iQ Small Cap Growth Model

 

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INVESTMENT OBJECTIVE

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.

PROCESS

The Small-Cap Growth Model represents an equal-weighted portfolio of small-cap growth stocks selected from the S&P 600 Small Cap Index.

  1. Start with the 600 stocks of the S&P 600 Small-Cap Index.

  2. Sort the 600 stocks by price-to-book ratio and select the highest 300 stocks.

  3. Sort the remaining 300 stocks by Share Buyback ratios and select the top 50.

  4. Sort the remaining 50 stocks by long-term seasonal risk adjusted relative strength and select the top 10.

Re-constitute every 3 months.