S&P Global to Factset Changes

News

Summary

You will find below the degree of ranking system changes and the overall impact for each strategy. Click on the strategy name below to compare the returns and performance metrics on both data providers.

StrategyRanking ChangeImprovement?
Canadian EquityHighYes
Canadian HD EquityLowSimilar
US Large Cap EquityHighYes
US Growth EquityNoneYes
International EquityLowNo
Best Ideas EquityMediumYes
Source: Factor-Based

Changes

Canadian Equity
With this strategy underperforming, we took the opportunity to improve the ranking system on Factset. We modified / removed some of the valuation metrics and added a growth factor. Financials and Energy stocks rank poorly with this revised ranking system. We are going to give ourselves the next quarter to review this new ranking system on Factset before selling some holdings that ranked well on S&P Global.

Canadian HD Equity
We changed one valuation metric, the Price/FCF Trailing Twelve Months to a Price/FCF Estimated Next Year.

US Large Cap Equity
The original ranking system was volatile because it only relied on 5 factors. We tried to improve it by adding more factors but without any success. We started from scratch and came up with a new ranking system now used by the US Growth Equity. From now on, the US Large Cap Equity will inherit the ranking system of the US Growth Equity because it gives good results on Factset and the ranks are more stable.

US Growth Equity
The ranking system is still optimal with Factset and gives even slightly better results. We leave it “as is”.

International Equity
Our backtests produced less annualized return on Factset than on S&P Global. We believe this is because the Factset universe contains twice the amount of ADRs and foreign ordinaries than the S&P Global universe. The strategy on Factset still outperforms the benchmark on most backtested years nonetheless. We will accelerate our research efforts to improve this strategy before the next rebalancing date.

Best Ideas Equity
Please refer to the three individual strategies since the holdings of this strategy comes from them. As a result, expect a higher than usual portfolio turnover on this January 4th, 2021 rebalancing.

Conclusion

We will update all the presentations to reflect those changes. We expect this process to take at least two weeks. We invite you to download the new presentations after January 15th, 2021 to get up-to-date material. If you have any questions or concerns, please let us know and we will get back to you shortly.

The Portfolio Management Team

Menu