Verus Factor Suite

Global Verus Factor Suite represents cutting-edge research that has been transformed into quantitative signals for securities designed to help managers generate excess returns and reduce portfolio risk. Our models are robust on a standalone basis while exhibiting low correlation with other commonly used factors, including other factors in the suite.

Our models are developed rigorously using separate in-sample and out-of-sample periods. Extensive backtests reveal that the resultant factors generate significant excess returns on average. Results can be generalized to firms of different countries, market capitalizations, sectors/industries, risk levels, and price-to-fundamental relationships.

Each US model runs weekly for each of the largest 5,000 U.S. based companies (by market capitalization) plus select ADRs. The International model provides scores for an additional thousand developing countries issuers. Scores are produced ranging from 1 (equivalent to strong sell) to 8 (equivalent to strong buy). A more granular score of 1 to 100 is available for each model.

Comprehensive Model

The Comprehensive Model combines the most compelling signals in the Verus Factor Suite and dynamically adjusts their weighting every month based on the signals that are most in favor.

  • Using the Earnings Quality, Equity Incentive, Fundamental and Technical signals, the model produces a truly comprehensive outlook for a stock

Earnings Quality Model

Academic research demonstrates that the market does not fully impound information about earnings quality at the time that detailed financial statement data are released.

  • Domestic (EQM) and International (EQM-I) Earnings Quality Model
  • Based on an empirical analysis of earnings quality factors identified by academic and proprietary research
  • The model objectively measures earnings quality via accrual- and cash flow -based variables across a broad spectrum of companies and provides a long-term and short-term score.

Equity Incentive Model (EIM)

A unique factor which provides a robust forecast of a firm’s future stock-price performance for at least a three-month holding period and is optimal during the following 12-to-24 month timeframe.

  • The model leverages Verus' proprietary database of executive-compensation-related disclosures (type and nature of option grants, bonus plans, etc.) and academically proven models of executive option-exercise behavior

Fundamental X-Ray Model

A quantitative factor designed to capture the information contained in key fundamental and valuation metrics.

  • Focuses primarily on capturing earnings momentum and its relationship to future excess returns
  • Included in Comprehensive Model

Technical Model

Combines many uniquely scaled price and volume technical metrics.

  • Includes a variety of both mean reversion and momentum/strength variables combined with trading-volume analysis
  • Included in Comprehensive Model

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