Optimized Small Cap Core

Q2 2021 | June 30, 2021

Annualized Returns (%) 

QTD YTD 1 Year 3 Years 5 Years 7 Years 10 Years Since Inception1
Gross of fees 3.80 19.45 58.92 13.00 15.21 11.13 11.31
Net of fees 3.78 19.39 58.76 12.84 14.97 10.84 11.01
Benchmark 4.29 17.54 62.03 13.52 16.47 11.39 11.07
1 Inception Date: December 31, 2013 2 Benchmark: Russell 2000

Characteristics

Portfolio Weight Benchmark Weight
Excess return (gross since inception) 0.24%
Excess return (net since inception) -0.06%
Information ratio (gross since inception) 0.06
Information ratio (net since inception) -0.01
Holdings 99 1,985
P/E using FY1 est 12.0 17.6
P/E using FY2 est 12.0 16.6
Dividend yield 0.9% 0.9%
Historical 3 year EPS growth 18.7% 12.2%
Weighted average market cap $4,126mm $3,398mm

Sector Weights (%)

Portfolio Weight Benchmark Weight

Communication Services 3.96 3.74
Consumer Discretionary 15.00 11.85
Consumer Staples 1.14 3.19
Energy 4.17 4.28
Financials 15.72 14.84
Health Care 21.34 21.15
Industrials 13.32 14.26
Information Technology 15.90 13.62
Materials 3.11 3.84
Real Estate 4.80 6.85
Utilities 1.54 2.38

Top Ten Holdings (%)

Portfolio Weight
Stifel Financial Corp. 2.21
Amkor Technology, Inc. 2.03
Valley National Bancorp 1.98
Altra Industrial Motion Corp. 1.96
Select Medical Holdings Corporation 1.81
Flagstar Bancorp, Inc. 1.75
Denali Therapeutics Inc. 1.73
New York Mortgage Trust, Inc. 1.70
Macy’s Inc 1.64
Boise Cascade Co. 1.60

Distinguishing Attributes

  • Proven quantitative stock selection models
  • Focused on achieving optimal risk-return tradeoffs
  • ESG factors taken into consideration
  • Structured and disciplined investment process
  • Experienced investment team
  • Corporate culture built on client service and diversity
Total product assets shown above may include accounts that are not reflected in the GIPS® report below. Portfolio characteristics are subject to change, and current holdings may differ. Past performance is not an indication of future results. GIPS-compliant performance information for the firm’s strategies and products are available upon request at info@xponance.com. A GIPS report is found at the end of this presentation. Statistics shown above are supplemental information to the GIPS report at the end of this presentation. Results represent preliminary data which is subject to change. For further performance data, please see the Xponance® Optimized Small Cap Core disclosures below.

Portfolio Management

Sumali Sanyal, CFA

Managing Director, Senior Portfolio Manager, Systematic Global Equities

Cameron McLennan, CFA

Director, Portfolio Manager, Systematic Global Equities

About Xponance®

Xponance® is a multistrategy investment firm offering strategies across equity and fixed income. We are independent and employee owned by women and diverse professionals, whose common passion is to do the right thing for our clients and each other. Xponance® is the successor firm representing the integration of two great legacy firms, FIS Group, Inc. and Piedmont Investment Advisors, LLC

Investment Philosophy & Process

Our investment philosophy focuses on striking an appropriate balance between risk and return in our management of clients’ portfolios while taking ESG factors into consideration. The elements of this philosophy include – emphasis on security selection, quantification of major sources of risk, diversification as a means of managing common factor risk without reducing expected returns and controlling tracking error. We utilize internally developed quantitative models for stock selection. These models are built using factors that reflect and measure fundamental drivers of growth, value, and momentum, and have also been shown to be consistent and predictive drivers of long-term excess returns. Our portfolio construction methods focus on maximizing exposure to these factors while controlling both ESG risk and portfolio active risk.

