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.
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.
Start with the stocks of the S&P 500 Index
Select the 250 companies with the lowest price-to-book ratio.
Sort by valuation versus earnings growth and share buyback and select the top 200
Sort by 4-year seasonal relative strength and select the top 40.
Sort by value momentum select the top 10.
Re-constitute every 3 months