iQ Mid Cap Growth Model

 

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INVESTMENT OBJECTIVE

The iQuant.pro Mid Cap Growth Model seeks to generate long-term returns in excess of the total return of the S&P 400 Barra Growth Index, with less down-market volatility than the index.

HOW WE SPLIT THE UNIVERSE

iQUANT utilizes price-to-book ratio to split the large,mid, and small cap indices between value and growth.

The indices used to determine the growth versus value constituents are as follows:

  • The S&P 500 Index (large cap)

  • The S&P 400 Index (mid cap)

  • The S&P 600 Index (small cap)

Due to the different start dates for each index, you will notice the backtests for each cap category will be different.

PROCESS

The Mid-Cap Growth Model represents an equal-weighted portfolio of mid-cap growth stocks that have displayed strong 9-month price momentum and share buyback ratios.

  1. Start with the 400 stocks of the S&P 400 Mid-Cap Index.

  2. Sort the 400 stocks by price-to-book ratio and select the top 200 stocks.

  3. Sort the remaining 200 stocks by Share Buyback Ratio and select the top 40.

  4. Sort the remaining 40 stocks by 9-month price momentum and select the top 10.

Re-constitute every 3 months.