Security selection focuses on companies with improving growth prospects and earnings trends as well as reasonable valuation given the economic cycle. Target market capitalization between $500 million and $5 billion with a minimum and maximum of $100 million and $5 billion, respectively. Returns and standard deviation reflect a well diversified portfolio of 75-95 names that results from our top-down sector/industry allocation process.
We utilize several procedures to control risk in our Small Cap Equity portfolio. On an individual stock level, we have a maximum position limit of 3%, ensuring proper diversification across different securities. For the portfolio, we impose a maximum/minimum sector overweight/underweight of +/- 1000 basis points versus the benchmark sector weight, with an overall maximum sector exposure of 30%. Our investment policies and procedures also call for a review of securities by Investment Committee that have underperformed to the benchmark on a rolling three-month basis.
|Asset Class:||Small Cap Equity|
|Primary Benchmark:||Russell 2000|
|Secondary Benchmark:||Russell 2000 Growth|
|Inception Date:||December 31, 2011|
|Average Number of Positions:||70 - 90|
|Max Position Size:||3%|
|Weighted Average Market Cap:||$2.862 billion|
|Sector Constraint:||+/- 1000 basis points vs. benchmark (30%)|
|Target Annual Turnover:||60 - 80%|
|Data Provided as of:||September 30, 2018|