Strategy

QM US Value Equity

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.

3YR Return Annualised (Net)
(View Total Returns)

Tracking Error
(3 Years)

-0.09%
3.28%

1YR Return (Net)
(View Total Returns)

Information Ratio
(3 Years)

-9.74%
-0.71

Inception Date 29-Feb-2016

Performance figures calculated in USD

Other Literature

Farris G. Shuggi, CFA
Farris G. Shuggi, CFA, Portfolio Manager

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.

 

Strategy

Investment Approach

  • 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

Portfolio Construction

  • 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%

Holdings

Total
Holdings
160
Largest Holding Johnson & Johnson 2.51% Was (30-Jun-2020) 2.81%
Other View Full Holdings Quarterly data as of 30-Sep-2020
Top 10 Holdings 20.02% View Top 10 Holdings Monthly data as of 30-Sep-2020

Top Purchase

Medtronic (N)
0.76%
Was (30-Jun-2020) 0.00%

Top Sale

ExxonMobil
0.47%
Was (30-Jun-2020) 1.10%

Quarterly Data as of 30-Sep-2020

Sectors

Total
Sectors
11
Largest Sector Financials 19.73% Was (30-Jun-2020) 20.47%
Other View complete Sector Diversification

Monthly Data as of 30-Sep-2020

Benchmark: Russell 1000 Value Index

Largest Overweight

Financials
By1.61%
Portfolio 19.73%
Benchmark 18.12%

Largest Underweight

Real Estate
By-2.29%
Portfolio 2.29%
Benchmark 4.57%

Monthly Data as of 30-Sep-2020

Team (As of 01-Oct-2020)

Farris G. Shuggi, CFA

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.

CFA® and Chartered Financial Analyst® are registered trademarks owned by CFA Institute.

  • Portfolio manager
    since
    2016
  • Years at
    T. Rowe Price
    12
  • Years investment
    experience
    12

Download

Latest Date Range
Audience for the document: Share Class: Language of the document:
Download Cancel

Download

Share Class: Language of the document:
Download Cancel
Sign in to manage subscriptions for products, insights and email updates.
Continue with sign in?
To complete sign in and be redirected to your registered country, please select continue. Select cancel to remain on the current site.
Continue Cancel
Once registered, you'll be able to start subscribing.

Change Details

If you need to change your email address please contact us.
Subscriptions
OK
You are ready to start subscribing.
Get started by going to our products or insights section to follow what you're interested in.

Products Insights

GIPS® Information

T. Rowe Price ("TRP") claims compliance with the Global Investment Performance Standards (GIPS®). TRP has been independently verified for the twenty one- year period ended June 30, 2017 by KPMG LLP. The verification report is available upon request. Verification assesses whether (1) the firm has complied with all the composite construction requirements of the GIPS standards on a firm-wide basis and (2) the firm's policies and procedures are designed to calculate and present performance in compliance with the GIPS standards. Verification does not ensure the accuracy of any specific composite presentation.

TRP is a U.S. investment management firm with various investment advisers registered with the U.S. Securities and Exchange Commission, the U.K. Financial Conduct Authority, and other regulatory bodies in various countries and holds itself out as such to potential clients for GIPS purposes. TRP further defines itself under GIPS as a discretionary investment manager providing services primarily to institutional clients with regard to various mandates, which include U.S, international, and global strategies but excluding the services of the Private Asset Management group.

A complete list and description of all of the Firm's composites and/or a presentation that adheres to the GIPS® standards are available upon request. Additional information regarding the firm's policies and procedures for calculating and reporting performance results is available upon request

Other Literature

You have successfully subscribed.

Notify me by email when
regular data and commentary is available
exceptional commentary is available
new articles become available

Thank you for your continued interest