Small Cap Value
- Investment philosophy and process based on Behavioral Finance will continue to drive outperformance
- Blend of quantitative behavioral screens and rigorous fundamental analysis
- We avoid behavioral flaws by constructing portfolios using current information, not past statistical relationships (i.e., optimizers)
- Hillcrest neutralizes non-alpha factors to benchmark by only taking significant deviations relative to the benchmark on stock-specific factors like value, growth and sentiment
- Hillcrest portfolios control risk by monitoring and managing sector weights, stock weights, characteristics and common factors to the Russell 2000® Value index.
- Hillcrest follows both internal risk-control guidelines and any client-specific restrictions when managing portfolios.
|Benchmark||Russell 2000® Value Index|
|Number of Holdings:||30 to 60 (depending on the client’s risk level)|
|Sector Weights:||Typically -5% to +5% of Russell 2000® Value Index weights|
|Minimum Sector Weight:||0%|
|Initial Position Size:||1.5% to 4%|
|Turnover:||Typically about 25% to 40% annually|
|Liquidity:||Appropriate portion of average daily volume assuming $2 billion in strategy|