Download PDF
6 Meridian

Small Cap Portfolio

as of September 30, 2018

The Approach

A quantitively-driven strategy emphasizing high quality small-cap stocks. Stocks are first screened to remove those that score poorly on financial and growth measures. Those stocks that pass the screen are then ranked on a stand-alone basis in relation to two factors: beta* and value. The stocks that rank the highest for each factor are combined into one portfolio. Stocks that rank high in both factors are over-weighted.

The Features

A diversified portfolio of between 85 and 95 stocks that seeks to deliver superior risk-adjusted returns over the index. The investment objective of the fund is capital appreciation. Our research, as well as a large body of academic research, has found that low beta and value factors are associated with long-term stock outperformance.

Annual Return

11.9%
14.6%
17.5%
S&P 600
Beta (S&P 600)
Value (S&P 600)

Period: Jan ‘95-Sept’18; Source: FactSet