Attribution Summary
In October, the strategy returned -0.72%, trailing the IWV's (Russell 3000) +2.12% return. This month’s underperformance was primarily driven by negative stock selection and size effects, while interaction effects contributed a small positive benefit. Below is a breakdown of the performance attribution:
- Market Return: +2.10%
- Size & Style Effects: -0.30%
- Stock Selection Effect: -3.10%
- Interaction Effect: +0.60%
- Strategy Return: -0.70%
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Size & Style Allocation: No Change
There were no changes to the strategy’s size and style allocation in October. We continue to hold a slight growth tilt and an overweight to large cap exposure. Small & Mid exposure remains modest, but we continue to monitor signals across size and style.
|
|
Large |
Small & Mid |
Total |
|
V |
32% |
14% |
46% |
|
G |
48% |
6% |
54% |
|
Total |
80% |
20% |
100% |
- Large Cap: 60% Growth / 40% Value
- SMID Cap: 30% Growth / 70% Value
Technical Signals
- Size: continues to move sideways without clear leadership between large and small caps.
- Large Cap Style: still favors growth over value, though the spread has narrowed slightly.
- Mid Cap Style: remains directionless, with no strong conviction.
- Small Cap Style: continues to lean value, consistent with recent relative trend improvements.
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Stock Selection
October was characterized by a highly bifurcated market, where a small group of large-cap, AI-aligned, and momentum-driven names outperformed, while the broader market was more uneven.
Positive contributors included Amazon (AMZN), Arista Networks (ANET), and Broadcom (AVGO).
Detractors included Meta (META), Corcept Therapeutics (CORT), and Netflix (NFLX).
Additionally, mid- and small-cap equities underperformed large caps during the month. Because the portfolio holds a modest tilt toward SMID — and specifically toward value within SMID — this segment was a headwind to performance.
Finally, our fundamental and recovery signals lagged this month, as the market favored momentum and AI-driven leadership rather than valuation or earnings recovery dynamics.
GIPS Composite Performance
As of October 31, 2025, the Size & Style Responsive Tax-Aware strategy has returned 12.43% YTD, compared to the IWV's (Russell 3000) 16.65%. While the strategy trails year-to-date, performance remains consistent over 3- and 5-year periods, and has remained close to benchmark since inception.
Compliance Disclosure:
The Size and Style Responsive Tax-Aware 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.
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.