Alpine Saxon Woods Core Momentum Strategy

Overview

The Core Momentum Strategy is an equity portfolio that concentrates on stocks with both price momentum and improving fundamentals. We conduct bottom-up research to identify companies with sustained economic moats and resilient business models, as well as emerging leaders with disruptive technologies and accelerating growth. We also invest in turnaround candidates with a clear path to regain dominance in their respective markets after a major setback.

Portfolio Construction

• Stocks with liquidity – able to liquidate position within 5 days
• Typical long position size 2% to 5%
• Typical number of holdings 30–50
• Limit net security concentration to no more than 10%
• Limit net sector exposure to no more than 35%
• Review quantitative risk management statistics to measure where and in what form risk exists: including ex ante, tracking error and factor risks.

Risk Controls

• Change in fundamentals
  
  • A long position no longer meets momentum parameters
  • Original investment thesis has changed
  • Catalysts no longer exist
  • Operating health deterioration
  • Financial health deterioration
• Valuation
  
  • Stock reaches valuation target
• Diversification
  
  • Individual security limits
  • Sector limits