The Fund invests in stocks of large and mid-cap U.S. companies with positive momentum. A stock is considered to have positive momentum if it has performed well in the prior twelve months relative to other stocks in the investment universe of large and mid-cap U.S. companies.
The Fund uses a systematic approach to construct its portfolio that starts with the investment universe, ranks the stocks in the universe by their total return over the prior twelve months excluding the last month, selects those that rank in the top third, weights them by market capitalization, and rebalances at least quarterly.
The Fund is expected to have annual turnover in excess of 100%, and will therefore employ optimization and other sophisticated techniques to keep transaction costs as low as possible. The Fund will maintain flexibility to trade opportunistically in order to strike a balance between maintaining the desired exposure to positive momentum while attempting to keep transaction costs low.