Fundametrics® Large Cap Equity

2Q 2023 Performance Summary and Observations

  • The Fundametrics Large Cap Equity strategy finished the quarter slightly below the Russell 1000 Value Index.
  • The Fed appears to be in the final innings of raising rates, the economy continues to be resilient with strong employment and banks have stabilized for the time being. Investors saw these signals as a green light to get more aggressive, putting high beta atop the Fundametrics factor leaderboard for the quarter. High beta stocks have outperformed low beta by 1400 bps year-to-date. As of the end of the quarter, the portfolio is overweight low beta stocks relative to high beta.
  • It has been a grind in the YTD environment of high growth / high valuation / higher risk and alpha has been tough to generate for this strategy, but it is close to tracking the benchmark. The Alpha Composite sell-rated stocks outperformed the buy-rated stocks this quarter and the Financial Warnings model kept the portfolio underweight some of the best performing, higher risk names.
  • The valuation spread for Large Cap Value stocks vs. the Top 100 biggest companies is statistically significant, beyond two standard deviations. Levels last seen in the middle of 2021.

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