Strategy Description
The Quantitative U.S. Equity Growth strategy is a systematic investment strategy with the goal of providing investors with above-average long-term growth.
Each month, the top three ranked stocks are selected from the S&P 100 index universe using a momentum factor and held for a month,
The strategy has produced 10X the return of the benchmark with half the drawdown.
Definitions
Sharpe Ratio – the average return earned in excess of the risk-free rate. A higher Sharpe Ratio is better
Risk-Free Rate – represents the interest an investor would expect from an absolutely risk-free investment over a specified period of time.
Sortino Ratio – another measure of risk that takes into account the downside deviation of the asset. A higher Sortino Ratio is better.
What is drawdown?
Drawdown is the measure from the highest high to the lowest low or peak to trough during a specific time period. It is an important measurement of risk. A larger drawdown requires a more significant increase in the security to recover.
