Small Cap Value

Profile
- U.S. Small Cap Value Equity
- Active Quantitative Discipline
- Back-Tested: 1997 – June 2016
- Seeking Strategy Seed Capital
- Initial Funding: July 2016
Process
- Resolve each stock’s expected return with 55 factors
- Define buy list from most liquid 3000 companies
- Apply cap size control
- Apply value screen
- Apply risk constraints for diversification & liquidity
- Rebalance quarterly
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 Value® Index
- Target Alpha: 3.0% Annualized
- Target Tracking Error Volatility: 6.0%-7.5% Annualized
- Average Holdings: 100-130
- Target Cash: 0% -5%