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Research
Defensive Growth: 10 Year
August 2022
The SmartALPHA® Defensive Growth index has achieved its 10 year anniversary. Alpha Quant Models LLC illustrates how this index has outpaced the broader S&P 500 index and Russell 1000 Growth index, with an asymmetric up/down capture ratio.
Rather than selecting stocks based on past or expected growth, the Defensive Growth index is comprised of 30 non-cyclical stocks with positive change in profitability, operating cash flows and future projected sales and EPS.
Corporate Financing & Investing: Implications for Stock Selection
September 2021
Alpha Quant examines which corporate management approach has rewarded investors, historically - growing capital expenditures vs. shares buybacks and debt reduction.
ETF Sector Investing? Don't Follow the Flows.
May 2021
Past flows do not predict future performance when it comes to momentum in sector rotation strategy.
Views & Outlook
April 2021 Market Valuation
Is the market overvalued? In Alpha Quant's review of free cash flow based valuations, it appears there is room to go.
A Value Strategy Framework
2021
A focus on free cash flow (FCF) is useful in reducing investment risk and avoiding value traps. FCF is a more comprehensive measure of profitability than earnings and is more difficult to manipulate through accounting measures.
A Quality Strategy Framework
2021
The definition of quality must meet two requirements: first, it has to be strictly related to shareholder value creation; second, its adoption in investing should result in superior portfolio performance. We find that the Return on Invested Capital (ROIC) framework meets both requirements.
A Dividend Strategy Framework
2021
In structuring dividend-oriented strategies AQM focuses on the sustainability of dividend growth and its fundamental drivers: established dividend policy as reflected in a long history of increasing dividends; business stability supported by steady earnings; financial strength as evidenced by liquidity and high creditworthiness; and adequate dividend coverage.
SmartALPHA® Defensive Equity Strategy
2021
The SmartALPHA® Defensive Indexes target contemporaneously high returns and low volatility through a systematic process that selects defensive stocks with high expected alpha. The approach is unique to statistical low volatility products. It is intuitive, rooted in fundamental analysis and economic theory, and generates an asymmetrical return pattern with strong downside protection while maintaining remarkable upside participation.