Quality & Growth
Disciplined Repeatable Process
Broad Diversification
The Alpha Blue Capital US Small-Mid Cap Dynamic ETF (the “Fund”) seeks to achieve long-term capital appreciation.
ABCS is a Dynamic Active Equity ETF that invests in a multi-factor portfolio of Small & Mid Cap individual stocks with attractive Valuation, sound Fundamentals, Quality & positive business Momentum (V•F•Q•M) characteristics with the flexibility to integrate Vanguard Morningstar Small & Mid Cap passive equity Index ETFs focusing on the less efficient, bottom 30% of stocks by market weight of the US stock market.
ABCS’s portfolio of Small & Mid Cap Individual stocks represents 50%-100% portfolio weighting of the total 50-150 holdings and Small & Mid Cap passive equity index ETFs range from 0%-50% weighting with 0-6 holdings. At launch, ABCS held 100 stocks and 4 Vanguard Morningstar Small & Mid Cap passive equity Index ETFs representing approximately a 65% and 35% weighting in the portfolio, respectively.
The investment objective of ABCS is long term capital appreciation with targeted annualized alpha1& investment performance of 1%-3% in excess of broad Small and/or Mid Cap Index ETF returns over a full market cycle with the potential opportunity to outperform the Larger Cap broader US market’s returns. A summary of key overall Portfolio targets and guidelines are as follows:
Level 1 – Valuation: Traditional Valuation Measures, Enterprise Value2 Valuation Measures, Peer & Market Comparisons, Intrinsic Valuation | Margin of Safety & Other Value-Focused Measures taking into account Growth & Profitability Attributes.
Level 2 -Fundamentals & Quality | Wide-Narrow Moat: Strategy & Competitive Position, Profitability, Growth, Intangibles, Financial & Balance Sheet Strength, ESG and other Fundamental Analysis considerations to evaluate overall Quality | Assess long to short term prospects for sustained competitive advantage.
Level 3 – Business Momentum & Catalysts| Momentum : Business Improvement through increased revenue, earnings & other measures of improving operating performance while meeting or exceeding expectations. And/or positive stock specific Catalysts that may lead to Business & Price Momentum and outperformance versus the market. Consider potential Price Momentum Velocity probabilities along with % upside to Target Price.
Level 4 – Target Price | Risk & Conviction | Weighting in Benchmark: Determine Target Price: Base Case % Upside and estimate Best & Bear Case Targets. Assess stock specific weight within the Benchmark and consider the position size degree of overweight or underweight active share based on given specific risks & conviction probabilities.
Step 1: Internal & External Investment Universe Screening on Value, Fundamentals, Quality, Momentum Factors (V•F•Q•M) & Other Criteria
Step 2: Fundamental Analysis & Investment Research (Internal & External) through the “4-Levels” Framework.
Step 3: Define Target Price | Intrinsic Value with Sell Discipline related to success in achieving Target Price or weakening or reversal of any of the “4-Levels” resulting in a Hold|Trim|Sell Decision.
Step 4: Individual Stock Position Sizing & Portfolio Construction based on % Upside to Target Price, Valuation, Quality & Growth, Momentum, Risk Assessment, Conviction, Active Share and Liquidity resulting in ongoing Buy|Add|Hold|Trim|Sell Decisions.
Step 5: Portfolio Monitoring & Management of Individual Securities & Maintain Favorable Total Portfolio Characteristics.
Step 6: Disciplined Risk Management through the “4-Levels” of Stock Selection, Assessment of Stock Specific Risks, Diversification Guidelines, Individual Stock Position Sizing and Sell Discipline.
ABCS-Alpha Blue Capital US Small-Mid Cap Dynamic ETF Strategy benefits from the efficient ETF Structure – Intraday secondary market trading, creation/redemption process and related tax efficiencies. As well as Low Expense Ratio, Value-Focused & Centered Strategy, Disciplined Investment Process & Risk Management, Dynamic Strategic & Tactical Security Selection of Stocks & Passive Equity Index ETFs for Style (Blend, Value, Growth) and Size (Small Cap & Mid Cap).
