June Performance Overview
In June, the Size & Style Responsive (SSR) Tax-Aware portfolio returned -0.1%, while the S&P 1500 returned -0.6%.
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:
- Market Return: -0.6%
- Size & Style Return: -0.3%
- Stock Selection/Interaction +0.8%
- Strategy Return: -0.1%
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 portfolio allocation by size and style.
Size and Style Allocation Guidance
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 increased towards the end of June, but the overall trend still reflects a rotation away from large-cap. In June, smaller companies outperformed larger companies. The small-cap S&P 600 was up 7.32% (as measured by SPSM), while the large-cap S&P 500 was down -1.06% (as measured by SPX). The S&P 500 was brought down by the Mag7. Collectively, the Mag7 makes up about 1/3 of the index, and all Mag7 stocks finished June with a loss.
In fact, over the last year, small-caps are up nearly 20%, while large caps are up by around 10%. The chart below shows the recent performance by size. Recently, small-cap performance has even begun to meaningfully outperform its mid-cap peers, after mostly similar performance at the start of the year.
Source: Yahoo Finance and BAS calculation.
Style Factor Signals
Large Cap Style
Within large cap, growth is still the meaningful driver, though value gained a bit. Growth is still the name of the game, at least for now. The blue line, which shows the ratio between value and growth, was buoyed by strong performance among large-cap growth stocks, even at a time when the performance of the Mag7 was poor (all of the Mag7 finished in the red for the month of June), which shows signs of further broadening out in the market.
SMID Style
Within non-large stocks:
- Mid-caps continue to exhibit a more neutral value/growth profile and contributed positively to performance.
- Small-cap value continued to lose ground to growth.
Stock Selection
Stock selection and its interaction with size and style helped the strategy beat the benchmark. Our stock selection was particularly strong in Consumer Cyclical, Consumer Defensive, and Industrials. Of the top 10 holdings in the portfolio, 1/2 finished the month with positive returns, vs. only 1 of the top 10 holdings of the benchmark. For example, Watts Water Technology was up over 27% in June. Its strong positioning as an AI infrastructure play alongside strong results, helped the stock soar.
Long-Term Performance (GIPS Composite)
In June, the strategy outperformed its benchmark, though both returned a loss. However, on an inception-to-date basis, it outperforms the S&P 1500.
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.