Fundametrics® International Small Cap Equity

3Q 2022 Performance Summary and Observations

  • The Fundametrics International Small Cap Equity strategy returned -11.85% for the quarter, trailing the FTSE Developed ex-US Small Cap Index return of -10.16%.
  • Global equity markets have experienced significant downturns this year, but, for the unhedged US investor, international returns have been particularly impacted by the US dollar hitting multi-decade highs relative to some currencies.
  • With recession risks increasing, an unusual factor profile led for the quarter. Investors focused on high beta, strong price momentum, and growth attributes, highlighting the current factor profile of Energy stocks.
  • Alpha Composite results were favorable this period. Buys (-7.17%) beat Sell-rated stocks (-10.07%). The Financial Warnings overlay also helped the portfolio, particularly during September when markets saw their biggest declines. Buy candidates that passed all screens or Safe (-7.5%) beat Fail-rated (-8.3%) stocks.
  • International small-cap stocks’ valuation multiples suggest that investors have high expectations of a recession as they trade at extremely attractive multiples compared to their history.

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