The QM US Value Equity Composite seeks long-term capital appreciation primarily through the investment in companies that appear to be undervalued. The strategy applies quantitative and active management techniques to achieve its investment objectives.
- Using a quantitative model, we seek to identify and invest in companies with the following characteristics:
- Attractively valued on a variety of valuation metrics relative to industry peers and the broader large-cap value universe
- High return on capital; generate substantial free cash flow and use cash in a manner that benefits shareholders
- Avoid companies with poor earnings quality
- The value approach carries the risk that the market will not recognize a security's intrinsic value for a long time or that a stock judged to be undervalued may actually be appropriately priced
- Relying on quantitative models entails the risk that the models themselves may be limited or incorrect, that the data that the models rely on may be incorrect or incomplete, and that the adviser may not be successful in selecting companies for investment or determining the weighting of particular stocks
- Diversified portfolio with approximately 125-135 securities
- Maximum bet size is 1.0%; individual security bets are a function of alpha potential and risk profile
- In general, sector allocations will be within +/- 5% of the benchmark
- Fully invested strategy - reserves are typically below 1%
|1 YR||3 YR
|Composite Gross %||-10.25%||0.80%||N/A||7.02%|
|Composite Net %||-10.62%||0.40%||N/A||6.59%|
|Excess Return (Gross) %||-1.41%||-1.02%||N/A||-0.47%|
|3 MonthsData as of 30-Jun-2020||Year to DateData as of 30-Jun-2020|
|Composite Gross %||15.43%||-18.84%|
|Composite Net %||15.32%||-19.01%|
|Excess Return (Gross) %||1.14%||-2.58%|
Past performance is not a reliable indicator of future performance.
Returns for time periods greater than one year are annualised.
Gross performance returns are presented before management and all other fees, where applicable, but after trading expenses. Net of fees performance reflects the deduction of the highest applicable management fee that would be charged based on the fee schedule contained within this material, without the benefit of breakpoints. Gross and net performance returns reflect the reinvestment of dividends and are net of all non-reclaimable withholding taxes on dividends, interest income, and capital gains.
Farris Shuggi is the portfolio manager of the QM US Value Equity Strategy in the U.S. Equity Division. He is the chairman of the Investment Advisory Committee of the QM US Value Equity Strategy and an Investment Advisory Committee member of the Quantitative Management Strategies and the US Capital Appreciation, US Large-Cap Equity Income, and US Diversified Small-Cap Value Strategies. Farris also is a vice president of T. Rowe Price Group, Inc.
Farris has been with T. Rowe Price since 2008, beginning in the quantitative area of the U.S. Equity Division. Prior to his current position, he was a quantitative analyst in the Equity Quantitative Research Group, focusing on developing security selection models.
Farris earned a B.S. in financial economics and an M.A. in economic policy analysis from the University of Maryland Baltimore County and an M.A. in economics and an M.S. in finance from Washington University in St. Louis. He also has earned the Chartered Financial Analyst® designation.
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- Portfolio manager2016
- Years at12
T. Rowe Price
- Years investment12