High Return Small Cap

Profile
- High Return Small Cap
- Active Quantitative Discipline
- Back-Tested: 1997- Feb 2017
- Founder Class Available
- Inception Date: February 2017
Process
- Resolve each stock’s expected return with 55 factors
- Define buy list from most liquid 3000 companies
- Apply cap size control
- Eliminate ADRs
- Equal-weight 100 most attractively-ranked stocks
- Rebalance periodically
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® Index
- Target Alpha: 10.0% Annualized
- Target Tracking Error Volatility:
18%-24% Annualized - Average Holdings: 100
- Target Cash: 0% -5%