Global Equity Value & Quality Index ($GEVQ30)
Institutional Methodology Specification & Performance Factsheet
As of October 26, 2026
Base: 100.00 · USD
1. Executive Summary & Investment Objective
The Passive Cap-Weighting US Concentration Risk
Traditional global equity benchmarks (e.g. MSCI World, FTSE All-World) weight countries strictly by aggregate market capitalization. This has produced an extreme concentration distortion: United States equities now exceed ~71.2% of the benchmark, trading at an elevated Shiller CAPE above 34.8x and EV/EBITDA of 17.2x, while offering an aggregate Free Cash Flow yield of only 3.82%. Passive investors bear massive single-country valuation and multiple-compression risk.
The Multi-Factor Value, Cash Flow & Anti-Trap Architecture
The Global Equity Value & Quality Index ($GEVQ30) addresses this concentration by systematically allocating capital across 30 liquid, ETF-replicable sovereign equity markets. Enforcing a strict 12.0% single-country cap, GEVQ30 weights markets through a 3-pillar quantitative model: 40% Normalized Valuation Cycle (CAPE & EV/EBITDA discount), 35% Shareholder Cash Return (FCF, Dividends, Buybacks), and 25% Corporate Quality & Solvency (ROIC & Net Debt/EBITDA anti-value-trap filter).
2. Quantitative Construction & Scoring Model
| Pillar Name | Weight | Mathematical Formulation | Economic Rationale & Anti-Trap Guardrail |
|---|---|---|---|
| 1. Normalized Valuation Cycle | 40.0% | Z_val = -0.60*Z(CAPE_10Y) - 0.40*Z(EV/EBITDA) | Evaluates 10Y Shiller CAPE and EV/EBITDA discounts, eliminating peak-margin distortions. |
| 2. Shareholder Cash Return | 35.0% | Z_cash = 0.50*Z(FCF) + 0.30*Z(Div) + 0.20*Z(Buyback) | Prioritizes real distributable Free Cash Flow yield and cash returned to shareholders. |
| 3. Corporate Quality & Solvency | 25.0% | Z_qual = 0.60*Z(ROIC) - 0.40*Z(NetDebt/EBITDA) | Anti-Value-Trap guardrail: isolates high-ROIC markets and penalizes over-leveraged balances. |
Z_clipped = clip((x - μ) / σ, -3.0, +3.0)
Composite_Z = 0.40*Z_val + 0.35*Z_cash + 0.25*Z_qual
GEVQ_Score_i = clamp(50.0 + 16.67 * Composite_Z, 0, 100)
Single-Country Cap: W_i ≤ 12.000%
Diversification Floor: W_i ≥ 0.500%
Simplex Balance: ΣW_i = 100.0000% (Semi-Annual)
3. Universe, Governance & Benchmark Specifications
4. Active Allocation & Constituent Profiles
Top High-Conviction Value Overweights vs. Disciplined Benchmark Underweights:
| Country / Region | Bucket | ETF Ticker | GEVQ Score | MSCI World % | GEVQ % | Active Δ% | Shiller CAPE | FCF Yield |
|---|---|---|---|---|---|---|---|---|
| 🇧🇷 Brazil (BR) | developed | EWZ | 69.8 | 0.62% | 5.72% | +5.10% | 11.2x | 10.8% |
| 🇳🇴 Norway (NO) | developed | ENOR | 66.5 | 0.21% | 5.18% | +4.97% | 13.2x | 9.4% |
| 🇵🇱 Poland (PL) | developed | EPOL | 65.6 | 0.13% | 5.05% | +4.92% | 10.8x | 9.6% |
| 🇨🇱 Chile (CL) | developed | ECH | 60.1 | 0.11% | 4.28% | +4.18% | 11.6x | 8.8% |
| 🇦🇹 Austria (AT) | developed | EWO | 59.9 | 0.12% | 4.26% | +4.15% | 11.5x | 9.2% |
| 🇨🇭 Switzerland (CH) | developed | EWL | 41.0 | 2.15% | 2.41% | 0.26% | 22.8x | 5.4% |
| 🇮🇳 India (IN) | developed | INDA | 30.4 | 1.87% | 1.76% | -0.11% | 29.8x | 4.2% |
| 🇨🇦 Canada (CA) | developed | EWC | 40.7 | 2.73% | 2.39% | -0.34% | 20.4x | 6.4% |
| 🇯🇵 Japan (JP) | developed | EWJ | 45.1 | 5.23% | 2.73% | -2.50% | 21.2x | 6.8% |
| 🇺🇸 United States (US) | developed | SPY | 22.0 | 68.34% | 1.37% | -66.97% | 34.8x | 3.7% |
5. Historical Performance & Risk Metrics
| Strategy / Benchmark | Inception (2016) | Latest (2026) | 10Y Return | Ann. Volatility | Max Drawdown | Shiller CAPE | FCF Yield |
|---|---|---|---|---|---|---|---|
| Global Equity Value & Quality ($GEVQ30) — Net TR (Post-Friction) | 100.00 | 284.29 | +184.3% | 15.65% | -16.57% | 16.1x | 7.74% |
| Global Equity Value & Quality ($GEVQ30) — Gross (Theoretical) | 100.00 | 289.10 | +189.1% | 15.65% | -16.57% | 16.1x | 7.74% |
| MSCI World Net Total Return USD Index (NDDUWI) | 100.00 | 246.50 | +146.5% | 17.15% | -25.60% | 34.8x | 4.72% |
| Active Alpha Spread / Fundamental Pickup (vs NDDUWI) | — | +37.79 pts | +3779 bps | -150 bps | +903 bps defense | -53.7% discount | +302 bps pickup |
Index Performance Note: Backtested returns reflect USD Net Total Return, accounting for foreign currency fluctuation drag against USD, net dividend withholding taxes, and an estimated 15 bps annual execution/turnover drag. Calculated point-in-time on semi-annual rebalancing dates.