New York (HedgeCo.net) Over the last three and a half months, no model on the HedgeCoVest platform has performed as well as the Ferro Systematic Market Neutral model. From the end of July through November 20, the model has gained 14.2 percent and the model is up 4.69 percent on the year.

The model evaluates stocks on key characteristics of financial measures, capital efficiency, valuation, momentum, sentiment, and risk factors that lead to positive or negative performance relative to peers. Selected stocks are used to construct a market and sector neutral portfolio. By including a diverse set of stock characteristics into the systematic market neutral portfolio construction, investment returns are intended to be uncorrelated with individual sectors and the overall market.

Ferro had 281 positions open at the time and the model averages 200-250 positions open at any given time, so at the time the snapshot was taken the number of positions was elevated. The model has a $50,000 minimum investment and that is due to the high number of positions open at any given timed.

The long book shows exposure to 28 different industries with the largest bullish allocation being in the insurance industry with an allocation of 8.7 percent. On the short side of the portfolio, the positions are also spread among 28 different industries and the largest bearish allocation is in the food industry.

The Ferro Systematic Market Neutral model is a true market neutral strategy with it not only being market neutral, but also sector neutral. With the market being extremely volatile over the last three or four months, the model has really outperformed. For any investor looking for a strategy that performs well under adverse conditions, this model should fit that need.

Rick Pendergraft
Research Analyst
HedgeCoVest