ILXQuant US Small & Mid Cap Investment EW Index

Targets the conservative-investment premium in mid and small-cap by concentrating in companies with the most measured capital allocation relative to peers. Equally weighted for diversified exposure to financially disciplined businesses, rebalanced quarterly.

Index identifier: ILXCMS
Category: Factor
Universe: US Small & Mid Cap
Currency: USD
Inception: 2004-03-01
Rebalancing: Quarterly
Index fee: 0.60% p.a.
Reference benchmark: S&P 400 Mid-Cap (MDY)

Performance and risk

All figures below are measured over a trailing window of up to 1,260 trading days (approximately five years), not since index inception.

Performance and risk — 2021-08-06 to 2026-08-12 00:00:00
Annualised return	-2.22%
Sharpe ratio	-0.08
Calmar ratio	-0.05
Volatility	26.58%
Maximum drawdown	-47.94%
Return, 1 month	—
Return, 3 months	—
Return, 1 year	—
Return, year to date	+3.59%

Full performance history, drawdown analysis, rolling risk metrics and portfolio breakdowns for this index are available in the ILX Quant platform.

Customized Indexing and Advanced Analytics

ILX Quant is a research platform for systematic equity strategies. It supports a wide range of approaches, including factor-based, thematic, alternative and regional strategies, enabled by scalable, high-speed development and a high degree of customization.

Methodology

Rapid Index Construction

Create and iterate systematic equity strategies using natural language instructions, without writing code. From factor-based models to complex, multi-layered strategies, strategies can be defined, adjusted and rebuilt in seconds. All strategies remain fully rules-based, transparent and consistently validated, with ongoing maintenance and rebalancing handled automatically.

Flexible Data Integration

Incorporate a wide range of data sources, including alternative datasets, regional universes, custom signals and external inputs. Each strategy can be precisely tailored to reflect specific ideas, constraints or market views, without limitations on structure or scope.

Scalable Analytics and Exploration

Every strategy is supported by a comprehensive analytics and risk framework, including performance breakdowns, drawdowns, rolling metrics and risk attribution. Strategies can be tested, compared and refined at scale, enabling a continuous and systematic research process.

Our Approach

Factor-Based

Systematic exposure to established risk premia such as value, momentum, quality and low volatility, capturing persistent drivers of returns through transparent, rules-based frameworks.

Thematic and Signal-Based

Targeted exposure to long-term trends including AI, clean energy and digital assets, structured to reflect evolving market themes within clearly defined strategy frameworks.

Sector and Industry

Focused strategies across sectors and industries, enabling precise and structured allocation to specific segments of the equity market.

Alternative Strategies

Advanced approaches including long-short strategies, AI-assisted systematic models, and other non-traditional strategy constructions — all rules-based, expanding beyond traditional long-only exposure.

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