iQ Mid Cap Value Model

 

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INVESTMENT OBJECTIVE

The iQuant.pro Mid Cap Value Model seeks to generate long-term returns in excess of the total return of the S&P 400 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 Mid-Cap Value Model represents an equal-weighted portfolio of mid-cap value stocks that have displayed strong Fundamentals with low valuations.

  1. Start with the 400 stocks of the S&P 400 Mid-Cap Index.

  2. Sort the 400 stocks by price-to-book ratio and select the bottom 200 stocks.

  3. Sort the remaining 200 stocks by Value, Price, and Earnings Momentum and select the top 100.

  4. Sort the remaining 100 stocks by Price-to-Sales Ratios and select the bottom 50.

  5. Sort the remaining 50 stocks by 5 Year Earnings Growth and select the top 10.

Re-constitute every 3 months.