Fundametrics Small Cap Equity Q Performance Summary and Observations
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- Patience Edwards
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1 For more on CornerCap s institutional capabilities and past commentaries, click HERE Fundametrics Small Cap Equity Q Performance Summary and Observations 4Q 2016 Latest 1 Year Latest 3 Years Latest 5 Years Latest 10 Years Inception to Date (8/31/06) Fundametrics Small Cap Equity Net of Fees Returns Russell 2000 Value Total Return Russell 2000 Total Return Performance is as of 12/31/2016. All time periods over 1 year are annualized. See attached disclosure for important information regarding returns. The Fundametrics Small Cap Value strategy returned 14.71% during 4Q16, outperforming the Russell 2000 Value Index by 64 bps and the Russell 2000 by 588 bps. The mainstays of our research process excelled this quarter: 1) Our Alpha Composite generated a convincing 600 bps of outperformance vs. our equal weighted universe, driven by the strength of our traditional value factors, and 2) Our Financial Warnings Risk Overlay effectively removed stocks with higher risk profiles, generating a strong 700 basis point spread between the pass and fails. While value s strength played well to our multi-factor model, we didn t outperform the Value benchmark as much as we would typically expect due to the dominance of a single factor: Price to Book. Diversification across factors and sectors was therefore not as effective as a simple strategy of being aggressively overweight banks at the industry group level or Price to Book at the factor level. Beyond our model, we note a rising expectation that corporate taxes will be lower in the new administration, benefiting earnings. This will likely have minimal impact to our overall analysis and ranking system, as we strive to neutralize tax accounting and speculation by using a static tax rate or pre-tax profitability in our analysis.
2 4Q16 Performance Analysis CornerCap s Fundametrics Small Cap Equity Composite was up a strong 14.71% and outperformed the Russell 2000 Value by 64 basis points this quarter. For the year it trailed the Russell 2000 Value Index by 147 bps, which is only the 2 nd calendar year in the last decade that the strategy has underperformed. As a result, its 100% rolling 3-year return batting average remains intact since the composite s inception in Stock selection has historically been the strength of the Fundametrics Small Cap strategy, and it accounted for all the alpha in the 4th quarter. Attribution compared to the Russell 2000 Value Index shows the strongest selections were in Industrials, Healthcare, and Financials, which were partially offset by underperforming selections in Basic Materials, Energy and Software within Technology. Allocation decisions were neutral if the -52 basis points attributed to holding a 2.28% average cash position is backed out. Despite the relative outperformance, we note that it was difficult to materially beat the composite s benchmark this quarter without making an aggressive bet in banks or on one factor (Price to Book). Banks in the index were up 29% and the next best performing sector of energy was about a 1/3 lower at 20%. Although Banks are CornerCap s largest industry group weighting in the fund at 17.5%, the index weight is 23%. This underweight caused a drag in relative performance. Positive allocation decisions came from underweights in Utilities and REITs. Alpha Composite Analysis To understand the Fundametrics Small-Cap Value strategy it is best to review the factor exposure of the Alpha Composite. Twothirds of the attributes in the Alpha Composite consist of fundamental factors in Value and Relative Value, with the balance comprised of a mix of factors across the broad styles of Growth, GARP, and Momentum. Buy rated stocks are the top 30% of the investable universe with the best fundamentals, Holds are the next 40% and Sells are stocks with the weakest fundamentals. Over extended periods of time Buys outperform the Holds and Holds outperform the Sells. Chart 1: Alpha Composite Performance Quarterly Return 18% 16% 14% 12% 10% 8% 6% 4% 2% 0% Alpha Composite 1 Qtr ending 12/30/16 Buys Holds Sells Source: CornerCap Fundametrics Research System (excl. REITs)
