| Details for Investment Manager | ||
| Investment Manager |
Quantitative Management Associates LLC.2 Gateway Center, 4th FloorNewark, NJ 07102-5096 |
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| Targeted Share of Fund | 100% |
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| Asset Class and Objective | Specialty broad U.S. stock fund, focusing on the mid capitalization sector |
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| Fund Benchmark | S&P 400 Mid Cap Index |
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| Management Type | Actively Managed |
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| Marketing Company | Prudential Retirement Services |
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| Restrictions on Transfers | 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. | |
| Fees and Expenses | Fees and expenses are only one of several factors that should be considered when making investment decisions. More information on fees and expenses can be found in the FAQs on the MyFRS.com website. |
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| Investment Philosophy | 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 | 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 | 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 | Portfolios hold from 300 to 450 stocks. Turnover averages 75% annually. |
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| Sell Discipline | 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) | ||
| Name | Investment Experience | Experience Last 5 Years |
| Margaret Stumpp, PhD | 21 years | Portfolio manager with fund |
| Peter Xu, PhD | 15 years | Portfolio manager with fund |