1Q 2024 Fundametrics® Int’l Small Cap Commentary

Fundametrics® International Small Cap Equity

1Q 2024 Performance Summary and Observations

• The Fundametrics International Small Cap Equity strategy outperformed the FTSE Developed ex-US Small Cap Index, delivering a 6.55% return for the quarter compared to the benchmark’s 2.38%. For the latest one-year return, the strategy outperformed the benchmark by 565 bps (gross).

• Interest-rate cut expectations were dampened by stronger-than-expected economic growth and inflation data, driving investors back to their old playbook of low valuation and strong price momentum.

• The Alpha Composite model delivered robust performance, showcasing a clear and pronounced stairstep pattern across its ranked stocks, from buy-rated to hold-rated and sell-rated.

• The Financial Warnings fail-rated stocks, known for their elevated risk levels, experienced notable underperformance, further highlighting the strong performance witnessed throughout the quarter.

• The Fundametrics investment process works best in inefficient markets. Now in its fifth year, the strategy’s annualized alpha is 455 bps and continues to meet the expectations of the investment team given the environment within the international small-cap market.

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