Small-Cap Model
What is the service?
A proprietary, quantitative analytic system - the Small-Cap Model - evaluates small-Cap stocks on a series of fundamental and technical factors and synthesizes those individual measures into a comprehensive forecast of each stock's probable excess return (alpha) over the next 1-3 years.
What makes it different?
- Optimal model for use in small-cap stocks
- Constructed with Gradient Maximization methodology
- Utilizes EPS estimate data from Thomson Financial
- Designed to withstand realistic high transactions costs
- Adapts to changes in market environment - reoptimized annually
Who should use it?
Portfolio managers responsible for equity investment products benchmarked against a small-cap style index like the Russell 2000 or the S & P Small-Cap 600, or a small-cap manager peer group
What do I receive?
Weekly rankings (1 to 10, see the graph below) for 6,000+ US stocks from the Small-Cap Model that characterize each stock's expected alpha
What do the rankings mean?
How do I get the rankings?
- Electronically via the Internet (E-mail or FTP)
- FactSet system
- Hard copy reports via overnight express & fax
How has it performed?
What are the inputs?
Stock rankings from the Small-Cap Model are a synthesis of both valuation and momentum factors:
Factor Definitions
How can it help me?
- Source of Buy ideas
- Objective backstop to your own analysis
- Establish a Sell discipline
- Foundation for creating your own model
- Alphas for input into a portfolio optimizer
- Complete stock selection system
Click here for more information on the Small-Cap Model
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