iQ Canada All Cap Equity Model
INVESTMENT OBJECTIVE
The iQ Canada All Cap Equity Model seeks to generate long-term returns in excess of the total return of the S&P / TSX Index with less down-market risk.
PROCESS
The iQ Canada All Cap Equity Model represents an equal-weighted portfolio of ten Canadian stocks selected by applying a multi-factor rules-based investment strategy to a starting universe of all Canadian-traded common stocks.
The Process
We begin with all common stocks listed on a Canadian securities exchange as identified by Standard & Poors.
We rank these securities by market capitalization and keep the top 150.
Of the 150 remaining securities, we sort the month-end price to 52-week high price and kick out the lowest 20%.
Of the remaining 120 securities, we rank by industry relative free cash flow to enterprise value and keep the top 30.
Of the remaining 30 securities, we sort by 60-month beta and keep the bottom 10.
This model reconstitutes every February, May, August and November