The iQuant.pro Small Cap Growth Model seeks to generate long-term returns in excess of the total return of the S&P 600 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 Small-Cap Growth Model represents an equal-weighted portfolio of small-cap growth stocks selected from the S&P 600 Small Cap Index.
Start with the 600 stocks of the S&P 600 Small-Cap Index.
Sort the 600 stocks by price-to-book ratio and select the highest 300 stocks.
Sort the remaining 300 stocks by Share Buyback ratios and select the top 50.
Sort the remaining 50 stocks by long-term seasonal risk adjusted relative strength and select the top 10.
Re-constitute every 3 months.