Large Cap Core

Profile

  • U.S. Large Cap Equity
  • Active Quantitative Discipline
  • Inception Date: 08/12/1998

Process

  • Resolve each stock’s expected return with 55 factors
  • Define buy list from ratable S&P 500 companies
  • Apply risk constraints for diversification & liquidity
  • Rebalance at major trend changes

Highlights

  • Systematically adjusts to changing market
  • High Information Ratio with moderate turnover
  • Seeks to perform in both value-and-growth-led cycles

Attributes

  • Benchmark: S&P 500 ® Index
  • Target Alpha: 1.0% Annualized
  • Target Tracking Error Volatility: 1.5% – 2.5% Annualized
  • Average Holdings: 300-350
  • Target Cash: 0% -5%