In August the Size & Style Responsive (SSR) Tax-Aware portfolio returned 1.1%, lagging the S&P 1500's return of 2.4%. The size and style allocation, stock selection, and the interaction between the two explain the underperformance, though stock selection/interaction was a bigger drag than size and style.
Stock selection and the interaction between stock selection and size and style were both a drag on the strategy this month. Below is a breakdown of the performance attribution:
Source: Morningstar and BAS Calculation. Note: Figures may not sum perfectly due to rounding.
Our portfolio follows the size and style allocation guidance that was updated in July of 2026. This guidance reflects our systematic factor signals and long-term diversification objectives. It was updated to reflect changing market conditions.
The table below shows the portfolio allocation by size and style.
Size and Style Allocation Guidance
This framework defines:
These targets evolve as factor signals change but remain anchored to maintaining diversified exposure across market regimes.
In June and July, smaller companies outperformed larger companies. This trend reversed in the month of August, but held on a YTD basis. The performance gap between Mid and Large-cap narrowed this month, while Small has continued to outperform Large.
Source: Dow Jones.
Within large cap, growth continues to be the meaningful driver. This growth trend is less clear for SMID.
Across SMID, the story was more mixed. In Mid, growth outperformed value, but the opposite was true of small. The gap between growth and value was larger for Mid than it was for Small. This heterogeneity showed up in the overall S&P 400 this month, as Mid-caps underperformed.
Stock selection explains the bulk of the underperformance of the strategy in August. Two stocks, both with the high individual allocations in the portfolio, saw double digit losses during the month, and explain the majority of the drag from stock selection. The stocks were in separate sectors - technology and consumer defensive. On the flip side, the two stocks contributing the most to performance were also in technology, highlighting the dispersion the markets have been experiencing within sizes and sectors as of late.
In August, the strategy underperformed relative to its benchmark. On a YTD basis, it has outperformed, though it lags over the medium-term.
Compliance Disclosure:
The Size and Style Responsive (SSR) Tax Aware strategy includes all institutional and retail portfolios that invest in a portfolio of stocks in large-, mid-, and small-cap companies. The strategy seeks to manage after-tax returns by incorporating tax considerations into trade decisions. For example, when possible, the strategy may defer realizing short-term gains to achieve a more favorable long-term tax treatment, subject to client-specific constraints and objectives. Tax impact is a factor in implementation, but it does not override the strategy’s investment objectives.
Burney Advisor Services affirms compliance with the Global Investment Performance Standards (GIPS®) and has prepared this chart in accordance with these standards. As of February 2, 2026, the benchmark for the SSR Tax Aware shifted from the Russell 3000 Index to the S&P 1500 Index, and this change applies to all reporting periods. The characteristics of the equity holdings in the S&P 1500 Index better match those of the SSR Tax Aware than those of the Russell 3000. The S&P Composite 1500 Index combines stocks in the S&P 500, the S&P MidCap 400, and the S&P SmallCap 600. The inception date of the strategy is March 1, 2018.
Past performance, whether actual or hypothetical, does not guarantee future performance. Investment results and principal value will fluctuate, and clients' investments, when redeemed, may be worth more or less than their original cost. This communication is exclusively for investment advisors and financial professionals and is not intended for clients or the investing public.