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QRG Factor-Enhanced Quantitative Portfolios

The Factor-Enhanced QPs contain a subset of the constituents of a major market index and are designed to provide increased exposure to three key factors prominent asset pricing factors—momentum, value, quality, and low volatility—that historically have provided improved risk-adjusted results over the long term. Each portfolio is available in either a UMA Sleeve or separate account format.

The factors QRG strives to capture have historically performed well on an individual basis. But we believe combining factors in a thoughtful way has the potential for improving a strategy’s risk-adjusted performance. To that end, QRG offers standard multi-factor strategies in two popular combinations of factors. Our VMQ strategies combine the value, momentum and quality factors. Value and momentum are two of the most extensively researched factors, and work well in combination due to their negative correlation. The quality factor has little correlation with the others, and adds a dimension of safety.

In our VQ strategies we strive to capture only the value and quality factors, and exclude momentum. These two factors have little correlation, and constitute a very popular combination among factor investors. QRG also creates customized single-factor and multi-factor strategies upon client request.
1
Value
The tendency for cheap assets to outperform expensive assets.
2
Momentum
The tendency for assets that have performed well over the past year to continue to perform well over the near-term.
3
Quality
The tendency for higher quality companies – those that are more profitable and safer – to outperform lower quality companies.
4
Low Volatility
The tendency for for lower beta, less volatile stocks to outperform.

