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Asset Class and Objective
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Specialty broad U.S. stock fund, focusing on the mid capitalization sector
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Product Benchmark
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S&P 400 Mid Cap Index
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Marketing Company
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Prudential Retirement Services
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Restrictions on Transfers
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Investment funds in the FRS Investment Plan are subject to excessive
trading restrictions as detailed in the FRS Investment Plan Summary
Plan Description and FRS Excessive Fund Trading Policy.
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Fees and Expenses
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Fees and expenses are only one of several factors that should be considered when making investment decisions.For more information about fees and expenses see this
FAQ.
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Investment Philosophy
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Quantitative Management believes that investors make persistant and
predictable mistakes rooted in human bias. Those mistakes can be
exploited utilizing a dispassionate, quantitative approach.
We also believe different valuation criteria have varying levels of
perdictive strength depending on a stock's growth rate. As a result,
they emphasize current fundamentals for slow growth stocks and
criteria related to future earnings for fast growth stocks.
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Research Process
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Securities are selected on the basis of quantitative algorithms that
focus on specific criteria for different types of stocks. Valuation
criteria, such as price/earnings and price/book ratios, are the most
important for slow-growing companies. Indicators of future growth
such as, estimate revisions are the most important for rapidly growing
firms. An expected alpha is calculated for each stock that they
identify as having a biased price. Minimal fundamental research is
used in their process.
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Security Selection
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The selection process begins by segregating companies based upon their
growth rates. From there, different algorithms are used to assign
expected alphas to different stock types, depending on their growth
rate. A portfolio optimization procedure is used to control sector,
industry, liquidity and size exposures versus the benchmark, which is
the S&P 400 Index. Tracking error relative to the benchmark is
expected to be about 3%.
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Portfolio Construction
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Portfolios hold from 300 to 450 stocks. Turnover averages 75% annually.
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Sell Discipline
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Portfolios sales are dictated through the optimization process. The
optimizer, of course, disfavors and is generally expecte to sell stocks
with negative returns. However, they may continue to be held for risk
control purposes.
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Portfolio Manager(s) |
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Investment Experience |
Experience Last 5 Years |
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Margaret Stumpp, PhD
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20 years
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Portfolio manager with fund
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Peter Xu, PhD
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14 years
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Portfolio manager with fund
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