xPortfolios Small Cap Alpha

Twenty S&P SmallCap 600 companies in equal weights, reviewed every week, for clients who want an actively managed basket of smaller US companies.

Market

United States

Holdings

20 US-listed stocks

Rebalancing

Weekly

Benchmark

S&P SmallCap 600

Strategy

Small Cap

Currency

USD

Inception

20 Sep 2021

Method and research

Residual (idiosyncratic) momentum: for each eligible member of the index, the part of its return explained by the broad market is separated from the part specific to the company, and companies are ranked on the consistency of that company-specific part over the medium term, leaving out the most recent weeks. Twenty companies at equal weights, reviewed weekly. Momentum research: Blitz, Hanauer & Vidojevic (2020), International Review of Economics & Finance; Blitz, Huij & Martens (2011), Journal of Empirical Finance; Gutierrez & Pirinsky (2007), Journal of Financial Markets; Grundy & Martin (2001), Review of Financial Studies. Risk and volatility research: DeMiguel, Garlappi & Uppal (2009), Review of Financial Studies; Ang, Hodrick, Xing & Zhang (2006), Journal of Finance; Campbell, Lettau, Malkiel & Xu (2001), Journal of Finance. The parameters, eligibility thresholds and data sources are proprietary.

Every week xPortfolios publishes the dated target weights for the xPortfolios Small Cap Alpha and the exact changes since the previous decision, through the partner portal, files, the JSON API, webhooks or SFTP. Your firm sizes the positions, places the trades and keeps the client relationship.