3Q 2023 Fundametrics® Int’l Small Cap Commentary

Fundametrics® International Small Cap Equity

3Q 2023 Performance Summary and Observations

• The Fundametrics International Small Cap Equity strategy outperformed the FTSE Developed ex-US Small Cap Index, delivering a -2.87% return for the quarter compared to the benchmark’s -3.85%.

• Higher interest rates and oil prices impacted investors’ appetite for risk across the globe, driving markets down for the quarter.

• Low-value stocks continued to perform well as investors discounted growth amid higher interest rates and favored stocks with lower levels of risk.

• The Alpha Composite model demonstrated strong performance for the quarter, with the Buy-rated stocks outperforming Sell-rated stocks by 430 bps. Additionally, the Financial Warnings overlay also contributed by identifying stocks with elevated risks.

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