In June, the Size & Style Responsive (SSR) Tax-Aware portfolio returned 3.1%, while the S&P 1500 returned -0.1%. Selection was particularly strong in Consumer Cyclical, Financials, and Technology.
Stock selection and the interaction between stock selection and size and style helped the strategy outperform the benchmark. Below is a breakdown of the performance attribution:
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.
The size signal continues to show a rotation away from large-cap. In both June and July, smaller companies outperformed larger companies. The small-cap S&P 600 has returned about 20.5% YTD, and the mid-cap S&P 400 is up 13.7%, while the large-cap S&P 500 is only up 9.4%
The table below shows the performance of the S&P Indices by size. Mid- and small- caps have outperformed large since the beginning of the year. Small- and mid-caps had similar performance for much of the year, but mid-caps have lagged small-caps since June.
Source: Dow Jones.
Within large cap, growth is a meaningful driver, but value continues to gain. Tech and mega-cap stocks are seeming expensive, and with the momentum crash we saw in July, investors may be rotating towards cheaper value stocks.
Stock selection and its interaction with size and style helped the strategy beat the benchmark. Our stock selection was particularly strong in Consumer Cyclical, Financials, and Technology. Consumer Cyclical and Financials were up in the benchmark, but the strategy's exposure to the sector beat that of the benchmark. On the other hand, in the S&P 1500, technology ended the month in a loss, while the SSR strategy's exposure to technology led to a gain. One stock (in mid-cap growth), which amounted to about 5% of the portfolio, was up over 25%, and contributed 1/3 of the return of the strategy.
In July, the strategy outperformed its benchmark by a wide margin. It remains competitive with the S&P 1500 (SPTM) over the long-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.