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%