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.
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.
Start with the stocks of the S&P 500 Index
Select the 250 companies with the highest price-to-book ratio.
Sort by valuation versus earnings growth and select the top 200
Sort by earnings momentum and share buyback and select the top 40.
Sort by risk-adjusted price momentum and select the top 10.
The Model re-constitutes every three months