High Return All-Cap Strategy

Profile
- High Return All Cap
- 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 most liquid 3000 companies
- Limit ADRs to 15%
- Equal-weight 100 most attractively-ranked stocks
- Rebalance periodically
Highlights
- Systematically adjusts to changing market
- High Information Ratio with moderate turnover
- Seeks to perform in both value-and-growth-led cycles
Attributes
- Benchmark: Russell 3000® Index
- Target Alpha: 12% Annualized
- Target Tracking Error Volatility: 20%-25% Annualized
- Average Holdings: 100
- Target Cash: 0% -5%