Strategies

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VMQ
(Value + Momentum + Quality)
Large Cap VMQ
The Quantitative Portfolio: Factor-Enhanced Large Cap: V + M + Q is a passively managed Separately Managed Account. The portfolio is designed to provide factor exposures and returns similar to those of the CRSP US Large Cap index. The (V + M + Q) suffix in the portfolio name refer to the value, momentum and quality factors being captured in this series.
Minimum Investment:$100,000
Benchmark:CRSP US Large Cap
Inception Date:8/1/2015
Fact Sheet
Rebalancing Fact Sheet
Quarterly Commentary
GIPS Report
Mid Cap VMQ
The Quantitative Portfolio: Factor-Enhanced Mid Cap V + M + Q Managed strategy is a passively managed Separately Managed Account. The portfolio is designed to provide exposure to the primary drivers of return and excess return identified over decades of financial research. These include exposures to the market, as well as to the well-known value, momentum and quality asset pricing factors.
Minimum Investment:$100,000
Benchmark:CRSP US Mid Cap Index
Fact Sheet
Quarterly Commentary
Small Cap VMQ
The Quantitative Portfolio: Factor-Enhanced Small Cap: V + M + Q is a passively managed Separately Managed Account. The portfolio is designed to provide factor exposures and returns similar to those of the CRSP US Small Cap index. The (V + M + Q) suffix in the portfolio name refer to the value, momentum and quality factors being captured in this series.
Minimum Investment:$100,000
Benchmark:CRSP US Small Cap
Inception Date:10/1/2016
Fact Sheet
Rebalancing Fact Sheet
Quarterly Commentary
GIPS Report
All Cap VMQ
The Quantitative Portfolio: Factor-Enhanced All Cap: V + M + Q is a passively managed Separately Managed Account. The portfolio is designed to provide factor exposures and returns similar to those of the CRSP US Total Market index. The (V + M + Q) suffix in the portfolio name refer to the value, momentum and quality factors being captured in this series.
Minimum Investment:$100,000
Benchmark:CRSP US Total Market
Inception Date:9/1/2015
Fact Sheet
Rebalancing Fact Sheet
Quarterly Commentary
GIPS Report
International ADR VMQ
The Quantitative Portfolio: Factor-Enhanced Intl ADR: V + M + Q is a passively managed Separately Managed Account. The portfolio is designed to provide factor exposures and returns similar to those of the S&P Developed Markets Classic ADR Index. The (V + M + Q) suffix in the portfolio name refer to the value, momentum and quality factors being captured in this series.
Minimum Investment:$100,000
Benchmark:S&P Developed Markets Classic ADR Index
Inception Date:3/1/2017
Fact Sheet
Rebalancing Fact Sheet
Quarterly Commentary
GIPS Report
Emerging Markets ADR VMQ
The Quantitative Portfolio: Factor-Enhanced Emerg Mrkts ADR: V + M + Q is a passively managed Separately Managed Account. The portfolio is designed to provide factor exposures and returns similar to those of the S&P Emerging Classic ADR Index. The (V + M + Q) suffix in the portfolio name refer to the value, momentum and quality factors being captured in this series.
Minimum Investment:$100,000
Benchmark:S&P Emerging Classic ADR Index
Inception Date:6/1/2017
Fact Sheet
Rebalancing Fact Sheet
Quarterly Commentary
GIPS Report
Global Equity VMQ
The Quantitative Portfolio: Factor-Enhanced Global V + M + Q is a passively managed Separately Managed Account. The portfolio is designed to provide factor exposures and returns similar to those of the a blended benchmark (69% CRSP US Large Cap index and 31% S&P Developed Markets Classic ADR Index). The (V + M + Q) suffix in the portfolio name refer to the value and quality factors being captured in this series.
Minimum Investment:$200,000
Benchmark:Blended Benchmark: 69% CRSP US Large Cap, 31% S&P Developed Markets Classic ADR Index
Inception Date:6/1/2018
Fact Sheet
Rebalancing Fact Sheet
Quarterly Commentary
GIPS Report
VQ
(Value + Quality)
Large Cap VQ
The Quantitative Portfolio: Factor-Enhanced Large Cap: V + Q is a passively managed Separately Managed Account. The portfolio is designed to provide factor exposures and returns similar to those of the CRSP US Large Cap index. The (V + Q) suffix in the portfolio name refer to the value and quality factors being captured in this series.
Minimum Investment:$100,000
Benchmark:CRSP US Large Cap
Inception Date:3/1/2017
Fact Sheet
Quarterly Commentary
Rebalancing Fact Sheet
GIPS Report
Small Cap VQ
The Quantitative Portfolio: Factor-Enhanced Small Cap: V + Q is a passively managed Separately Managed Account. The portfolio is designed to provide factor exposures and returns similar to those of the CRSP US Small Cap index. The (V + Q) suffix in the portfolio name refer to the value and quality factors being captured in this series.
Minimum Investment:$100,000
Benchmark:CRSP US Small Cap
Inception Date:7/1/2017
Fact Sheet
Quarterly Commentary
Rebalancing Fact Sheet
GIPS Report
All Cap VQ
The Quantitative Portfolio: Factor-Enhanced All Cap: V + M + Q is a passively managed Separately Managed Account. The portfolio is designed to provide factor exposures and returns similar to those of the CRSP US Total Market index. The (V + Q) suffix in the portfolio name refer to the value, momentum and quality factors being captured in this series.
Minimum Investment:$100,000
Benchmark:CRSP US Total Market
Inception Date:4/1/2017
Fact Sheet
Quarterly Commentary
Rebalancing Fact Sheet
GIPS Report
International ADR VQ
 The Quantitative Portfolio:Factor-Enhanced Intl ADR: V + Q is a passively managed Separately Managed Account. The portfolio is designed to provide factor exposures and returns similar to those of the S&P Developed Markets Classic ADR Index. The (V + Q) suffix in the portfolio name refer to the value and quality factors being captured in this series.
Minimum Investment:$100,000
Benchmark:S&P Developed Markets Classic ADR Index
Inception Date:3/1/2017
Fact Sheet
Quarterly Commentary
Rebalancing Fact Sheet
GIPS Report
Emerging Markets ADR VQ
The Quantitative Portfolio: Factor-Enhanced Emerg Mrkts ADR: V + Q is a passively managed Separately Managed Account. The portfolio is designed to provide factor exposures and returns similar to those of the S&P Emerging Classic ADR Index. The (V + Q) suffix in the portfolio name refer to the value, momentum and quality factors being captured in this series.
Minimum Investment:$100,000
Benchmark:S&P Emerging Classic ADR Index
Inception Date:7/1/2018
Fact Sheet
Quarterly Commentary
Rebalancing Fact Sheet
GIPS Report
Global Equity VQ
The Quantitative Portfolio: Factor-Enhanced Global V+Q is a passively managed Separately Managed Account. The portfolio is designed to provide factor exposures and returns similar to those of the a blended benchmark (69% CRSP US Large Cap index and 31% S&P Developed Markets Classic ADR Index). The (V + Q) suffix in the portfolio name refer to the value and quality factors being captured in this series.
Minimum Investment:$100,000
Benchmark:Blended Benchmark: 69% CRSP US Large Cap, 31% S&P Developed Markets Classic ADR Index
Inception Date:6/1/2020
Fact Sheet
Quarterly Commentary
Rebalancing Fact Sheet
GIPS Report
Single Factor
Large Cap Low Volatility
The Quantitative Portfolio: Factor-Enhanced Large Cap Low Volatility is a passively managed Separately Managed Account. The portfolio is designed to provide factor exposures and returns similar to those of the CRSP US Large Cap index.
Minimum Investment:$100,000
Benchmark:CRSP US Large Cap
Inception Date:3/1/2018
Fact Sheet
Quarterly Commentary
Rebalancing Fact Sheet
GIPS Report
Large Cap Quality
The Quantitative Portfolio: Factor-Enhanced Large Cap Quality Managed strategy is a passively managed Separately Managed Account. The portfolio is designed to provide exposure to the primary drivers of return and excess return identified over decades of financial research. These include exposures to the market, as well as to the well-known quality asset pricing factors.
Minimum Investment:$40,000
Benchmark:CRSP US Large Cap Index
Inception Date:6/1/2023
Fact Sheet
Quarterly Commentary
Large Cap Momentum
The Quantitative Portfolio: Factor-Enhanced Large Cap Momentum Managed strategy is a passively managed Separately Managed Account. The portfolio is designed to provide exposure to the primary drivers of return and excess return identified over decades of financial research. These include exposures to the market, as well as to the well-known momentum asset pricing factors.
Minimum Investment:$40,000
Benchmark:CRSP US Large Cap Index
Inception Date:3/1/2024
Fact Sheet
Quarterly Commentary
Large Cap Value
The Quantitative Portfolio: Factor-Enhanced Large Cap Value Managed strategy is a passively managed Separately Managed Account. The portfolio is designed to provide exposure to the primary drivers of return and excess return identified over decades of financial research. These include exposures to the market, as well as to the well-known value asset pricing factors.
Minimum Investment:$40,000
Benchmark:CRSP US Large Cap Index
Inception Date:3/1/2024
Fact Sheet
Quarterly Commentary

