Active equity investing strategies

Exhibit 1
Furlings Furlings Investment Partners combines sector views and security selection. The firm’s head manager uses several industry and economic indicators identified from his own experience during the last two decades, as well as his personal views on market flow dynamics, to determine how to position the fund on a sector basis. Sector deviations from the benchmark of 10% or more are common and are usually maintained for 12 to 24 months. At the same time, sector managers at Furlings use their expertise in dissecting financial statements and their understanding of the corporate branding and competitive landscape within sectors to build equally weighted baskets of securities within sectors. Each basket contains their 7 to 10 highest- conviction securities, favoring firms that have good governance, strong growth potential, competitive advantages such as branding, and attractive relative valuations. The Furlings master fund holds approximately 90 securities.
Asgard Asgard Investment Partners is a very large asset manager. It believes in investing in firms that have a strong business model and governance, reasonable valuations, solid capital structures with limited financial leverage, and above-a verage expected earnings growth for the next three years. Although the Asgard master fund invests in fewer than 125 securities, each sector analyst builds financial models that track as many as 50 firms. To support them in their task, analysts benefit from software developed by the Asgard research and technology group that provides access to detailed market and accounting information on 5,000 global firms, allowing for the calculation of many valuation and growth metrics and precise modeling of sources of cash-fl ow strengths and weaknesses within each business. Asgard analysts can also use the application to back-t est strategies and build their own models to rank securities’ attractiveness according to their preferred characteristics. Security allocation is determined by a management team but depends heavily on a quantitative risk model developed by Asgard. Asgard has a low portfolio turnover.
Tokra Tokra Capital uses a factor-b ased strategy to rank securities from most attractive to least attractive. Each security is scored based on three metrics: price to book value (P/B), 12-m onth increase in stock price, and return on assets. Tokra’s managers have a strong risk management background. Their objective is to maximize their exposure to the most attractive securities using a total scoring approach subject to limiting single-s ecurity concentration below 2%, sector deviations below 3%, active risk below 4%, and annual turnover less than 40%, while having a market beta close to 1. The master fund holds approximately 400 positions out of a possible universe of more than 2,000 securities evaluated.


Based on the information provided in Exhibits 1 and 2, which manager’s portfolio characteristics is most likely at odds with its declared style?

It says that is managing to value (P/B) metric, but really the portfolio has as p/b which is higher than the index
I personally found the other question in this exhibit quite hard

id say answer is tokra. they say they maximize their exposure to most attractive securities then proceeds to hold 400 positions comapred to the other 2 that only has 90 and 125, respectively. also the 3 mentioned metrics they prioritize are inferior to the other 2 funds. (cept with asgard on price momentum) so they are clearly not invested in the 3 metrics they are using to score the stocks.