We believe ABCS is ideal for taxable and tax-exempt individual investor accounts and ultimately for Family Offices and Institutional Investors as AUM grows that would benefit from greater exposure to the bottom 30% of the US Market by market weight from a diversification and enhanced investment return opportunity. Some Investment applications of ABCS-Alpha Blue Capital US Small-Mid Cap Dynamic ETF are as follows:
The Sponsor of ABCS is an Alpha Blue Family Office entity that is funding the initial Capital of the ETF. The Advisor of the ETF, ETF Architect, has engaged Lead Market Makers & Authorized Participants to provide liquidity for investment in the ETF. 10,000 share blocks are most efficient for creating new shares or redeeming existing shares. Individual Brokerage accounts and non-Investment Fund Family Office & Institutions have no maximum limit on the % ownership of the shares outstanding. Investment Funds are limited to 3% ownership of shares outstanding. Given the Creation/Redemption capabilities and ABCS’s strategy, investment amounts from 10,000 shares or approximately $250K to $10 million can prudently be transacted.
Key to ABCS’s Investment Process efficiency is the Internal & External Investment Universe Screening from multiple sources on Value, Fundamentals, Quality, Momentum (V•F•Q•M) as well as company comparisons within industry screening & other sources. Idea generation also comes from a network of Portfolio Managers, Hedge Fund Managers & Research Analysts within the Investment Management Industry including firms focused on independent fundamental research, the sell side and the buy side. As part of ABCS’s Investment Process, Internal research and validation of procured outside research is the most important part of the Process, resulting in an approach that consistently has both favorable portfolio characteristics (V•F•Q•M) and a high probability for success. Relying on experienced & skilled judgement while seeking an analytical edge rather than emphasizing significant effort to gain an informational edge. Company filings of 10K’s, annual reports, 10Q’s, Websites with Investor presentations, Earnings Releases & Conference Calls as well as direct contact with management, when necessary are the most important sources of information.
The Investment Management industry standard Bloomberg Professional Services is a very important tool to the Investment Process for information, analysis, monitoring and managing the portfolio. Morningstar Direct also has an important portfolio management, analysis & attribution role. Bloomberg US 2500 & US 500 Benchmark/Indexes are provided and licensed from Bloomberg Index Services Limited. They provide an excellent quality, single source for all investment market benchmarks and are highly comparable to those provided by Russell and Standard & Poor’s, respectively.
All Buy|Add|Hold|Trim|Sell decisions, Target Prices and Weightings in the Portfolio are based on the independent analysis & judgment of the focused 1–3-person Portfolio Manager / Analyst Team through the disciplined repeatable process with 30+ year origins that has a high probability of attractive portfolio characteristics and consistent investment performance.
Vanguard Group, headquartered in Malvern, Pennsylvania was founded in 1975 and is owned by its fund holder clients with 11.0+ trillion in AUM as of December 31, 2025. Vanguard offers 267 Mutual Funds and 103 ETFs of which 41 ETFs are US Equity Index ETFs including the 6 primary Vanguard Morningstar Small Cap and Mid Cap equity index ETFs that are part of ABCS’s Investment Strategy.
2026 – Morningstar acquired CRSP (Center for Research in Stock Prices) and the CRSP Indexes and ETFs have been renamed to Morningstar Market Indexes.
2013 – Vanguard changed the Index Provider to their Small, Mid, Large & Total US Market ETFs to the CRSP Equity Indexes.
CRSP – Center for Research in Stock Prices founded in 1960 was an affiliate of the University of Chicago’s Booth School of Business that provided CRSP Market Indexes and has now been integrated into Morningstar’s broader Indexing operations.
Morningstar, Inc headquartered in Chicago, Illinois was founded in 1984 and became a publicly traded company in 2005. The company provides an array of investment research and investment management services.
