Fundametrics® Small Cap Equity 3Q17 Performance Summary and Observations

Fundametrics Stock Chart

Performance Chart

  • The Fundametrics® Small Cap Value strategy returned 6.39% for the quarter ending September 30th, 2017 outperforming the Russell 2000 Value’s 5.11%.
  • The mainstays of our research process improved this quarter: 1) The Alpha Composite got out of the red and generated 33 bps of outperformance vs. the equal weighted universe, driven by the strength of diversifying growth and momentum factors, and 2) The Financial Warnings Overlay effectively removed stocks with higher risk profiles, generating a strong 499 basis point positive spread between the “pass” and “fails”.  Investors started to pay attention to “risky” growth this quarter.
  • Factor leadership continued to be Growth and Momentum-oriented, but also included High Beta.  All Value factors produced negative spreads, making this quarter and year-to-date a challenging environment for value investors. The best value profile continues to be a detriment to performance.
  • In terms of factor leadership, while Value has been out of favor for most of the current year, we observed positive spreads across all Value factors for the month of September.  We saw a similar trend at the end of last quarter, but it did not persist. Maybe this time the shift will be sustainable?
  • After being out of favor for much of 2017, small-cap popularity improved in September on renewed optimism for corporate tax cuts.  This will likely have minimal impact to our overall analysis and ranking system, as we neutralize tax accounting and speculation by using a static tax rate or pre-tax profitability in our investment process. 

For the full report, please contact Derek Tubbs, VP of Institutional Development and Associate Portfolio Manager, at or 404-968-2619.

Past performance is no guarantee of future results, and all investments are subject to risk of loss

View Disclosures


CornerCap Email Updates

Sign up to receive CornerCap Investment Counsel updates.

Market Insights Archive

Fundametrics® Research Process

Small-Cap Insights