Mackenzie US Quantitative Small Cap

Inception: Feb 2020

Benchmark: Russell 2000 Index

Investment Adviser: Mackenzie Investments Corporation

Portfolio Advantage

  • Core focus that aims to add value across a variety of market conditions
  • Nimble process runs models and rebalances daily in seeking to capture daily pricing inefficiencies
  • Predictive transaction cost modeling seeks to avoid high transactions costs and strictly controlled AUM structured to preserve alpha generation potential

Investment Philosophy

The Mackenzie Global Quantitative Equity team believes that consistent, long-term outperformance is most likely achieved through the construction of core, “all-weather” portfolios that have the potential to outperform in a wide array of market environments.  Quantitative processes methodically applied to the entire investable universe offer greater decision-making breadth and the potential for higher alpha generation.  We believe that our combination of strict AUM capacity controls, intimate team size, predictive transaction cost modeling, and daily rebalancing allows us to be nimbler than many of our peers in the deployment of innovative new alpha factors and the exploitation of daily pricing inefficiencies.

Investment Approach

  • Bottom-up, quantitative stock selection process is applied to a broad investable universe of over 2,500 in the US small-cap market.
  • Stocks are analyzed through a sector relative model framework.
  • Individual stock weights are assigned based upon sub-factors, which are grouped into the four super factors, Value, Growth, Quality and Informed Investor.
  • Contextual modeling is utilized to further refine the weights of factors assigned to stocks and ensures that we are ranking them on metrics that are most relevant to each stock's underlying characteristics.
  • The priority in executing the investment process is to remain nimble in seeking to generate alpha for clients. 


The material presented on this website is for informational purposes only and is intended for institutions, investment professionals, consultants and clients, and does not constitute an offer or solicitation of any kind to buy or sell any investment fund or any other product, investment, security, trading strategy or other service to anyone in any jurisdiction in which an offer or solicitation is not authorized or cannot legally be made or to any person to whom it is unlawful to make such an offer.  Prospective clients are responsible for determining whether any product or service may lawfully be sold in their jurisdiction.

Investing involves risk.

The contents of this document are provided for illustrative and marketing purposes and do not constitute specific advice regarding your personal investment situation or provide specific individual advice about investment, insurance, financial, legal, accounting, tax or similar matters. Certain information contained in this document is obtained from third parties. Mackenzie Investments believes such information to be accurate and reliable as at the date hereof, however, we cannot guarantee that it is accurate or complete or current at all times. The information provided is subject to change without notice and Mackenzie Investments cannot be held liable for any loss arising from any use of or reliance on the information contained in this document. No portion of this communication may be reproduced or distributed to anyone without the express permission of Mackenzie Investments.

The Mackenzie US Quantitative Small Cap Composite contains fully discretionary, US Small Cap accounts. New accounts are included in the Composite beginning with the first full month under management after they have been fully invested.

GIPS Compliance Statement

Mackenzie Investments claims compliance with the Global Investment Performance Standards (GIPS®).

Composite Description

The US Quantitative Small Cap Composite seeks to provide long-term capital appreciation and outperform its benchmark. The strategy applies a quantitative, bottom-up stock selection investment process, based on fundamental insights, to the US market across small-cap stocks. The investment process focuses on a succinct, high conviction set of factors, which are applied within the context of a sector/industry relative model. The composite inception and creation date is March 1, 2020.

Benchmark Description

The Russell 2000 Index is a free float adjusted, market capitalization weighted index that is designed to measure the small cap equity performance of the US Stock Market.

List of Composites

A complete list of composite descriptions is available to prospective clients upon request. Please contact Dean Silver at