Transparent Knowledge US Quality Strategy Monthly Data July 2020
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US Factor+ strategies report July 2020 Transparent Knowledge US quality strategy monthly data July 2020 MTD portfolio performance vs benchmark Portfolio indicators US quality portfolio Russell 3000 index Since 1 month 3 month 6 month YTD inception* 7.0% 6.0% US quality portfolio 4.0% 15.5% 16.9% 13.7% 15.2% 5.0% Russell 3000 index 5.6% 13.3% 1.2% 0.9% 10.6% 4.0% Standard deviation (ẟ) 3.0% Portfolio 4.7% 11.9% 14.7% 15.3% 11.8% 2.0% Benchmark 4.0% 11.7% 32.9% 33.0% 21.1% 1.0% 0.0% Downside risk (dd) -1.0% Portfolio 1.6% 9.8% 14.4% 14.5% 11.1% -2.0% Benchmark 1.4% 10.0% 27.1% 28.0% 19.7% 0 0 0 *annualised since 2017 30.06.2 02.07.2 04.07.2 06.07.20 08.07.20 10.07.20 12.07.20 14.07.20 16.07.20 18.07.20 20.07.20 22.07.20 24.07.20 26.07.20 28.07.20 30.07.20 10 best & worst investments Since inception strategy performance vs benchmark Medpace 28.3% US Quality strategy Russell 3000 index Lennar 17.4% Apple 16.5% 175 QUALCOMM Incorporated 15.8% 170 Terreno Realty 15.4% 165 Progressive 12.8% 160 Johnson Controls 12.7% 155 Renewable Energy Group 11.3% DaVita HealthCare Partners 10.4% 150 NortonLifeLock 8.2% 145 AmerisourceBergen -0.6% 140 Houlihan Lokey -1.5% 135 Coherus BioSciences -1.5% AbbVie -3.3% 130 BWX Technologies -3.7% 125 Frontdoor -5.3% 120 Perdoceo Education -9.6% 115 Methode Electronics -9.8% Corcept Therapeutics -11.1% 110 Ironwood Pharmaceuticals -11.1% 105 -60% -40% -20% 0% 20% 40% 100 12/2016 03/2017 06/2017 09/2017 12/2017 03/2018 06/2018 09/2018 12/2018 03/2019 06/2019 09/2019 12/2019 03/2020 06/2020 TransparentKnowledge.com List of recommendations for 2020 November 2019-January 2020 February 2020-April 2020 May 2020-July 2020 August 2019-October 2019 November 2019-January 2020 Ticker Company Return Ticker Company Return Ticker Company Return Ticker Company Return Ticker Company Return SLM SLM 29% 1 NAV Navistar International 25% CLGX CoreLogic 77% KBH KB Home 36% SLM SLM 29% TECD Tech Data 18% 2 ODFL Old Dominion Freight Line 18% MEDP Medpace 49% GNRC Generac Holdings 34% TECD Tech Data 18% LPLA LPL Financial Holdings 14% 3 RH Restoration Hardware Holdings17% AAPL Apple 45% BLDR Builders FirstSource 32% LPLA LPL Financial Holdings 14% WGO Winnebago Industries 14% 4 FB Facebook 11% LEN Lennar 44% BMCH BMC Stock Holdings 28% WGO Winnebago Industries 14% LMT Lockheed Martin 14% 5 UDR UDR 6% QCOM QUALCOMM Incorporated 34% ATKR Atkore 27% LMT Lockheed Martin 14% TOL Toll Brothers 12% 6 AIN Albany International 6% JCI Johnson Controls 32% LEN Lennar 25% TOL Toll Brothers 12% LEN Lennar 11% 7 BBY Best Buy Co. 6% CMC Commercial Metals 30% UFPI Universal Forest Products 25% LEN Lennar 11% GNRC Generac Holdings 7% 8 AMWD American Woodmark 4% CORT Corcept Therapeutics 18% PHM PulteGroup 25% GNRC Generac Holdings 7% TKR The Timken 7% 9 DVA DaVita HealthCare Partners 4% PGR Progressive 17% TGT