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%