Oakford Park Capital

Small Cap Broad Market Portfolio IB Asset Management

The Small Cap Broad Market portfolio is a portfolio designed to systematically deliver return and risk characteristics of small cap stocks within the US equity market. The portfolio is implemented using a rules-based approach and offered at a relatively low cost.

Research
The goal is to achieve an alternative risk-return profile, which is more attractive than a simple capitalization-weighted index such as the Russell 2000. The weighting methodology results in a portfolio that has less risk concentration in securities with large price appreciation.

Approach
The portfolio is constructed using a rules-based algorithm to determine position allocations. Allocations are a blend of capitalization weights and equal weights. The portfolio is rebalanced quarterly.

Allocation discipline
The portfolio targets an allocation of 1,000 long positions. The allocations are a blend of equal and capitalization weight. Because of the equal weight component, the portfolio has a larger proportion of smaller companies compared to a purely market capitalization weighted portfolio. The weight allocation in this portfolio makes it less prone to having concentration in bubble stocks that have experienced dramatic price appreciation.