Cornerstone Capital

Management US Equity Market Neutral

Fund Investment Objectives

The U.S. Equity Market Neutral Levered strategy seeks to profit by detecting and exploiting perceived mispricings in individual securities. By constructing a portfolio of approximately equal dollar amounts of long and short positions, the strategy seeks to generate returns that are independent of the direction of the underlying market. Our quantitative market-neutral strategy uses a proprietary alpha model to generate excess return forecasts through the multi-dimensional ranking of relative-value, earnings quality and price and earnings momentum factors. In our portfolio construction process, we combine these alpha forecasts with volatility forecasts derived from commercial risk models to create portfolios that provide the desired trade-off between expected return and volatility. Our investment process begins with the vast amount of current and historical financial information relating to more than 100,000 global securities.