iQUANT U.S. Mega Cap 10 Model
A rules-based, multi-factor approach to U.S. mega-cap equities
Nov 1990 – Nov 2025
Benchmark: S&P 500 Total Return
Equal Weight
Hypothetical
Dear Investment Advisor,
At iQUANT, we have plenty of index-beating all-cap, global and hedge models. But until now, we have not had a model clearly designated as a pure mega-cap strategy, and none that is strictly equal weight.
The iQUANT U.S. Mega Cap 10 Model is our answer to that gap: one clear, consistent rule set applied only to America’s corporate giants, with every position pulling its own weight.
— The iQUANT Research Team
At a Glance
Objective
Long-term capital growth through a focused portfolio of U.S. mega-cap stocks.
Structure
10 stocks, equal weighted (not cap weighted).
Universe
Top 90 U.S. companies by market capitalization.
Reconstitution
Quarterly (Feb, May, Aug, Nov) to capture seasonal trends.
Risk Control
Max 30% of portfolio in any single industry.
The model’s rules never change. This allows the same process to be stress-tested across recessions, bubbles, and crises.
Selection Process
1
Financial Strength
Favors companies with solid balance sheets, healthy cash, and earnings that have shown staying power over time.
2
Earnings Power
Looks at earnings relative to price after recent market turbulence, highlighting names with strong profit engines.
3
Quality & Margins
Emphasizes profit margins and earnings quality—businesses with real pricing power, not just momentum.
Hypothetical Performance
Growth of $10,000 (Nov 1990 – Nov 2025)
Logarithmic Scale
Annualized Return
18.3%
Win Rate (Mo)
58.2%
Upside Capture
112%
Downside Capture
81%
Note: Performance figures include a hypothetical 0.50% annual fee assumption. Returns are before trading costs and taxes. Past performance does not guarantee future results.
Market Behavior History
Early 1990s (Recession Recovery)
Tilted toward staples and essential brands plus cyclicals tied to the rebound in travel, housing, and energy.
Why it mattered: Participated in recovery through everyday spending rather than relying on levered balance sheets.
Late-1990s (Tech Boom)
Held profitable tech and telecom leaders while keeping a core in staples and health care.
Why it mattered: Avoided unproven dot-com names, focusing on mega caps with real margins.
2008 Global Financial Crisis
Concentrated in household brands, cash-generative businesses, and select global leaders.
Why it mattered: Kept capital in large, recognizable businesses positioned to recover as markets normalized.
COVID Shock (2020–2021)
Tilted toward digital infrastructure, online retailers, and health-care leaders.
Why it mattered: Emphasized businesses that kept the world running during lockdown.
Inflation Era (2022–2024)
Favored companies with demonstrated pricing power and resilient margins.
Why it mattered: In a high-rate regime, the rules leaned into businesses better able to defend profitability.