Target 24% TKR The Timken 7% QCOM QUALCOMM Incorporated 6% 10 BIIB Biogen 4% ABBV AbbVie 15% MTZ MasTec 23% QCOM QUALCOMM Incorporated 6% JBL Jabil Circuit 6% 11 CI Cigna 4% MSFT Microsoft 14% CTXS Citrix Systems 16% JBL Jabil Circuit 6% RTN Raytheon 4% 12 HUM Humana 4% ITW Illinois Tool Works 14% CCK Crown Holdings 14% RTN Raytheon 4% ITW Illinois Tool Works 4% 13 INCY Incyte 2% MA MasterCard Incorporated 12% ELS Equity LifeStyle Properties 13% ITW Illinois Tool Works 4% TGT Target 4% 14 VGR Vector Group -1% ABC AmerisourceBergen 12% AMD Advanced Micro Devices 11% TGT Target 4% RHI Robert Half International 2% 15 DIOD Diodes Incorporated -1% REGI Renewable Energy Group 11% TOL Toll Brothers 11% RHI Robert Half International 2% AMGN Amgen 1% 16 AAPL Apple -1% TRNO Terreno Realty 11% TER Teradyne 10% AMGN Amgen 1% ARMK Aramark 1% 17 MCY Mercury General -1% PRDO Perdoceo Education 11% CDW CDW 8% ARMK Aramark 1% OSK Oshkosh 1% 18 CMC Commercial Metals -1% DVA DaVita HealthCare Partners 11% CE Celanese 8% OSK Oshkosh 1% MHO M/I Homes 0% 19 QCOM QUALCOMM Incorporated -2% PJT PJT Partners 10% CMI Cummins 5% MHO M/I Homes 0% OC Owens Corning -1% 20 DOX Amdocs Limited -2% FTDR Frontdoor 8% LDOS Leidos Holdings 5% OC Owens Corning -1% WHR Whirlpool -4% 21 RS Reliance Steel & Aluminum Co.-3% DPZ Domino's Pizza 7% LMT Lockheed Martin 4% WHR Whirlpool -4% ARW Arrow Electronics -4% 22 HUBG Hub Group -3% CHRS Coherus BioSciences 6% CHH Choice Hotels International 3% ARW Arrow Electronics -4% FUL HB Fuller Co. -5% 23 OSIS OSI Systems -3% UNH UnitedHealth Group Incorporated4% MLHR Herman Miller 3% FUL HB Fuller Co. -5% INT World Fuel Services -6% 24 LMT Lockheed Martin -4% BWXT BWX Technologies 3% GNTX Gentex 2% INT World Fuel Services -6% PII Polaris Industries -7% 25 ERIE Erie Indemnity -7% NLOK NortonLifeLock 1% AZO AutoZone 2% PII Polaris Industries -7% MSM MSC Industrial Direct Co. -7% 26 FNF Fidelity National Financial -8% LMT Lockheed Martin -3% CY Cypress Semiconductor 1% MSM MSC Industrial Direct Co. -7% AZO AutoZone -8% 27 AFG American Financial Group -8% MEI Methode Electronics -6% MSI Motorola Solutions 0% AZO AutoZone -8% MTZ MasTec -8% 28 FCN FTI Consulting -12% BIIB Biogen -7% TGNA TEGNA -1% MTZ MasTec -8% NEU NewMarket -9% 29 CVGW Calavo Growers -13% HLI Houlihan Lokey -8% ABC AmerisourceBergen -2% NEU NewMarket -9% EAF GrafTech -11% 30 CTXS Citrix Systems -15% IRWD Ironwood Pharmaceuticals -8% GIS General Mills -4% EAF GrafTech -11% US growth strategy monthly data July 2020 MTD portfolio performance vs benchmark Portfolio indicators Growth strategy Russell 3000 Index Since 1 month 3 month 6 month YTD inception* 12.0% Growth strategy 9.1% 25.4% 34.8% 29.3% 21.9% 10.0% Russell 3000 Index 5.6% 13.3% 1.2% 0.9% 10.6% 8.0% Standard deviation (ẟ) 6.0% Portfolio 6.6% 14.7% 18.1% 18.6% 14.0% 4.0% Benchmark 4.0% 11.7% 32.9% 33.0% 21.1% 2.0% Downside risk (dd) 0.0% Portfolio 3.2% 11.4% 16.3% 16.4% 12.5% -2.0% Benchmark 