U.S. Small Cap Low Volatility
Overview

The U.S. Small Cap Low Volatility Equity Strategy seeks to outperform the Russell 2000® over a market cycle while reducing overall volatility. The Strategy normally invests at least 80% of its net assets in equity securities, primarily common stocks, of companies within the Russell 2000 Index®. Its investments will generally consist of securities, which may include common stocks, preferred stocks, warrants to acquire common stock, and securities convertible into common stock. The Strategy attempts to lower market risk by investing in U.S. equity securities that lower the overall volatility of the Strategy's portfolio as compared to the Russell 2000 Index®.

Philosophy & Process

SGI’s philosophical conviction is that risk management must take primacy in the investment process. Through our approach, we manage portfolios to provide positive excess returns over a full market cycle versus the benchmark, while providing clients less volatile return streams, a participative up-side market capture, and more capital protection during market downturns.

The strategy will dynamically target volatility below current benchmark forecasted risk rather than a static target. The investment team believes this risk level is critical given that forecasted volatility has varied from around 50% to less than 10% over the last 10 years.

SGI’s investment process utilizes both quantitative analysis with a fundamental overlay. The quantitative analysis utilizes a proprietary multi-factor model to identify individual stock alphas with a focus on downside protection in the optimization process.

We then overlay a fundamental analysis on the attractive companies from our quantitative analysis. This allows us to identify and assess any idiosyncratic company risks that may not typically be identified by a quantitative model. This includes items such as unexpected management changes, aggressive accounting, litigation risk, etc.

Investment Team
David Harden
Chief Executive Officer / Chief Investment Officer
Aash Shah, CFA
Senior Portfolio Manager
Matt Hanna, CFA, FRM, CAIA
Portfolio Manager
Gautam Baid, CFA
Portfolio Manager
Richard Thawley II
Portfolio Manager
David Harden
Chief Executive Officer / Chief Investment Officer
Aash Shah, CFA
Senior Portfolio Manager
Matt Hanna, CFA, FRM, CAIA
Portfolio Manager
Gautam Baid, CFA
Portfolio Manager
Richard Thawley II
Portfolio Manager
David Harden
Chief Executive Officer / Chief Investment Officer
Aash Shah, CFA
Senior Portfolio Manager
Matt Hanna, CFA, FRM, CAIA
Portfolio Manager
Gautam Baid, CFA
Portfolio Manager
Richard Thawley II
Portfolio Manager
GIPS Performance
Q1 2019 YTD One Year Three Year From Inception From Inception
Q1 2019 YTD 1 Year Three Year From Inception From Inception
SCLV 11.37% 11.37% 2.54% 11.59% 11.21% 12.48%
Russell 2000 14.57% 14.57% 2.01% 12.90% 7.04% 7.62%
Excess Return -3.20% -3.20% 0.52% -1.31% 4.17% 4.87%
Net Performance 11.17% 11.17% 1.80% 10.92% 10.81% 12.10%
As of 3/31/2019. Performance is annualized for periods greater than one year.
Year Composite Gross Return (%) Benchmark
Return (%) 3 Yr. St. Dev. 
Composite (%) 3 Yr. St. Dev. 
Benchmark (%) Number of 
Portfolios Internal Dispersion Composite Assets ($Mln) Firm Assets ($Mln)
2014* 21.24 7.88 N/A N/A ≤ 5 N/A 0.005 222.7
2015 2.61 -4.42 N/A N/A ≤ 5 N/A 0.005 332.3
2016 32.28 21.31 N/A N/A ≤ 5 N/A 46.9 296.9
2017 10.00 14.64 9.44 14.10 ≤ 5 N/A 56.8 337.6
2018 -8.80 -11.03 13.33 15.79 ≤ 5 N/A 63.3 665.2
2019** 11.37 14.57 14.19 15.89 ≤ 5 N/A 71.5 731.6
*2/1/2014 inception through 12/31/2014 ** 1/1/2019 through 3/31/2019

Compliance Statement

Summit Global Investments, LLC claims compliance with Global Investment Performance Standards (GIPS®) and has prepared and presented this report in compliance with the GIPS standards. Summit Global Investments, LLC has been independently verified for the period 1/1/2011 through 9/30/2015. The verification report is available upon request. Verification assesses whether (1) the firm has complied with all the composite construction requirements of the GIPS standards on a firm-wide basis; and (2) the firm’s policies and procedures are designed to calculate and present performance in compliance with the GIPS standards. Verification does not ensure the accuracy of any specific composite presentation.

Definition of the Firm

Summit Global Investments, LLC is an SEC registered independent investment adviser. The Firm was founded in 2010, and specializes in providing U.S. Large cap, U.S. Small cap, Global and International low volatility equity and low volatility retirement investment strategies to institutional investors and investment advisors. The Firm first adopted the GIPS Standards in 2015 covering all periods of performance beginning January 1, 2011. As of September 30, 2016, the firm was redefined to exclude the wrap division.

Policies

Summit Global Investments, LLC policies for valuing portfolios, calculating performance and preparing compliant presentations is available upon request.

Significant Cash Flow Policy

Summit Global Investments significant cash flow policy is applied within the firm to existing accounts which increase or decrease their assets within a composite that equals more than 50% of the existing total assets within the account. The new assets will be withheld from the composite until the beginning of the next month and then added to the composite. During the month in which the significant cash flow occurs, the existing account will be removed from the composite for that month. The existing account and the new assets will then be included back into the composite at the start of the next month.

Composite Description

The U.S. Large Cap Low Volatility Equity composite includes accounts that invest in individual U.S. equities with the goal of outperforming the S&P 500 over a full market cycle, while minimizing risk compared to the S&P 500. Equities are selected through a proprietary multi-factor approach, focused on the risk/return relationship of the equities, correlation and low volatility characteristics. The composite tends to hold between 80 - 120 individual equities.

Minimum Account Size

The account minimum for inclusion in the composite is $500,000 USD.

Benchmark

The benchmark is the Russell 2000® Index. The Russell 2000® Index consists of the smallest 2,000 companies in a group of 3,000 U.S. companies in the Russell 3000® Index, as ranked by market capitalization.

Currency

Valuations are computed and performance is reported in U.S. Dollars.

Fees

The composite Gross Returns are presented before management and custodial fees but include any brokerage or trading expenses. Benchmark returns are presented net of non-reclaimable withholding taxes. The management fee schedule is as follows: 1.00% on the first $5 Million; 0.75% on the next $20 Million; 0.70% thereafter.

List of Composites

This composite was created in October 2015. A complete list of composite descriptions is available upon request.

Internal Dispersion

Internal Dispersion is calculated using the asset-weighted composite dispersion, using the annual gross-of-fees returns of those portfolios that were included in the composite for the entire year. For years where five or less portfolios were included in the composite for the full year, no dispersion measure is presented.

Standard Deviation

The three-year annualized standard deviation measures the variability of the composite and the benchmark return over the preceding 36-month period. This measurement is not shown for the initial 36 months of the composites returns.

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