iQ Large Cap Value Model

 

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INVESTMENT OBJECTIVE

The iQuant.pro Large Cap Value Model seeks to generate long-term returns in excess of the total return of the S&P 500 Barra Value 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 Value Model represents an equal-weighted portfolio of large and blue-chip stocks that have displayed strong seasonal relative strength, share buyback and value momentum.

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

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

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

  4. Sort by 4-year seasonal relative strength and select the top 40.

  5. Sort by value momentum select the top 10.

Re-constitute every 3 months