1.4% 10.0% 27.1% 28.0% 19.7% *annualised since 2017 30.06.20 02.07.20 04.07.20 06.07.20 08.07.20 10.07.20 12.07.20 14.07.20 16.07.20 18.07.20 20.07.20 22.07.20 24.07.20 26.07.20 28.07.20 30.07.20 10 best & worst investments Since inception strategy performance vs benchmark Meritage Homes 30.3% US Growth strategy Russell 3000 Index LGI Homes 29.6% Medpace 28.3% 210 Quidel 26.2% 205 Arista Networks 23.7% 200 195 Murphy USA 17.6% 190 Lennar 17.4% 185 Skyline 16.0% 180 TopBuild 16.0% 175 Royal Gold 12.6% 170 165 Adobe Systems Incorporated 2.1% 160 ESCO Technologies 1.7% 155 Vistra Energy 0.2% 150 AmerisourceBergen -0.6% 145 Neurocrine Biosciences -1.3% 140 135 Mercury Systems -1.6% 130 Vertex Pharmaceuticals Incorporated -6.3% 125 Perdoceo Education -9.6% 120 Corcept Therapeutics -11.1% 115 Safehold -12.3% 110 105 -60% -50% -40% -30% -20% -10% 0% 10% 20% 30% 40% 100 12/2016 03/2017 06/2017 09/2017 12/2017 03/2018 06/2018 09/2018 12/2018 03/2019 06/2019 09/2019 12/2019 03/2020 06/2020 TransparentKnowledge.com List of recommendations for 2020 November 2019-January 2020 February 2020-April 2020 May 2020-July 2020 August 2019-October 2019 November 2019-January 2020 Ticker Company Return Ticker Company Return Company Return Ticker Company Return Ticker Company Return QDEL Quidel 35% 1 HCSG Healthcare Services Group 34% QDEL Quidel 103% KBH KB Home 36% QDEL Quidel 35% PUMP ProPetro Holding 26% 2 QDEL Quidel 28% MTH Meritage Homes 89% BLDR Builders FirstSource 32% PUMP ProPetro Holding 26% MSFT Microsoft 19% 3 KBH KB Home 25% LGIH LGI Homes 88% MTZ MasTec 23% MSFT Microsoft 19% LDOS Leidos Holdings 17% 4 BLD TopBuild 24% MEDP Medpace 49% PODD Insulet 18% LDOS Leidos Holdings 17% NKTR Nektar Therapeutics 16% 5 CVCO Cavco Industries 16% LEN Lennar 44% REXR Rexford Industrial Realty 16% NKTR Nektar Therapeutics 16% AVAV AeroVironment 15% 6 WSM Williams-Sonoma 15% SKY Skyline 43% ATVI Activision Blizzard 15% AVAV AeroVironment 15% LPLA LPL Financial Holdings 14% 7 SNX SYNNEX 12% BLD TopBuild 42% MTH Meritage Homes 15% LPLA LPL Financial Holdings 14% JBT John Bean Technologies 10% 8 ATKR Atkore 11% HAIN The Hain Celestial Group 32% QRVO Qorvo 10% JBT John Bean Technologies 10% BMCH BMC Stock Holdings 8% 9 FB Facebook 11% CVCO Cavco Industries 30% AOS AO Smith 9% BMCH BMC Stock Holdings 8% NSIT Insight Enterprises 7% 10 ITRI Itron 7% CIEN Ciena 29% CDW CDW 8% NSIT Insight Enterprises 7% RBC Regal Beloit 6% 11 FBHS Fortune Brands Home & Security7% ADBE Adobe Systems Incorporated 26% ICE Intercontinental Exchange 7% RBC Regal Beloit 6% XRX Xerox 5% 12 LDOS Leidos Holdings 7% MUSA Murphy USA 24% LDOS Leidos Holdings 5% XRX Xerox 5% ATVI Activision Blizzard 4% 13 CCK Crown Holdings 6% NBIX Neurocrine Biosciences 23% RGA Reinsurance Group of America 4% ATVI Activision Blizzard 4% TGT Target 4% 14 CLH Clean Harbors 6% ANET Arista Networks 18% BAH Booz Allen Hamilton Holding 2% TGT Target 4% ADI Analog Devices 3% 15 BBY Best Buy Co.