Portfolio Facts

Inception date 12/31/2013
Assets in strategy $0.15mm
Benchmark Russell 2000
Predicted tracking error 3-5% vs. b/m
No. of stocks <100
Sectors B/m ±4%
Annual Turnover 100%
Min. investment $5mm
Vehicle(s) available Separately managed

Annualized Disclosure Presentation

Annualized Performance Results (%) 3-Yr Annualized Ex-Post Standard Deviation (%)
Year End Composite Gross TWR Composite Net TWR Benchmark1 Composite Gross Benchmark1 Number of Portfolios Composite Assets ($mm) Total Firm Assets ($mm)
2020 10.09 9.98 19.96 25.77 25.27 Five or fewer 0.13 12,493
2019 30.14 30.03 25.52 16.64 15.71 Five or fewer 0.11 5,411
2018 -9.18 -9.49 -11.01 14.55 15.79 Five or fewer 0.18 4,026
2017 10.40 10.08 14.65 12.66 13.91 Five or fewer 0.19 6,817
2016 19.96 19.54 21.31 14.17 15.76 Five or fewer 0.18 6,249
2015 -0.99 -1.33 -4.41 N/A N/A Five or fewer 0.1 5,577
2014 9.56 9.05 4.89 N/A N/A Five or fewer 0.1 2,542
Composite inception date: December 31, 2013. 1 Benchmark: Russell 2000

Xponance,® Inc. (“Xponance®”) claims compliance with the Global Investment Performance Standards (GIPS®) and has prepared and presented this report in compliance with the GIPS standards. Xponance® has been independently verified for the periods from November 1, 1998 through December 31, 2020. The verification report is available upon request.

A firm that claims compliance with the GIPS standards must establish policies and procedures for complying with all the applicable requirements of the GIPS standards. Verification provides assurance on whether the firm’s policies and procedures related to composite and pooled fund maintenance, as well as the calculation, presentation, and distribution of performance, have been designed in compliance with the GIPS standards and have been implemented on a firm-wide basis. Verification does not provide assurance on the accuracy of any specific performance report.

GIPS® is a registered trademark of CFA Institute. CFA Institute does not endorse or promote this organization, nor does it warrant the accuracy or quality of the content contained herein.

On August 31, 2018, FIS Group, Inc. (“FIS Group”) acquired Piedmont Investment Advisors, Inc.’s (“PIA”) predecessor, Piedmont Investment Advisors, LLC. Xponance®, Inc. (“Xponance®”) is an independent, registered investment adviser and is the successor registrant under the Investment Advisers Act of 1940 (the “Advisers Act”) to both FIS Group and its wholly-owned subsidiary, PIA. Pursuant to a corporate rebranding and consolidation strategy, Xponance® was established effective April 1, 2020, to leverage the long histories of its predecessor entities in providing customized investment management products to institutional clients. FIS Group (through its former subsidiaries, Fiduciary Investment Solutions, Inc. and FIS Funds Management, Inc.) managed assets since 1996 and PIA (through its former affiliate Piedmont Investment Advisors, LLC) began managing assets in 2000. The firm maintains a list of composite descriptions and limited pool fund(s) descriptions, which is available upon request.

Total firm assets presented through, and including, Calendar Year 2019 represent total firm assets for PIA, prior to April 1, 2020, this composite was managed by legacy firm PIA. Total firm assets presented post  April 1, 2020 represent the total firm assets of Xponance®.

Optimized Small Cap Core Composite contains fully discretionary Small cap core equity accounts and for comparison purposes is measured against the Russell 2000 Index. The product typically has fewer than 100 holdings and a predicted tracking error target range of 5% – 8% vs. Russell 2000. The Optimized Small Cap Core Composite was created December 31, 2013.

Results are based on fully discretionary accounts under management. Accounts that are no longer with the firm are included through the last full measurement period such accounts were managed in the composite’s style. Past performance is not indicative of future results. The composite maintains a significant cash flow policy. A significant cash flow has been defined as any client requested cash withdrawal where we must execute trades to generate the requested cash. We will remove the cash from the account the day we raise the cash; therefore, significant cash flows out of an account will be treated as a temporary account and the member account will remain in the composite. The significant cash flow policy applies for all periods.

The U.S. Dollar is the currency used to express performance. Returns are presented gross and net of management fees and include the reinvestment of all income. Net of fee performance was calculated using actual management fees Policies for valuing investments, calculating performance, and preparing GIPS reports are available upon request.

The management fee schedule is as follows: First $50mm: 65 bps; Next $50mm: 55 bps; Over $100mm: 45 bps

Fees are charged to clients on a quarterly basis. Fees are calculated as a percentage of assets under management and vary based upon the type of product and the total amount of assets under management. The percentage fee is expressed terms of basis points (“BPS”) for our products. One hundred basis points equal 1%. All fees are negotiable.

The three-year annualized standard deviation measures the variability of the composite gross returns and the benchmark returns over the preceding 36-month period.

Internal dispersion presented is an equal-weighted standard deviation of annual gross returns of those portfolios that were in the composite for the entire year. For those years when less than six portfolios were included in the composite for the full year, no dispersion measure is presented.