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Sector: Technology, Industry: Software - Infrastructure, long position. VirnetX Holding Corp. has excellent value that is shown in really low P/E ratio(1,3) and really high Earnings Yield(76,74) and Dividend Yield(19,38). The company has relatively weak historical fundamentals so it’s quite risky investment. Hope that it’s worth of the risk.
The Fama-French Fundamental Quant is a hedge fund following the Fama-French three-factor model. In Fama-French categorization, value-firms are the top 30% firms in terms of book to market valuation, and small firms are the ones below median levels of market capitalization.
Small value stocks have outperformed other investing styles and the market index historically in terms of absolute and risk-adjusted returns, thus creating alpha. We extend the model with high ROIC companies that we believe will also outperform the market. Our strategy is to invest long-only in companies in the bottom 30% of market capitalization and the top 30% of the book to market ratios. After that, we pick 20 companies with the highest level of ROIC. The initial positions at the beginning of each quarter are equally weighted.
At least 50% of the assets are invested by following the passive primary strategy. The remaining 50% can be invested actively by following the portfolio managers' unconventional rationale, such as different hedging and risk-management purposes or taking bets in various market inefficiencies that provide possible alpha-creating situations. Long-only Fama-French Fundamental Quant strategy | Equal weighting | 20 stocks in the bottom 30% of market capitalization and top 30% of the book to market ratios with the highest ROIC | Rank 2