The now Morningstar US Market Index methodology is considered to be strong among other prominent index providers by sophisticated investors, academics, and others. Vanguard adopting these indexes in 2013 along with low expense ratios has brought growth in AUM and trading volume to these ETFs. The 6 Vanguard Morningstar Small Cap & Mid Cap Equity Index ETFs (VB, VBR, VBK, VO, VOE, VOT) are ideal for ABCS’s Strategy covering the bottom 30% of the US market with nearly no overlap between Small & Mid. The Small Cap Morningstar Equity Index covers the 98th to 85th percentile and the Mid Cap Morningstar Equity Index covers the 85th to 70th percentile of the total US market by market cap weighting.
The Vanguard Morningstar Small Cap & Mid Cap Equity Index ETF tickers, # of stocks, fees, and AUM are provided below:
| # of Stocks | Fees | AUM ($Billion) | |
| Small Cap ETFs | |||
| VB (Blend) | 1311 | .05% | 188.2 |
| VBR (Value) | 840 | .07% | 67.8 |
| VBK (Growth) | 544 | .07% | 47.0 |
| Mid Cap ETFs | |||
| VO (Blend) | 282 | .04% | 224.0 |
| VOE (Value) | 170 | .07% | 37.2 |
| VOT (Growth) | 122 | .07% | 34.8 |
As of 06/30/2026
ABCS-Alpha Blue Capital US Small-Mid Cap Dynamic ETF allows for a Dynamic 0-50% portfolio weighting in the 6 Vanguard Morningstar Small Cap & Mid Cap equity index ETFs. At the launch of ABCS, the weighting of the ETFs in the portfolio was 35% in 4 of the ETFs as follows: VO: 10%, VOE: 10%, VBR: 10%, VB: 5%. The weighted annual cost to implement this Dynamic Vanguard ETF strategy for ABCS ETF shareholders is 0.02%. Depending on the weighting and the ETFs, the cost can fluctuate from 0.0% to 0.05% with investment performance for ABCS net of these costs and net of the current annual ETF fee of 0.40%.
The evolution of ABCS was a result of 4 separate but related paths over time:
The more complete timeline culminating in ABCS-Alpha Blue Capital US Small-Mid Cap Dynamic ETF being launched in 2023 is as follows:
1960 – Center for Research in Security Prices (CRSP) established by University of Chicago Professors through a grant funded by Merrill Lynch.
1975-1976 – Vanguard founded & launched the first S&P 500 Index Mutual Fund.
1980’s-1995 – Dynamic Equity Fund (DEF) developed for Institutional Investors at The Boston Company Asset Management. As well as an affiliated Equity Hedge Fund with bottom-up security selection: Value, Fundamentals, Momentum (V,F,M).
1992 – Fama French’s 3-Factor Model research work published (University of Chicago) – The Small Cap Factor and Value Factor added to the Market Risk Factor outperforms the Market.
1992 – Vanguard launched Total US Market Mutual Fund – 2013 transitioned to CRSP Index4.
1993 – First ever ETF launched (by State Street Global Advisors) S&P 500 Index ETF – SPY.
1995-2022 – Premium Equity, Small & Small-Mid Value Strategies for Institutions at Boston Partners upon Founding.
1998-2022 – Small-Micro Cap Value Mutual Fund (Investor/Institutional Share Classes) launched at Boston Partners.
2000 – iShares launched S&P 500 Index ETF – IVV.
2000-2001 – iShares launched Russell 2000 (IWM), Russell Mid (IWR), Russell 1000 (IWB) ETFs.
2001 – Vanguard launched Total US Market ETF – VTI – 2013 transitioned to CRSP Index.
2004 – iShares launched S&P Total US Market Index ETF – ITOT.
2010 – Vanguard launched S&P 500 Index ETF – VOO
2010-2022 Alpha Blue Capital L.P. | Alpha Blue Alternative Equity Hedge Fund founded while at Boston Partners: Bottom-up Security Selection – Value, Fundamentals, Quality & Momentum (V,F,Q,M).
2010 – Center for Research in Security Prices (CRSP), an affiliate of the University of Chicago’s Booth School of Business launches newly developed CRSP Equity Indexes – including Value & Growth Indexes.
