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%