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Decision-Making Process

Portfolio Construction

Portfolios are fully invested and optimally diversified. We make controlled, stock-specific bets across many names in each sector and country. Benchmark-relative portfolios are sector- and country-neutral to their target benchmark. However, gross exposure is unconstrained in our managed-volatility and long/short work.

Position size is tethered to the benchmark weight of an issuer and controlled by a combination of specific risk and liquidity risk to provide ample diversification. Portfolios hold anywhere from 50 to 400 names (per side for long/short), depending on the strategy. Generally, the smaller the targeted capitalization of a strategy, the more names held.

Portfolio rebalancing is systematic and disciplined. Purchases and sales are driven by changes in valuations from the ongoing evaluation of our investment universe, tempered by anticipated transaction costs. Portfolios remain fully invested throughout our rebalancing process.

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