QAS ALPHA GENERATION REVIEW – OCTOBER 2018
ALL QAS U.S. STOCK SELECTION INDEXES CONTINUED WITH STRONG PERFORMANCE IN 2018 YTD.
As of October 4, 2018, QAS active U.S. stock selection indexes representing Large, Small and Micro Cap size segments demonstrated strong outperformance relative to their respective passive benchmarks.
2018 YTD Return:
QAS 132 U.S. Large-Cap Selection Index +17.1% vs. +10.9% (SPY)
QAS 133 U.S. Small-Cap Selection Index +11.2% vs. +9.8% (IWM)
QAS 134 U.S. Micro-Cap Selection Index +13.4% vs. +9.8% (IWC)
U.S. Stock Market conditions have been positive year-to-date. However, the sector and stock selection process has been challenging this year as many stocks experienced above-average volatility periods.
The QAS stock selection index methodology incorporates a unique combination of 3 distinct alpha generating parameters: absolute momentum, relative momentum and position sizing/rebalancing.
QAS 132 U.S. Large-Cap Selection Index
QAS 133 U.S. Small-Cap Selection Index
QAS 132 U.S. Micro-Cap Selection Index
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ETF References:
SPY® SPDR S&P 500 ETF
IWM® iShares Russell 2000 ETF
IWC® iShares Micro-Cap ETF
Intended Application of QAS Data
The QAS Data is hypothetical and therefore does not reflect actual trading. Past performance is not a guarantee of future results. The QAS Data is for informational and educational purposes for investment professionals only, and is not to be used or considered as an offer or invitation to sell or issue or any solicitation of any offer or invitation to buy securities or other financial instruments, or any advice or recommendation with respect to such securities or other financial instruments.
