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%