.
Bill is also a member of The Office of the CIO – a structure within the Investment Management team at AGF Investments. This leadership structure encourages and further embeds collaboration and active accountability across the Investment Management team and the broader organization. Bill has long-tenured expertise employing quantitative factor-based strategies and alternative approaches to achieve a spectrum of investment objectives. Previously, Bill was a Vice-President at State Street Global Advisors (SSgA), serving as head of the firm’s U.S. Enhanced Equities team. His focus was on managing long-only and 130/30 U.S. strategies, as well as providing research on SSgA’s stock-ranking models and portfolio construction techniques. Prior to joining SSgA in 2003, Bill was a Quantitative Analyst and Portfolio Manager at Putnam Investments. Bill has been working in the investment management field since 1995.
Prior to 1995, Bill was a Naval Aviator flying the Grumman A-6 Intruder as a member of Attack Squadron Eighty-Five aboard the USS America (CV-66). Bill holds a Bachelor’s degree in Electrical Engineering from the United States Naval Academy and an MBA from the Amos Tuck School of Business Administration at Dartmouth College. He is a CFA® charterholder.
¹ An investment professional with AGF Investments LLC, a U.S.-registered investment advisor firm and affiliate of AGF Investments Inc.
CFA® and Chartered Financial Analyst® are registered trademarks owned by CFA Institute.
Philip (Phil) Lee is a Portfolio Manager at AGF Investments LLC (AGF), a Boston-based investor advisory firm founded in 2009 and a subsidiary of AGF Management Limited.
He has more than two decades of investment experience. Prior to joining AGF Investments, Phil was an equity strategist at Platinum Grove Asset Management LP where his responsibilities included supervising electronic trade execution, automating trade operations and building out systems infrastructure. Phil has also co-managed statistical arbitrage strategies in the Japanese Equity Market. He previously served as Director of Development at Principia Capital Management, LLC, a statistical arbitrage hedge fund, where he developed the firm's quantitative research and trading platforms. Prior to that, Phil was a Vice President in Goldman Sachs' Fixed Income Derivatives department.
Phil holds engineering degrees from University of Pennsylvania (Ph.D.) and The Cooper Union (BE and ME).
*An investment professional with FFCM, LLC, an US registered investment advisor firm and affiliate of AGF Investments Inc. AGFiQ Asset Management (AGFiQ) is a collaboration of investment professionals from Highstreet Asset Management Inc. (HSAM), a Canadian registered portfolio manager, and of FFCM, LLC (FFCM), a U.S. registered adviser. This collaboration makes up the quantitative investment team.
Josh Belko is a Portfolio Manager at AGF Investments LLC, a Boston-based investor advisory firm founded in 2009 and a subsidiary of AGF Management Limited. In this role, he is focused on factor driven traditional and alternative investment strategies.
Prior to joining AGF Investments, Josh was an analyst at Pioneer Investments where he supported the investment management process for global equity, fixed income and derivative products. He also gained experience as an investor services representative for a European firm managing $55 billion in assets at Brown Brothers Harriman. Additionally, Josh worked at Standish Mellon Asset Management as a structured products analyst and at State Street Global Markets as a FX trader.
He holds a Bachelor of Science degree in Finance from Northeastern University D’Amore-McKim School of Business where he played on their NCAA Division I football team. Josh has earned the Chartered Financial Analyst designation.
*An investment professional with FFCM, LLC, an US registered investment advisor firm and affiliate of AGF Investments Inc. AGFiQ Asset Management (AGFiQ) is a collaboration of investment professionals from Highstreet Asset Management Inc. (HSAM), a Canadian registered portfolio manager, and of FFCM, LLC (FFCM), a U.S. registered adviser. This collaboration makes up the quantitative investment team.
CFA® and Chartered Financial Analyst® are registered trademarks owned by CFA Institute.
*Refers only to the investment selection process and not to outcomes or results.
1The U.S. equity and strategic hedge weights may be higher or lower than the long-term neutral target weights at any specific time based on the Adviser’s market risk-model and assessment of market and economic conditions.
2=GICS (Global Industry Classification Standard) which is specifically designed to consistently classify companies globally, in both developed and developing economies. Jointly developed by S&P Dow Jones Indices and MSCI, two leading global index providers, to establish a global standard for categorizing companies into sectors and industries.