February Performance Overview
In February, the Size & Style Responsive (SSR) Tax-Aware portfolio returned 1.3%, beating the S&P 1500's return of -0.5%.
Performance was driven primarily by stock selection and the interaction between stock selection and size & style. Stock selection was particularly effective among small and mid-cap blend. Below is a breakdown of the performance attribution:
- Market Return: -0.5%
- Size & Style Effects: +0.5%
- Stock Selection/Interaction Effect: +1.3%
- Strategy Return: +1.3%
Portfolio Construction & Allocation Framework
Our portfolio continues to follow the size and style allocation guidance implemented in mid-2025, which reflects our systematic factor signals and long-term diversification objectives.
Overall Portfolio
The table below shows the allocation of the portfolio by size and style.
This framework defines:
- Overall exposure to Large vs. SMID companies
- The split between Value and Growth within each size segment
These targets evolve as factor signals change, but remain anchored to maintaining diversified exposure across market regimes.
Size Factor Signal
The size signal weakened in February, after a slight uptick in January. Smaller companies continue to underperform larger companies on a relative basis, though the gap between them is shrinking. Throughout most of 2025, the Mag 7 drove market returns. In 2026, however, concerns over AI led to losses at many large cap, tech-heavy firms. This drove most indices in the red for the month. The S&P 500 was down -0.8%. At the same time, the S&P SmallCap 600 was up 2.2% and the S&P MidCap 400 was up 4.1%.
As you can see from the plot below, the S&P 500, when measured on a market cap weighted basis (SPY), has very low and even sometimes negative cumulative returns since the start of the year. In contrast, the equal weighted S&P 500 (RSP) has returned almost 7% since January.
Style Factor Signals
Large-Cap Style
Within large-cap, while growth is still the dominant trend, it continues to weaken, with value emerging. Note the spike in the blue line in the plot above in February. This is consistent with the poor performance of the Mag 7 growth stocks we saw above.
SMID Style
Within non-large stocks:
- Mid-caps continue to exhibit a more neutral value/growth profile. Blend was a positive contributor to stock selection while growth and value were detractors.
- Small-caps continue to favor value over growth. This relationship continues to grow stronger.
Stock Selection
Stock selection was the greatest contributor to performance in February. Our signal was effective on both the buy and the sell side, which bolstered returns and helped avoid underperformers. Mid and small-cap blend constituents stood out here. Small and mid-cap firms in the portfolio returned an average of 3.5%, while the average return of large-cap firms was -0.7%.
Allison Transmission Holdings was the best performing mid-cap in the portfolio, returning 15%. Despite its standing in a more economy-sensitive sector, it has seen strong growth in its defense offerings. Generally speaking, this stock is not very volatile and it has a stable cash flow. Interdigital Communications (a small-cap and a strong player in the 5G space), Watts Water Technologies (a mid-cap who is experiencing strong demand from the data center sector), and Omega Healthcare Investors (a mid-cap REIT that invests in healthcare living facilities) earned double digit returns.
However, not all large caps were laggards. For example, Franco-Nevada, a gold and precious-metals royalty company based in Canada, was the top performer. They benefited from high gold prices, and their business model affords them minimal expenses. McKesson, who earned large returns in January, was also a top performer in February, returning nearly 19%. On a single day (February 5), the stock surged nearly 17% after a strong earnings report. It mostly maintained those gains in February, but fell nearly 6% in the first week of March.
These stocks helped offset the losses from the large cap performers, especially much of the Mag 7.
Long-Term Performance (GIPS Composite)
In February, the strategy earned a positive return, and outperformed its benchmark. On a year-to-date basis, the strategy is also outperforming the benchmark. Over the short-term (1 to 3 years) the strategy lags the benchmark. During much of this period, the large-caps drove overall returns, while the strategy typically performs better in broader markets. However, over the longer-term (5 years, and in the 8 years since inception), the strategy outperforms its benchmark and remains competitive.
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 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.