Quantitative Investment Strategy
NSCM US Large Cap Strategy
3 Year Return
(Annualized)
Lifetime Return
(Annualized)
14.23%
As of
3/31/24
YTD Return
14.17%
21.13%
0.51
0.99
July 2, 2020
Lifetime, with benchmark.
Lifetime
R-Squared
Sharpe Ratio
Inception Date
As of
3/31/24
As of
3/31/24
Important information: Past performance does not guarantee future results. The performance data quoted represents past performance from specific brokerage accounts used for the purposes of tracking the strategy’s live performance. 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. Returns are net of a 1% annual management fee, charged as a percent of total assets under management.
Overview
Objective
Investment Approach
Our US Large Cap Strategy seeks to generate risk-adjusted outperformance against the S&P 500 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 large-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.
Style | Focus | Benchmark | Inception Date | Total Assets | Fee | # of Holdings |
|---|---|---|---|---|---|---|
Active - Quantitative | US Large Cap Public Equity | S&P 5OO Index | 07/02/2020 | $0.8mm | 1.00% | 17 |
As of
3/31/24
Performance
Total Returns (Net)
As of
3/31/24
QTD
YTD
1 Year
3 Year
Lifetime
NSCM US Large Cap Strategy
14.23%
14.23%
33.92%
14.17%
21.13%
S&P 5OO Index
10.55%
29.87%
10.55%
11.47%
16.91%
+ / - Benchmark
3.67%
4.05%
3.67%
2.70%
4.22%
The performance data quoted represents past performance from specific brokerage accounts used for the purposes of tracking the strategy’s live performance. 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. Returns are net of a 1% annual management fee, charged as a percent of total assets under management.
Quarterly & Annual Returns (Net)
As of
3/31/24
Q1
Q2
Q3
Q4
2024
14.23%
--
--
--
10.55%
3.67%
2023
1.61%
3.79%
0.03%
12.92%
26.26%
-7.14%
2022
-8.32%
-6.28%
-3.31%
13.00%
-18.13%
12.01%
2021
5.89%
7.79%
-3.48%
11.97%
28.68%
-5.32%
2020
--
--
4.18%
25.01%
22.16%
8.08%
Benchmark Return
+ / - Benchmark
Note: 2020 Total Return is a partial return (inception on 7/1 thru 12/31).
Total Return
14.23%
19.12%
-6.12%
23.35%
30.23%
The performance data quoted represents past performance from specific brokerage accounts used for the purposes of tracking the strategy’s live performance. 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. Returns are net of a 1% annual management fee, charged as a percent of total assets under management.
Cumulative Returns (Net)
As of
3/31/24
NSCM US Large Cap Strategy
S&P 5OO Index
+ / - Benchmark
3 Months
14.23%
10.55%
3.67%
1 Year
33.92%
29.87%
4.05%
3 Year
48.81%
38.51%
10.29%
25.58%
Lifetime
105.21%
79.64%
The performance data quoted represents past performance from specific brokerage accounts used for the purposes of tracking the strategy’s live performance. 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. Returns are net of a 1% annual management fee, charged as a percent of total assets under management.
Relative Risk Measures
As of
3/31/24
3 Year
R-Squared
Lifetime
R-Squared
3 Year
Beta
Lifetime
Beta
NSCM US Large Cap Strategy
0.57
0.51
0.84
0.80
The performance data quoted represents past performance from specific brokerage accounts used for the purposes of tracking the strategy’s live performance. Relative performance is measured versus this strategy's benchmark, which is stated in the Overview section of this webpage. Relative risk measures are calculated using monthly returns.
Risk & Return Statistics
As of
3/31/24
17.35%
17.26%
S&P 5OO Index
3 Year
Standard Deviation
Lifetime
NSCM US Large Cap Strategy
19.39%
19.48%
0.57
S&P 5OO Index
3 Year
Sharpe Ratio
Lifetime
NSCM US Large Cap Strategy
0.66
0.99
0.88
24 months
9 months
-23.88%
S&P 5OO Index
Max Drawdown Analysis
Drawdown %
Drawdown Duration
Recovery Duration
NSCM US Large Cap Strategy
-16.92%
9 months
19 months
The performance data quoted represents past performance from specific brokerage accounts used for the purposes of tracking the strategy’s live performance. 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. Returns are net of a 1% annual management fee, charged as a percent of total assets under management. Standard deviation, Sharpe ratio, and all max drawdown statistics are calculated using monthly return streams.
Portfolio Composition
As of
3/31/24
73.4
1.1
0.0
6.9
Medium ($4 - $10bn)
Cash / Other
Small ($0 - $4bn)
Weight (%)
Market Capitalization
Mega ($100bn+)
18.5
Large ($10 - $100bn)
6.9
2.6
16.5
34.1
8.9
2.9
0.0
11.6
9.3
Weight (%)
Sector
Communication Services
6.1
Consumer Discretionary
Consumer Staples
Energy
Financials
Health Care
Industrials
Information Technology
Materials
Real Estate
0.0
Utilities
1.1
Cash / Other