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%