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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:2/25/2015
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:2/25/2015
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:2/25/2015
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 BNYM Dev Mkt 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:BNYM Dev Mkt Classic ADR
Inception Date:9/20/2016
Quarterly Commentary
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 BNYM Emg Mkt 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:BNYM Emg Mkt Classic ADR
Inception Date:9/16/2016
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% BNYM Dev Mkt 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% BNYM Dev Mkt Classic ADR
Inception Date:10/2/2017
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:10/15/2015
Quarterly Commentary
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:10/14/2015
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:10/14/2015
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 BNYM Dev Mkt 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:BNYM Dev Mkt Classic ADR
Inception Date:8/25/2016
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 BNYM Emg Mkt 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:BNYM Emg Mkt Classic ADR
Inception Date:8/25/2016
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% BNYM Dev Mkt 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% BNYM Dev Mkt Classic ADR
Inception Date:7/30/2018
Low Volatility
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:6/19/2017

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