JPEM

JPEM offers a robust mix of factor-based selection and risk-based weighting methodology that doesn't stray too far from cap-weighted exposure. The fund's five factors—P/B, forward P/E, ROE, 8-month total return and changes in earnings forecasts—align with the shorthand of value, quality and momentum. Stocks that make the cut have their market-cap weight assigned to five geographic and five sector baskets, equally weighted by risk (3Y standard deviation). Stocks fill the buckets weighted by liquidity—a cautionary nod to the EM space—and names that appear in two buckets are simply summed, subject to caps. The resulting portfolio avoids massive country and sector bets and leans toward value and low beta, consistent with its thesis. The Fund's portfolio will be rebalanced quarterly in accordance with the quarterly rebalancing of the Underlying Index.