Small Cap Core

Profile
- U.S. Small Cap Equity
- Active Quantitative Discipline
- Back-Tested: 1997-2017
- Seeking Strategy Seed Capital
Process
- Resolve each stock’s expected return with 55 factors
- Define buy list from ratable S&P 600® companies
- Apply risk constraints for diversification & liquidity
- Rebalance at major trend changes
Highlights
- Systematically adjusts to changing market
- High Information Ratio with low turnover
- Seeks to perform in both value-and-growth-led cycles
Attributes
- Benchmark: S&P 600®
- Target Alpha: 1.0% Annualized
- Target Tracking Error Volatility: 2.5% – 4.0% Annualized
- Average Holdings: 350-425
- Target Cash: 0% -5%