2012 -2013 – Vanguard Small Cap ETFs (VB, VBR, VBK) & Mid Cap ETFs (VO, VOE, VOT) transitioned to CRSP Equity Index ETFs.
2014 – ETF Architect launches its first ETF on its EA Series Trust ETF platform.
2015 – Fama French 3-Factor research work in 1992 extended to a 5-Factor Model adding Quality Factors. Others followed that the Momentum Factor be considered as well.
2021 – Alpha Blue Alternative Equity Strategy begins investing in Vanguard CRSP Equity Index ETFs.
2022 – Alpha Blue Capital L.P. | Alpha Blue Alternative Equity Strategy spun out to Alpha Blue, LLC.
2023 – ABCS-Alpha Blue Capital US Small-Mid Cap Dynamic ETF launched by Alpha Blue, LLC. Bottom-up security selection: Value, Fundamentals, Quality, Momentum (V,F,Q,M) with the flexibility to integrate Vanguard Small & Mid Cap CRSP Equity Index ETFs.
2026 – Morningstar acquires Center for Research in Security Prices (CRSP) and changes the name of the Indexes to Morningstar Market Indexes. The Vanguard CRSP Equity Index ETFs become Vanguard Morningstar Equity Index ETFs.
The Alpha Blue Family Office entities are led by David M. Dabora, CFA. He has over 35 years of investment experience and is the Managing Partner, Chief Investment Officer, Portfolio Manager and Founder of Alpha Blue, LLC | Alpha Blue Capital L.P. | Alpha Blue Capital Management LP providing Fundamental Research and Value-Focused Investment Management since inception in 2010. Located in the San Francisco Bay Area city of Greenbrae in Marin County, California. He is the Chief Investment Officer, Portfolio Manager & Architect of the ABCS-Alpha Blue Capital Small-Mid Cap Dynamic ETF Strategy, and the Alpha Blue Alternative Equity Strategy.
He was a Founding Partner of Boston Partners Asset Management LP in 1995. In September, 2022 he retired as Senior Portfolio Manager|Managing Director from what is now a different wholly owned company by Orix of Japan. After leading & growing 3 different small|small-mid cap strategies & the Alpha Blue Alternative Equity strategy to $6+ billion AUM with strong investment performance over 27+ years.
He was the Senior Portfolio Manager and architect of the Small Cap Value II Mutual Fund since inception in 1998.
He also served on the Executive Committee from 2012 until leaving the firm in 2022 to focus on the management of Alpha Blue, LLC | Alpha Blue Capital L.P. and to launch and fund both Alpha Blue Capital Management LP & Alpha Blue Capital US Small-Mid Cap Dynamic ETF – ABCS.
Mr Dabora holds the Chartered Financial Analyst (CFA) designation since 1996, is a graduate of UCLA Anderson School of Management – MBA, Finance 1992 and Penn State University – BS, Business Administration 1986. He also holds the FINRA Series 65, Investment Advisor Representative (IAR) license since 1995.
Joshua B. Dabora is a Partner & Portfolio Manager of Alpha Blue, LLC | Alpha Blue Capital L.P. | Alpha Blue Capital Management LP. Mr. Dabora is a MS, Finance Candidate at Georgetown University McDonough School of Business 2028, a graduate of Santa Clara University Leavy School of Business – MS, Marketing 2024 and Santa Clara University – BA, Communication 2023. He also holds the FINRA Series 65, Investment Adviser Representative (IAR) license since 2025.
Alpha Blue Capital has access to Alpha Architect’s Quantitative Consulting with members of the Alpha Architect Team. As well as access to Alpha Architect’s interactive software database for screening on individual stocks and portfolio analysis of ETFs supporting ABCS’s 6-Step Active Equity Process and its “4-Levels” of bottom-up stock selection based on attractive Valuation, sound Fundamentals, Quality & positive business Momentum and establishing Target Prices (V•F•Q•M).
Wesley Gray (University of Chicago, PhD Finance)
Jack Vogel (Drexel University, PhD Finance)
