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About ENDURANCE
Management Team
Investment Approach
Quantitative Process
Qualitative Process
Portfolio Construction
Supporting Research
Portfolio Characteristic
Performance
Holdings
Quarterly Writeups
Fees
Office Location

Our Universe

  • No ADRs

  • No Penny stocks

  • Mktcap $300 mil. to $4 bil.

  • Universe rebalanced annually

Timing And Cash
The constraint our firm has put in place is to be fully invested and to keep a cash balance of less than 1%

Portfolio Construction

 

Details :

This portfolio is managed by using quantitative screens to reduce the universe by eliminating unattractive companies. We then employ our fundamental research to narrow the prospective buy list further. We provide additional screens by applying our qualitative analysis to determine which stocks are prudent investments appropriate for our portfolio. Finally, since small companies tend to have higher volatility and lower liquidity we seek to offset these risks through diversification and careful portfolio construction by utilizing strict risk controls. Each month all the companies in our universe are scored and ranked based on our quantitative analysis. The quantitative analysis is used to form the basis of our buy and sell discipline. Companies that are ranked in the top decile are compared to the current holdings. We then apply our fundamental and qualitative analysis to determine if the top ranked deciled names are appropriate candidates to replace any names in the current portfolio.   

Risk Controls :

We employ a multi-faceted risk management process to ensure that the portfolio is appropriately constrained at the security level, sector level, and Barra risk factor level.   In addition, we use RiskGrades which is a standardized measure of volatility, and therefore allows "apples to apples" comparisons of the securities in our portfolio. We also stress test our portfolio to simulate what-if scenarios in the event of an extreme market movement. This multi-dimensional risk management helps to ensure that the portfolio has minimal chance for generating negative surprises. 

 We also look at other risks:

Valuation Risk
We attempt to reduce valuation or price risk by buying stocks that are trading at what we believe are reasonable prices.

Business Risk
To reduce business risk, we look for companies that have strong balance sheets, high internal rates of return and excess cash flow. We want to know what the potential risk is of "permanent capital impairment," i.e., the likelihood of a business not being able to generate sustainable returns on assets or, even worse, becoming insolvent.

 

 
 
Copyright 2009 ENDURANCE Investment Management, LLC All rights reserved

ENDURANCE Investment Management LLC is a registered investment advisor.

 

Nothing in the contents of this site should be construed as a solicitation or recommendation. Opinions expressed are on a general basis and should not be relied upon as a guide for investment. The past may not be a guide to future performance.

 

Performance results are shown net of all trading costs and an annual management fee of .90%.