Fundametrics® Large Cap Equity
1Q 2024 Performance Summary and Observations
- The Fundametrics Large Cap Equity strategy finished the quarter up 8.64% (gross), which was 35 bps below the Russell 1000 Value Index.
- At quarter end, the 10-year real yields rose by 25 bps to 2%. Historically, this trend tends to favor value stocks over growth stocks, as the higher discount rate penalizes the higher anticipated cash flows of the future. Enthusiasm for Artificial Intelligence (AI) has postponed this trend, but we do believe it will come back into focus.
- The momentum factor played a significant role in first quarter returns. Strong price momentum was an investor favorite, where winners kept winning. Just as important was avoiding bad price momentum. The return spread between high and low momentum was 1070 bps.
- The valuation spread for Large Cap Value stocks vs. the Top 100 largest companies by market cap remains wide and continues to be at levels 2 standard deviations from the historical average.
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