2Q 2023 Fundametrics® Int’l Small Cap Commentary

Fundametrics® International Small Cap Equity

2Q 2023 Performance Summary and Observations

• The Fundametrics International Small Cap Equity strategy returned 0.73% for the quarter, off slightly from the FTSE Developed ex-US Small Cap Index return of 0.78%. The longer-term track record has been successful with annualized alpha of nearly 400 bps since inception.
• Central banks’ decisions are driving disparities among regional growth rates and their currencies.
• After a decade of underperformance, investors are likely underweight international markets, particularly small caps. This market is inefficient and trades at attractive valuation multiples, presenting potential opportunities for skilled active managers.
• Low valuation stocks maintained strong performance while investors showed preference for stocks deemed to have lower levels of risk.
• Alpha Composite model results were strong for the quarter. The Buys beat Sell-rated stocks by 170 bps. The Financial Warnings overlay also contributed, screening stocks with excess risks.

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