U.S. Small Cap Equity
Objective

The U.S. Small Cap Equity Strategy seeks to outperform the Russell 2000 Index over a market cycle, while reducing overall volatility.

Investment Strategy
Team
Portfolio Guidelines
Characteristics As Of March 31, 2023
Sector Weights
CharacteristicsStrategyS&P 600 Low VolatilityRussell 2000
Strategy Assets ($ Million)75.61--
Number of Holdings981181921
Beta*0.520.741.00
Standard Deviation* (%)0.140.190.23
Market Cap. ($ Billion)2.721.532.61
Price to Trailing Earnings17.0516.6617.54
Price to Cash Flow11.5112.0212.56
Price to Book2.671.552.34
Enterprise Value to Sales1.842.992.67
Debt as % of Assets23.7713.5626.55
Return on Equity (%)16.3310.6810.07
* Beta & Standard Deviation 36 months
Top 10 HoldingsTickerWeight
PRESTIGE CONSUMER HEALTHCAREPBH2.71%
SPROUTS FARMERS MARKET INCSFM2.70%
SILGAN HOLDINGS INCSLGN2.61%
LANDSTAR SYSTEM INCLSTR2.58%
WERNER ENTERPRISES INCWERN2.47%
AMERICAN STATES WATER COAWR2.37%
EXLSERVICE HOLDINGS INCEXLS2.29%
US DOLLARUSD2.11%
COLLEGIUM PHARMACEUTICAL INCCOLL2.04%
OSI SYSTEMS INCOSIS1.96%
Fund holdings and sector allocations are subject to change at any time and should not be considered a recommendation to buy or sell any security.
Risk Statistics
Since Inception (February 01, 2014) Risk Statistics Strategy S&P 600 Low Volatility Russell 2000
Annualized Return 7.47% 8.76% 6.62%
Annualized Standard Deviation 15.50% 17.43% 19.88%
Return/Risk 0.48 0.50 0.33
Tracking Error 9.40% 9.00% -
R-Squared 78.83% 61.94% -
Alpha 2.63% 1.34% -
Beta 0.69 0.78 -

Compliance Statement

Performance numbers for the most recent period are preliminary and subject to change. Returns for periods of less than one year are not annualized. Past performance is not a reliable indicator of future performance and should not be relied upon to make investment decisions. Investing involves risks including the possible loss of principal and fluctuation in value. Performance includes the reinvestment of dividends and other earnings.

Performance figures are presented net of fees or both gross and net. In some instances, fees deducted are actual, in other instances, fees deducted are the highest charged in the composite/portfolio. Actual fees may vary depending on, among other things, the applicable fees schedule and portfolio size. SGI fees are available upon request and may also be found in Part 2A of its Form ADV.

Composite returns are calculated from account-level returns based on account membership in the composite during the daily holding period and applying a beginning asset-weighted methodology to each account. Performance includes the reinvestment of dividends and other earning. Investing involves risks including the possible loss of principal and fluctuation in value. The volatility of the indices may be materially different from the individual performance attained by a specific investor. In addition, SGI’s holdings may differ significantly from the securities that comprise the indices. The indices have not been selected to represent an appropriate benchmark to compare an investor’s performance, but rather are disclosed to allow for comparison of the investor’s performance to that of certain well-known and widely recognized indices. You cannot invest directly in an index.

For a GIPS-compliant composite presentation, see this Fact Sheet:

Total Returns As Of March 31, 2023

Past performance does not guarantee future results.
*Inception Date: February 01, 2014

Small Cap Strategy Excess Returns Vs. Russel 2000 Index (Monthly)

Past performance does not guarantee future results. Performance for rolling periods other than monthly are different and are available upon request. The monthly rolling periods are calculated based on the strategy return minus the benchmark return. Outperformance is not indicative of positive absolute performance. Rolling periods calculated monthly since inception.

Calendar Year Returns
20222021202020192018201720162015
Strategy Gross of Fees-10.89%19.05%-10.46%22.29%-8.80%10.00%32.12%2.61%
Strategy Net of Fees-11.53%18.16%-11.22%21.37%-9.44%9.35%31.71%2.61%
S&P 600 Low Volatility-11.50%29.84%-17.21%22.76%-5.13%8.92%31.72%3.00%
Excess Return0.60%-10.79%6.75%-0.47%-3.67%1.08%0.40%-0.39%

Strategy Gross of Fees-10.89%19.05%-10.46%22.29%-8.80%10.00%32.12%2.61%
Strategy Net of Fees-11.53%18.16%-11.22%21.37%-9.44%9.35%31.71%2.61%
Russell 2000-20.46%14.78%19.93%25.49%-11.03%14.63%21.28%-4.41%
Excess Returns9.57%4.27%-30.39%-3.19%2.23%-4.63%10.84%7.03%

Past performance does not guarantee future results.

Compliance Statement

Performance numbers for the most recent period are preliminary and subject to change. Returns for periods of less than one year are not annualized. Past performance is not a reliable indicator of future performance and should not be relied upon to make investment decisions. Investing involves risks including the possible loss of principal and fluctuation in value. Performance includes the reinvestment of dividends and other earnings.

Performance figures are presented net of fees or both gross and net. In some instances, fees deducted are actual, in other instances, fees deducted are the highest charged in the composite/portfolio. Actual fees may vary depending on, among other things, the applicable fees schedule and portfolio size. SGI fees are available upon request and may also be found in Part 2A of its Form ADV.

Composite returns are calculated from account-level returns based on account membership in the composite during the daily holding period and applying a beginning asset-weighted methodology to each account. Performance includes the reinvestment of dividends and other earning. Investing involves risks including the possible loss of principal and fluctuation in value. The volatility of the indices may be materially different from the individual performance attained by a specific investor. In addition, SGI’s holdings may differ significantly from the securities that comprise the indices. The indices have not been selected to represent an appropriate benchmark to compare an investor’s performance, but rather are disclosed to allow for comparison of the investor’s performance to that of certain well-known and widely recognized indices. You cannot invest directly in an index.

For a GIPS-compliant composite presentation, see this Fact Sheet:

Fact Sheets
U.S. Small Cap Equity 2023 Q1
Commentary
Quarterly Market Commentary
Legal Disclosures Contact © 2023 Summit Global Investments LLC