Fundametrics® Small Cap Equity 2Q17 Performance Summary and Observations

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  • The Fundametrics® Small Cap Value strategy returned 0.68% for the quarter ending June  30th, in line with the Russell 2000 Value’s 0.67%.
  • Factor leadership this quarter continued to be Growth-oriented, Quality (specifically, High ROE) and more Momentum-derived factors. All Value factors produced negative spreads, making this quarter and year-to-date a challenging environment for value investors. The best value profile has been a detriment to performance.
  • Despite the challenges, CornerCap’s diverse, multi-factor definition of value helped client portfolios vs. strategies focused on low price to book.  Price to Book has started to revert to the mean after being a top performer in 2016. 
  • In terms of factor leadership, while Value has been out of favor for most of the current year, we saw positive spreads across all Value factors for the month of June. Could change be afoot?

For the full report, please contact Derek Tubbs, VP of Institutional Development and Associate Portfolio Manager, at


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