3 Value was the top performing style in the 4 th quarter followed closely by high dividend yield. With such a strong performance from Value the Alpha Composite was effective with Buys beating the overall equal weighted universe by 600 bps (Char 1). Other styles like Growth, Quality and Momentum did not experience the same return profile (Chart 2). The fourth quarter highlighted an environment where using diversifying styles in the alpha composite actually detracted value. Our investment team is comfortable with this. Over a market cycle Value will not always lead and the diversification of the Alpha Composite improves the consistency of excess returns, in effect giving the portfolio a better information ratio and batting average. Chart 2: Alpha by Style Source: CornerCap Fundametrics Research System (universe excludes equity REITs)
4 Financial Warnings Overlay The Financial Warnings Overlay, or Risk Composite, works in conjunction with the Alpha Composite by helping to identify and avoid stocks that have characteristics of excess risk. The Fundametrics Small Cap strategy s performance benefited this quarter from the effectiveness of the Financial Warnings Overlay. Companies that ranked well in the Alpha Composite and deemed Safe to purchase by Financial Warnings outperformed stocks that Failed by over 700 bps (Chart 3). You ll note that the Avoid group generated the worst returns. The Avoid group contains stocks that are getting close enough to the fail score that they are purposely excluded from new portfolio purchases it is essentially a buffer. We Chart 3: Financial Warnings of the Internal Benchmark Quarterly Return 20% 18% 16% 14% 12% 10% 8% 6% 4% 2% 0% Alpha Composite "Buys" w/ Financial Warning Overlay 1 Qtr ending 12/30/16 "Safe" to Purchase "Avoid & Fail" "Fail" Source: CornerCap Fundametrics Research System (excl. REITs) will not buy a stock with this warning, but we will continue to hold an existing stock at its current weight. Avoid stocks in the portfolio did detract from returns compared to our research. Corporate Tax Policy The United States has the largest corporate tax rate among developed countries and the new administration has expressed a desire to lower it. We speculate this has helped fuel some of the positive sentiment in smallcap stocks, but will small companies benefit that much more? To answer the question let s look at the median income tax rate for companies in CornerCap s small-cap investable universe compared to those in large-cap universe. Table 1: Median Corporate Tax Rates by Market Cap 2016 Tax Rate % CornerCap Small Universe 33.5% CornerCap Large Universe 29.7% Source: CornerCap Fundametrics Research System (excl. REITs) Large companies are currently paying a lower rate and stand to lose many of the deductions that allow them to have the lower rate. It is reasonable to assume Smallcap stock earnings would benefit from any overall tax rate reductions by an average of 13% more than large-cap earnings. Although this looks like a substantial positive to small
5 cap stocks, a lower rate will not likely have a direct impact to the Fundametrics Small Cap Equity portfolios. At CornerCap we prefer not to reward companies with lower tax rates and use a static tax rate or pre-tax profitability in our analysis. As a result, the models capture the ancillary benefits of a lower tax rate with any resulting business reinvestment. Relative Valuation of Small Caps With the rally in small caps, investors are often asking, are small cap valuations stretched. Within US equities, we monitor the relative attractiveness between large cap stocks and small cap stocks through our All Cap Fundametrics model. In December, we moved to a neutral weighting between the two, from an overweight to small caps (in place since February 2015). Importantly, we do not use our model for an absolute signal on valuation for small caps or large caps. It is a relative call. Current Positioning This quarter offered a good illustration of how the Fundametrics model performs in environments dominated by top-down sentiment. With expectations that the new administration may bring better growth, less regulation, and higher rates, it s not a surprise that sectors like banks and energy have surged, after a period of being beaten down. In such markets, the top-down implication is that a single factor or limited group of factors predominates (e.g., Low or High Beta, Biggest of the Small Caps, or Price to Book), which can cause our multi-factor model to lag the Russell 2000 Value Index (which is cap-weighted and defined by price to book). This quarter, we eked out a win relative to the benchmark nonetheless, primarily due to the Risk Overlay. But the larger point is that we are comfortable with our multifactor approach, which has driven superior returns over longer periods, rather than a heavy emphasis on one particular concept. Past performance is no guarantee of future results, and all investments are subject to risk of loss.