Disclaimer

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Past performance is not indicative of future results.
QRG’s use of call and put options can lead to losses because of adverse movements in the price or value of the underlying stock or index which may be magnified by certain features of the options. These risks are heightened when QRG uses options to enhance a client’s return. When selling a call option, a client will receive a premium; however, this premium may not be enough to offset a loss incurred by the client if the price of the underlying security is above or below, respectively, the strike price by an amount equal to or greater than the premium. The value of an option may be adversely affected if the market for the option becomes less liquid and will be affected by changes in the value or yield of the option’s underlying asset, an increase in interest rates, a change in the actual or perceived volatility of the stock market or the underlying asset and the remaining time to expiration. Additionally, the value of an option does not increase or decrease at the same rate as the underlying securities. Writing a call in a position can lead to an assignment and involuntary transaction (i.e., “called away”), which cannot otherwise be avoided, upon an exercise of a call in the client account. When purchasing a put, a client’s entire initial investment of premium can be lost.

Option trading involves a significant degree of risk, which each prospective investor should seriously consider. The risk of loss in trading options can be substantial and options are not suitable for all investors. Prospective clients should carefully consider whether such trading is suitable for them in light of their financial condition and individual risk tolerances. The high degree of leverage that is often obtainable in options trading can work against investors as well as for them. More information on the risks of buying and selling options contracts can be found on the CBOE’s website at https://www.theocc.com/company-information/documents-and-archives/publications
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