Quantitative Investment Strategy
NSCM US Small Cap Strategy
3 Year Return
(Annualized)
Lifetime Return
(Annualized)
12.14%
As of
3/31/24
YTD Return
-2.69%
9.32%
0.52
0.38
January 4, 2021
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 Small Cap Strategy seeks to generate risk-adjusted outperformance against the Russell 2000 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 small-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 Small Cap Public Equity | Russell 2000 Index | 01/04/2021 | $0.8mm | 1.00% | 20 |
As of
3/31/24
Performance
Total Returns (Net)
As of
3/31/24
QTD
YTD
1 Year
3 Year
Lifetime
NSCM US Small Cap Strategy
12.14%
12.14%
14.43%
-2.69%
9.32%
Russell 2000 Index
5.17%
19.66%
5.17%
-0.14%
3.61%
+ / - Benchmark
6.97%
-5.23%
6.97%
-2.55%
5.71%
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
12.14%
--
--
--
5.17%
6.97%
2023
13.06%
9.83%
-14.03%
8.06%
16.88%
-1.51%
2022
-2.75%
-8.10%
-0.33%
-10.48%
-20.46%
0.21%
2021
44.99%
-2.57%
-8.35%
0.02%
14.78%
14.71%
2020
--
--
--
--
--
--
Benchmark Return
+ / - Benchmark
Total Return
12.14%
15.37%
-20.25%
29.50%
--
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 Small Cap Strategy
Russell 2000 Index
+ / - Benchmark
3 Months
12.14%
5.17%
6.97%
1 Year
14.43%
19.66%
-5.23%
3 Year
-7.85%
-0.41%
-7.44%
21.38%
Lifetime
19.14%
12.23%
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.
Relative Risk Measures
As of
3/31/24
3 Year
R-Squared
Lifetime
R-Squared
3 Year
Beta
Lifetime
Beta
NSCM US Small Cap Strategy
0.56
0.52
0.82
0.91
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
21.09%
20.70%
Russell 2000 Index
3 Year
Standard Deviation
Lifetime
NSCM US Small Cap Strategy
23.15%
26.05%
-0.02
Russell 2000 Index
3 Year
Sharpe Ratio
Lifetime
NSCM US Small Cap Strategy
-0.11
0.38
0.16
Still underwater (33 months)
15 months
-26.86%
Russell 2000 Index
Max Drawdown Analysis
Drawdown %
Drawdown Duration
Recovery Duration
NSCM US Small Cap Strategy
-28.77%
21 months
Still underwater (36 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
0.0
9.7
79.9
10.4
Medium ($4 - $10bn)
Cash / Other
Small ($0 - $4bn)
Weight (%)
Market Capitalization
Mega ($100bn+)
0.0
Large ($10 - $100bn)
10.4
9.8
10.3
20.7
13.7
5.2
5.2
14.4
5.2
Weight (%)
Sector
Communication Services
5.1
Consumer Discretionary
Consumer Staples
Energy
Financials
Health Care
Industrials
Information Technology
Materials
Real Estate
0.0
Utilities
0.0
Cash / Other