The iQuant.pro Small Cap Value Model seeks to generate long-term returns in excess of the total return of the S&P 600 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 Small-Cap Value Model represents an equal-weighted portfolio of small-cap value 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 lowest 300 stocks.
Sort the remaining 300 stocks by the Relative Strength Index (RSI) Index and select the top 250.
Sort the remaining 250 stocks by Value Momentum and Share Buyback and select the top 50.
Sort the remaining 50 stocks by Market Capitalization and select the smallest 10.
Re-constitute every 3 months.