We design rules-based, multi-factor equity strategies engineered to capture persistent fundamental risk premia while minimizing human cognitive and behavioral biases. To mitigate catastrophic drawdowns, our risk-managed strategies incorporate our proprietary MER Tactical Equity Overlay™, which is designed to protect capital by systematically shifting all or a portion of the portfolio into defensive short-term U.S. Treasuries or cash equivalents during unfavorable or deteriorating market environments.
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The following quantitative, multi-factor stock strategies are offered to exchange-traded product (ETP) sponsors, institutional asset managers, multi-family offices (MFOs), and wealth management firms primarily on an index or model licensing basis.

U.S. Small/Mid-Cap Quality Growth Strategy

A quantitative, U.S. small- and mid-cap equity strategy engineered to outperform the S&P MidCap 400 Index on an absolute and risk-adjusted basis across full market cycles. It seeks to achieve this objective through a rules-based selection process that identifies for investment approximately 50 high-quality, high-growth U.S. small- and mid-cap companies, subject to disciplined sector constraints. The portfolio is weighted by modified market capitalization and undergoes systematic quarterly reconstitution and rebalancing.

  • Target Benchmark: S&P MidCap 400 Index
  • Hedging Architecture: Unhedged
  • Structure: Concentrated, Small/Mid-Cap Multi-Factor Equity | Approximately 50 high-quality, high-growth U.S. small- and mid-cap stocks, sector-constrained and weighted by modified market capitalization
  • Rebalancing & Reconstitution:  Quarterly
  • Portfolio Role: Core or Satellite U.S. Small/Mid-Cap Quality Growth Equity Allocation

U.S. Large-Cap Quality Value & Momentum Strategy

A quantitative, U.S. large-cap equity strategy engineered to outperform the S&P 500 Index on an absolute and risk-adjusted basis across full market cycles. It seeks to achieve this objective through a rules-based selection process that identifies for investment approximately 50 high-quality, attractively valued U.S. large-cap companies that exhibit strong recent risk-adjusted price momentum, subject to disciplined sector constraints. The portfolio is weighted by modified market capitalization and undergoes systematic quarterly reconstitution and rebalancing.

  • Target Benchmark: S&P 500 Index
  • Hedging Architecture: Unhedged
  • Structure: Concentrated, Large-Cap Multi-Factor Equity | Approximately 50 high-quality, attractively valued U.S. large-cap stocks with strong recent price momentum, sector-constrained and weighted by modified market capitalization
  • Rebalancing & Reconstitution:  Quarterly
  • Portfolio Role: Core or Satellite U.S. Large-Cap Multi-Factor Equity Allocation

Risk-Managed U.S. Large-Cap Quality Value & Momentum Strategy

A quantitative, risk-managed U.S. large-cap equity strategy engineered to outperform the S&P 500 Index on an absolute and risk-adjusted basis across full market cycles while seeking to mitigate catastrophic drawdowns. It aims to achieve this objective through a rules-based selection process that identifies for investment approximately 50 high-quality, attractively valued U.S. large-cap companies exhibiting strong recent price momentum, subject to disciplined sector constraints. The strategy also incorporates our proprietary MER Tactical Equity Overlay™ to reduce downside risk. The portfolio is weighted by modified market capitalization and undergoes systematic quarterly reconstitution and rebalancing, subject to dynamic reallocation when the tactical overlay triggers a risk-off or risk-on event.

  • Target Benchmark: S&P 500 Index
  • Hedging Architecture: 100% Tactical Hedge (MER Tactical Equity Overlay™)
  • Structure:
    • Risk-On: Approx. 50 Equity Holdings (Sector-Constrained)
    • Risk-Off: Defensive Assets (Short-Term U.S. Treasuries or Cash Equivalents)
  • Rebalancing & Reconstitution:  Quarterly, subject to Tactical Overlay Trigger Events
  • Portfolio Role: Liquid Alternative or Risk-Managed U.S. Large-Cap Multi-Factor Equity Allocation

Risk-Managed U.S. All-Cap Multi-Factor Strategy

A quantitative, risk-managed U.S. all-cap equity strategy engineered to outperform the Russell 3000 Index on an absolute and risk-adjusted basis across full market cycles while seeking to mitigate catastrophic drawdowns. It aims to achieve this objective through an equal 50/50 allocation to two component strategies: our Risk-Managed U.S. Large-Cap Quality Value & Momentum Strategy and our U.S. Small/Mid-Cap Quality Growth Strategy. Accordingly, during normal market conditions, the portfolio consists of approximately 100 U.S. stocks that exhibit diverse market capitalizations and factor exposures. The combined portfolio undergoes systematic quarterly rebalancing and reconstitution, with tactical reallocations executed independently within the large-cap strategy component.

  • Target Benchmark: Russell 3000 Index
  • Hedging Architecture: 50% Tactical Hedge (MER Tactical Equity Overlay™ applied to Large-Cap Allocation)
  • Component Strategy Weights: 50% Risk-Managed U.S. Large-Cap Quality Value & Momentum / 50% U.S. Small/Mid-Cap Quality Growth
  • Structure:
    • Risk-On: Approx. 100 Equity Holdings (Sector-Constrained)
    • Risk-Off: 50% Defensive Assets (Short-Term U.S. Treasuries or Cash Equivalents) and  50% Small/Mid-Cap Quality Growth Equities
  • Rebalancing & Reconstitution: Quarterly, subject to Large-Cap Strategy Tactical Overlay Trigger Events
  • Portfolio Role: Liquid Alternative or Risk-Managed U.S. All-Cap Multi-Factor Equity Allocation

Contact Us to Learn More

To request detailed methodology, institutional fact sheets, or discuss licensing and sub-advisory opportunities for our Quantitative Stock Strategies, please contact us at info@mercapitalmanagement.com.

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