Small Cap Growth

Profile
- U.S. Small Cap Growth Equity
- Active Quantitative Discipline
- Back-Tested: 1997 – July 2016
- Inception Date: 08/01/2016
Process
- Resolve each stock’s expected return with 55 factors
- Define buy list from most liquid 3000 companies
- Apply cap size control
- Apply growth screen
- Apply risk constraints for diversification & Liquidity
- Rebalance periodically
Highlights
- Systematically adjusts to changing market
- High Information Ratio with low turnover
- Seeks to perform in both value-and-growth-led cycles
Attributes
- Benchmark: Russell 2000 Growth® Index
- Target Alpha: 3.0% Annualized
- Target Tracking Error Volatility: 6.0%-7.5% Annualized
- Average Holdings: 100-130
- Target Cash: 0% -5%