May Performance Overview
In May, the Size & Style Responsive (SSR) Tax-Aware portfolio returned 1%, while the S&P 1500 returned 5%.
Stock selection and the interaction between stock selection and size and style were the biggest drags on performance. Below is a breakdown of the performance attribution:
- Market Return: 5.0%
- Size & Style Return: -0.6%
- Stock Selection/Interaction -3.4%
- Strategy Return: 1.0%
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 in May, after bouncing up and down in April. However, smaller companies continue to underperform larger companies on a relative basis. As has been the story for quite some time now, the Mag 7 and AI infrastructure play explains the strong performance of larger companies.
As shown below, the Mag 7 (S&P7) began outperforming the S&P493 in the fall of 2025. AI bubble fears weighted on the Mag7 in April 2026, erasing some of those gains, but the Mag 7 rebounded in May to reclaim their lead. Even within large cap, the largest 7 are doing the bulk of the return-generating work.
Source: Yahoo Finance and BAS calculation.
Style Factor Signals
Large Cap Style
Within large cap, growth rebounded after showing signs of a potential return to value. It seems that growth is here to stay, 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 (such as the Mag 7, especially AI infrastructure-related stocks).
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 drove the underperformance of the strategy relative to the benchmark. Although there were many individual stocks in the Industrials and Information Technology sectors that contributed positively to returns, a handful of detractors weighed on the portfolio. For example, Arista Networks, which has a high weight in the portfolio, lost 8%. It was a top performer last month (see the April blog). Others, like Allison Transmission Holdings and McKesson (both of which we discussed in the February blog), performed poorly, giving back some of the strong gains they had earned earlier this year.
Long-Term Performance (GIPS Composite)
In May, the strategy underperformed its benchmark. 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.