FUQUA FIVE

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FUQUA FIVE

• Steve Bartlett
• Adrian Campelo
• Steve Foertsch
• Joe Kippels
• Carter Vance

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Agenda

• Overview of model factors
• Model results by year
• Correlation within factors and SP
• Model results by year (w/trading costs)
• Varying portfolio size rebalancing period
• For further review

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Scoring System
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EW Returns by Year and Decilewith no trading
costs
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EW Annualized Returns for 5 factor Model with
Dynamic Weights
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Correlations among factors
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EW Returns by Year and Decilewith trading costs
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Varying Portfolio Size Rebalancing Period
Average Annual Returns (1st Fractile - Nth
Fractile)
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For Further Analysis

• Factor migration
• Best positioning in an overall portfolio
• Further explore minimum diversification
  requirements to capture overall decile return
• Market impact and spread considerations