6 Disclosure Presentation December 31, 2016 Fundametrics Small-Capitalization Equity Composite Average Annual Periodic Returns 3 Month Year to Date 1-year 3-year 5-year 10-year Composite Gross 14.71% 30.27% 30.27% 11.34% 19.67% 11.08% Composite Net 14.38% 28.76% 28.76% 10.02% 18.49% 10.28% vs. Benchmarks Russell 2000 Index 8.83% 21.31% 21.31% 6.74% 14.46% 7.07% Russell 2000 Value Index 14.07% 31.74% 31.74% 8.31% 15.07% 6.26% Annual Performance Results Composite Assets Total Firm Composite Russell Russell 2000 Composite Number of Value of Assets Assets (millions) Nonfee Paying Year End Composite Gross Net 2000 Value Dispersion Portfolios (millions) 2007 (1.24%) (1.80%) (1.57%) (9.78%) N.A. 5 or fewer (35.74%) (36.13%) (33.79%) (28.92%) N.A 5 or fewer % 37.55% 27.17% 20.58% N.A 5 or fewer % 30.34% 26.85% 24.50% N.A. 5 or fewer % 1.27% (4.18%) (5.50%) N.A. 5 or fewer % 18.53% 16.35% 18.05% N.A. 5 or fewer % 47.94% 38.82% 34.52% N.A 5 or fewer % 5.70% 4.89% 4.22% N.A. 5 or fewer 78 4% (0.95%) (2.14%) (4.41%) (7.47%) N.A. 5 or fewer 100 3% % 28.76% 21.31% 31.74% N.A. 5 or fewer 123 3% 962 N.A. Information is not statistically meaningful due to an insufficient number of portfolios in the composite for the entire year. 3-Year Annualized Standard Deviation Composite Gross Russell 2000 Russell 2000 Value % 24.99% 26.05% % 20.20% 19.89% % 16.45% 15.82% % 13.12% 12.79% % 13.96% 13.46% % 15.76% 15.50% DISCLAIMERS (a) Past performance is no guarantee of future results, and all investments are subject to risk of loss. (b) Please read the notes and disclosures that follow as they are an integral part of this presentation. A complete list and descriptions of composites is available. Copyright 2017 CornerCap Investment Counsel Visit our website for more information Peachtree Street, Suite 1700 Atlanta, Georgia
7 Notes to Equity Performance Presentations (1) THE FIRM For the purpose of complying with the Global Investment Performance Standards (GIPS ), the Firm is defined as CornerCap Investment Counsel, Inc. ( CornerCap ), an independent investment advisor registered under the Investment Advisers Act of 1940, specializing in equity for mutual funds, separate clients, wrap accounts, and institutional clients. (2) GIPS PERFORMANCE STANDARDS CornerCap claims compliance with the Global Investment Performance Standards (GIPS ) and has prepared and presented this report in compliance with the GIPS standards. CornerCap has been independently verified for the periods January 1, 2002 through December 31, The verification report(s) is/are 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. Policies for valuing portfolios, calculating performance, and preparing compliant presentations are available upon request. A list of composite descriptions is available upon request. (3) BASIS OF COMPOSITE PRESENTATION CornerCap includes all fee-paying, discretionary equity portfolios with a market value greater than $100,000 in its composite performance calculations. Accounts no longer under are included in the historical composites for the periods they were under and are excluded in the month of termination. The annual composite dispersion presented is an asset-weighted standard deviation calculated for the accounts in the composite the entire year. (4) SIGNIFICANT ACCOUNTING POLICIES Performance calculations have been prepared on a monthly basis for each portfolio. The monthly returns are linked and asset weighted to calculate annual composite total returns. (5) FUNDAMETRICS SMALL-CAPITALIZATION EQUITY COMPOSITE The Fundametrics Small-Capitalization Equity Composite was created August 31, 2006, and contains fully discretionary accounts (excluding WRAP accounts) that invest primarily in small-cap equity securities, following a buy and sell philosophy driven by a strict adherence to the advisor's quantitative research. For comparison purposes it is measured against the Russell 2000 and the Russell 2000 Value indices. (6) MANAGEMENT FEES Gross performance results for the Fundametrics Small-Capitalization Equity Composite have been calculated before fees. Net performance results have been calculated using actual fees. Standard Private Accounts 1.00% on the first $3,000,000 of assets under 0.75% on the next $7,000,000 of assets under 0.50% on the balance over $10,000,000 of assets under (Non-Profit Fee Schedule: 0.85% on the 1 st Tier) (Sub-Advisor Fee Schedule: 0.75% on the 1 st Tier) Fundametrics Small-Cap Institutional Accounts 1.00% on the first $10,000,000 of assets under 0.85% on the next $10,000,000 of assets under 0.75% on the balance over $20,000,000 of assets under Investment Company Accounts 1.31% on Investment-Company small-cap accounts 1.00% on institutional Investment-Company smallcap accounts (Combined investment fees and administrative fees) Actual investment fees incurred by clients may vary. Returns are presented gross and net of fees and include the reinvestment of all income. Valuations and returns are computed and stated in U.S. dollars. The rates of return are not indicative of future performance. The qualitative circumstances surrounding the financial securities environment should be considered.
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