Quantitative Investment Strategy
Important information: Past performance does not guarantee future results. All performance data quoted represents past performance from selected brokerage accounts used to track the strategy’s live performance during different time periods and linked to present a continuous return history. Returns for less than one year are not annualized. Market returns are based on the trade price at which shares are bought and sold using the last share trade. Market performance does not represent the returns you would receive if you traded shares at other times. The performance of an index is not an exact representation of any particular investment, as you cannot invest directly in an index. Benchmark comparative indexes represent unmanaged or average returns on various financial assets, which can be compared with funds' total returns for the purpose of measuring relative performance. Performance reflects the reinvestment of dividends from the strategy’s holdings. Net performance reflects returns after a 1.00% annual management fee (0.08% monthly), applied on a pro forma basis in periods where the underlying account was not charged an advisory fee.
Index Descriptions: The S&P 500® Index is a widely recognized capitalization-weighted index that measures the performance of the large-capitalization segment of the U.S. stock market. The Russell 2000 Index® is a widely recognized capitalization-weighted index that measures the performance of the small-cap segment of the U.S. stock market. These indices do not reflect the deduction of fees or expenses. Index returns are shown for comparative purposes only and are not indicative of the performance of any specific investment. Investors cannot invest directly in an index. Index performance data is sourced from Bloomberg.
Our US Small Cap Strategy seeks to generate risk-adjusted outperformance against the Russell 2000 Index over a full business cycle by using our proprietary quantitative approach to stock selection and portfolio construction. By virtue of our approach, the strategy tends to generate returns that are less correlated with other active and passive strategies, especially those that are value-centric. This strategy emphasizes tactical diversification across market sectors, and aims to eliminate human bias by employing a fully quantitative, systematic, and repeatable methodology.
This strategy leverages our proprietary, quantitative optimization framework that seeks to identify high-potential investment opportunities, emphasizing a systematic and disciplined approach to the investment process, with the aim of generating outperformance over the long term. Through rigorous risk management techniques and quantitative risk controls, the strategy aims to mitigate downside risk while offering differentiated exposure to US small-cap stocks. The strategy dynamically allocates capital to market segments exhibiting relative strength, seeking to capitalize on market trends and momentum. Portfolio construction is driven by mathematical optimization, aiming to maximize the Sharpe ratio of the portfolio by factoring in historical cross-correlations between individual stocks.
Past performance does not guarantee future results. All performance data quoted represents past performance from selected brokerage accounts used to track the strategy’s live performance during different time periods and linked to present a continuous return history. Net performance reflects returns after a 1.00% annual management fee (0.08% monthly), applied on a pro forma basis in periods where the underlying account was not charged an advisory fee. Returns for less than one year are not annualized. Market returns are based on the trade price at which shares are bought and sold using the last share trade. Market performance does not represent the returns you would receive if you traded shares at other times. Performance reflects the reinvestment of dividends from the strategy’s holdings.
Past performance does not guarantee future results. All performance data quoted represents past performance from selected brokerage accounts used to track the strategy’s live performance during different time periods and linked to present a continuous return history. Net performance reflects returns after a 1.00% annual management fee (0.08% monthly), applied on a pro forma basis in periods where the underlying account was not charged an advisory fee. Returns for less than one year are not annualized. Market returns are based on the trade price at which shares are bought and sold using the last share trade. Market performance does not represent the returns you would receive if you traded shares at other times. Performance reflects the reinvestment of dividends from the strategy’s holdings.
Past performance does not guarantee future results. All performance data quoted represents past performance from selected brokerage accounts used to track the strategy’s live performance during different time periods and linked to present a continuous return history. Market returns are based on the trade price at which shares are bought and sold using the last share trade. Market performance does not represent the returns you would receive if you traded shares at other times. Performance reflects the reinvestment of dividends from the strategy’s holdings. Net performance reflects returns after a 1.00% annual management fee (0.08% monthly), applied on a pro forma basis in periods where the underlying account was not charged an advisory fee. Standard deviation, Sharpe ratio, and all max drawdown statistics are calculated using monthly return streams.
Not shown: Cash and cash equivalents. Holdings are subject to change. Geographic Breakdown relates principally to the domicile of the issuers of the securities held by the strategy. Sector Breakdown is based on the Global Industry Classification Standard (GICS).
