MacKay Shields | Systematic Equity Team

The Systematic Equity team manages a suite of equity strategies that span the risk-return spectrum and invest across various market capitalizations and geographic regions. Our proprietary, multi-factor models systematically analyze thousands of securities to identify positions based on company fundamentals and investor sentiment.

Multi-factor ApproachWe seek to identify an optimal blend of effective and lowly correlated signals that capture interactive benefits.
TransparencyOur systematic stock selection model is based on fundamental attributes and we have the ability to offer investors insights into our model. We can explain why we hold an individual stock in our portfolio and review the combination of bottom-up return signals and expected alpha scores.
Proprietary Processing of SignalsWe conduct relative valuations and utilize customized peer groups that distinguish our forecasting power. We also utilize sentiment signals to seek greater conviction in our model.
Pragmatic Risk ManagementOur core risk controls seek to limit top-down impacts to focus on bottom-up stock selection, while our additional layer of investment team oversight helps to manage potential uncompensated risks.

We believe a systematic investment approach is the most effective way to identify and exploit market inefficiencies, capturing the most attractive trade-off between risk and return. Our proprietary, multi-factor models systematically identify positions based on a relative-value-with-a-catalyst approach. This systematic investment approach allows the team to analyze thousands of securities, providing a strong foundation to identify security mispricings and construct a broadly diversified portfolio across sector, industry, geography, and market-capitalization. The team seeks to maximize alpha generation through the interaction of an optimal blend of signals that are highly predictive and lowly correlated to one another. Furthermore, the team believes that risk management is paramount to consistently generating superior risk-adjusted returns, and thus complements the systematic evaluation of securities with the systematic application of prudent risk management. The multi-dimensional risk management process allows for continuous interaction with our model to better and more efficiently manage potential model risk.

Our investment process uses an integrated stock selection approach, and invests in the intersection of return signals. The process has four main steps, with risk management embedded throughout the process:

Signal SelectionWe select an optimal blend of highly predictive and lowly correlated signals with industry-specific bespoke modeling.
Stock SelectionOur transparent and bottom-up, multi-factor model uses a relative-value-with-a-catalyst approach to identify high conviction buy and sell ideas.
Portfolio ConstructionWe seek to maximize alpha generation by taking risks according to true alpha potential. To minimize uncompensated risks, we extend beyond core risk constraints through multi-layered portfolio construction.
Portfolio ManagementOngoing performance analysis and portfolio monitoring.

Emerging Markets Equity

Objective

The Systematic Emerging Markets Strategy is a quantitative, bottom-up stock selection strategy which seeks to outperform the MSCI Emerging Markets ND Index, over a full market cycle.

Investment Universe

Stocks within the MSCI Emerging Markets IMI Index are evaluated for consideration in the portfolio.

Global Equity

Objective

The Global Equity Strategy is a quantitative, bottom-up stock selection strategy which seeks to outperform the MSCI All Country World Index over a full market cycle.

Investment Universe

Stocks within the MSCI All Country World Index are evaluated for consideration in the portfolio.

International Equity Opportunities

Objective

The International Equity Opportunities Strategy is a quantitative, bottom-up stock selection strategy which seeks to outperform the MSCI EAFE Index over a full market cycle by investing both long (typically 120-140%) and short (typically 20-40%) in international equities, with net exposure expected to be 100%.

Investment Universe

Stocks within the MSCI EAFE IMI Index are evaluated for consideration as either a long or short positions.

Large-Cap Enhanced

Objective

The Large-Cap Enhanced Strategy is a quantitative bottom-up selection strategy which seeks to generate excess returns of 0.5% to 1%, gross of all fees and over a full market cycle, against the S&P 500 Index.

Investment Universe

Stocks within the S&P 500 Index as well as the 200 highest stocks ranked by market capitalization in the S&P 400 Index are evaluated for consideration in the portfolio.

Small-Cap Core

Objective

The Small-Cap Core Strategy is a quantitative, bottom-up stock selection strategy which seeks to outperform the Russell 2000 Index over a full market cycle.

Investment Universe

Stocks within the Russell 2000 Index are evaluated for consideration in the portfolio.

US Equity Opportunities

Objective

The US Equity Opportunities Strategy is a quantitative, bottom-up stock selection strategy which seeks to outperform the Russell 1000 Index over a full market cycle by investing both long (typically 120-140%) and short (typically 20-40%) in US equities, with net exposure expected to be 100%.

Investment Universe

Stocks within the Russell 1000 Index plus the 1,000 most liquid stocks in the Russell 2000 Index are evaluated for consideration as either a long or short position.

Migene Kim, CFA

Head of Systematic Equity

Portfolio Managers/Senior Analysts

3

Analysts

5

Teams

Systematic Equity Team

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