Fundametrics® Large Cap Equity

4Q 2023 Performance Summary and Observations

  • The Fundametrics Large Cap strategy finished the quarter and the year with attractive relative returns, beating the Russell 1000 Value Index by 186 bps for the latest quarter and 296 bps for the year.
  • The 10-year treasury yield started the quarter at a 15-year high. Lower inflation statistics in November helped fuel the yield reversal and subsequent rally in stocks. The party continued in December after the FED communicated a change to looser monetary policy along with expectations of three rate cuts in 2024.
  • The Fundametrics factor leaderboard was heavily influenced for the year and quarter by artificial intelligence going mainstream. This was evident from the outperformance of long duration growth, high valuation and R&D valuation factors, while dividend yield and low valuation detracted value.
  • The valuation spread for Large Cap Value stocks vs. the Top 100 biggest companies remains wide.

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