U.S. ReferencePoint Market Cap & Style Algorithms
ReferencePoint Market Cap Algorithms are designed to generate excess returns versus underlying liquid exchange traded funds that target risk premia from distinct market capitalization ranges of the U.S. equity market.
We currently offer algorithms that target large cap companies with the SPDR S&P 500 ETF (SPY), mid cap companies with the iShares Russell Midcap ETF (IWR) and small cap companies iShares Russell 2000 ETF (IWM). ReferencePoint algorithms focus on these ETFs because they capture the underlying investment exposures that most managers are benchmarked against.
ReferencePoint Market Cap Algorithms produce market exposure coefficients at 3:30 EST every day. These coefficients represents the percent exposure that managers should hold going into the next trading day to replicate the algorithm’s performance.
ReferencePoint coefficients range from 0 to 1. 0 signifies market neutrality and 1 signifies full equity exposure for absolute return investors. Managers that use benchmarks can translates our coefficients to their portfolio beta constraints.