iQ Large Cap Growth Model

 

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INVESTMENT OBJECTIVE

The iQuant.pro Large Cap Growth Model seeks to generate long-term returns in excess of the total return of the S&P 500 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 Large-Cap Growth Model represents an equal-weighted portfolio of large and blue-chip stocks that have displayed strong earnings momentum, risk-adjusted price momentum and share buyback.

  1. Start with the stocks of the S&P 500 Index

  2. Select the 250 companies with the highest price-to-book ratio.

  3. Sort by valuation versus earnings growth and select the top 200

  4. Sort by earnings momentum and share buyback and select the top 40.

  5. Sort by risk-adjusted price momentum and select the top 10.

The Model re-constitutes every three months