Fundametrics® International Small Cap Equity

4Q 2023 Performance Summary and Observations

  • The Fundametrics International Small Cap Equity strategy performed in line with the FTSE Developed ex-US Small Cap Index, delivering a 11.11% return for the quarter compared to the benchmark’s 11.07%. For the 2023 year, the strategy outperformed the benchmark by 196 bps (gross).
  • Lower rate expectations sparked a market rally in the fourth quarter, driving investors to seek risk in areas that had not performed as well in the previous increasing-rate environment such as stocks with long-term forecasted growth or trading at high valuations.

  • The Alpha Composite model produced mixed results for the quarter with the hold-rated stocks outperforming both buys and sell. The risk-taking environment was evident in the Financial Warnings overlay as the fail-rated stocks—those typically carrying excess risk—outperformed.
  • The Fundametrics investment process works best in inefficient markets. At its 4-year anniversary, the strategy’s annualized alpha is 375 bps and continues to meet the expectations of the investment team given the environment within the international small-cap market.

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