Small Cap Core

Overview

The Strategy typically invests in small-cap U.S. company stocks

Strategy Inception Date
December 31, 2007
Composite Inception Date
December 31, 2007
Composite AUM
(as of 07/31/2019)
$1.90 BN
Composite Benchmark
Russell 2000® Index
Available Vehicles
Separate Account
Commingled Vehicle
Performance
Average Annual Returns
Calendar Year Returns
as of 07/31/2019
as of 06/30/2019

Cumulative
Annualized
ytd as of 2019-06-30
1 yr 3 yr 5 yr 10 yr since inception
Small Cap Core (gross of fees)
16.25% -3.09% 11.67% 8.01% 14.61% 9.28%
Small Cap Core (net of fees)
15.84% -3.79% 10.88% 7.24% 13.79% 8.50%
Russell 2000® Index
16.98% -3.31% 12.30% 7.06% 13.45% 7.91%
Cumulative
Annualized
ytd as of 2019-07-31
1 yr 3 yr 5 yr 10 yr since inception
Small Cap Core (gross of fees)
16.90% -3.87% 10.12% 9.05% 13.75% 9.26%
Small Cap Core (net of fees)
16.42% -4.57% 9.33% 8.27% 12.94% 8.48%
Russell 2000® Index
17.66% -4.42% 10.36% 8.53% 12.47% 7.91%

Year Small Cap Core (gross of fees) Small Cap Core (net of fees) Russell 2000® Index
2008 -37.53% -38.00% -33.79%
2009 38.56% 37.59% 27.17%
2010 24.66% 23.78% 26.85%
2011 -1.39% -2.10% -4.18%
2012 18.92% 18.07% 16.35%
2013 42.06% 41.07% 38.82%
2014 12.84% 12.04% 4.89%
2015 -5.04% -5.72% -4.41%
2016 19.09% 18.24% 21.31%
2017 15.07% 14.25% 14.65%
2018 -9.62% -10.28% -11.01%
Portfolio

Top Issuers

(36.1% of assets as of 07/31/2019)


Portfolio Holdings Breakdown

Country
Developed Markets
Equity Sector
Industry
Asset Allocation
Market Cap 2
Country Small Cap Core Russell 2000® Index Overweight / Underweight
United States 97.1% 99.9% -2.8%
Developed Markets Small Cap Core Russell 2000® Index Overweight / Underweight
Americas 97.1% 100.0% -2.9%
Equity Sector Small Cap Core Russell 2000® Index Overweight / Underweight
Industrials 17.2% 15.9% 1.3%
Financials 15.1% 18.2% -3.1%
Information Technology 14.9% 13.6% 1.3%
Consumer Discretionary 12.1% 11.0% 1.1%
Health Care 12.0% 16.7% -4.7%
Real Estate 7.0% 7.7% -0.7%
Utilities 5.3% 3.8% 1.5%
Materials 5.2% 3.9% 1.3%
Energy 3.0% 3.7% -0.7%
Communication Services 2.7% 2.6% 0.0%
Consumer Staples 2.6% 2.9% -0.2%
Industry Small Cap Core Russell 2000® Index Overweight / Underweight
Equity Real Estate Investment Trusts (REITs) 7.0% 7.1% -0.1%
Banks 7.0% 10.0% -3.0%
Software 5.8% 4.8% 1.0%
Machinery 5.2% 3.9% 1.3%
IT Services 4.6% 2.1% 2.5%
Semiconductors & Semiconductor Equipment 4.5% 2.6% 1.9%
Professional Services 4.1% 1.8% 2.3%
Metals & Mining 4.0% 1.2% 2.7%
Hotels Restaurants & Leisure 3.7% 2.7% 0.9%
Gas Utilities 3.5% 1.2% 2.2%
Health Care Equipment & Supplies 3.1% 4.0% -0.9%
Oil Gas & Consumable Fuels 3.0% 2.4% 0.6%
Biotechnology 2.9% 7.4% -4.5%
Thrifts & Mortgage Finance 2.9% 2.1% 0.8%
Specialty Retail 2.9% 2.4% 0.5%
Capital Markets 2.8% 1.5% 1.3%
Health Care Providers & Services 2.8% 2.1% 0.7%
Entertainment 2.7% 0.3% 2.4%
Electrical Equipment 2.7% 0.9% 1.8%
Auto Components 2.6% 1.1% 1.5%
Asset Allocation Small Cap Core Russell 2000® Index Overweight / Underweight
Equity 97.1% 100.0% -2.9%
Market Cap Small Cap Core Russell 2000® Index Overweight / Underweight
Small 66.4% 82.2% -15.8%
Mid 30.7% 17.8% 12.9%
Analytics
(As of 07/31/2019)

Performance Statistics
3Y
5Y
Alpha
0.16
0.78
Beta
0.95
0.96
Information Ratio
-0.07
0.16
R-Squared
95.70
96.24
Sharpe Ratio
0.58
0.56
Standard Deviation
16.45
15.94
Upside Capture
97.59
99.72
Downside Capture
97.63
97.01
Sortino Ratio
0.85
0.85
Win Ratio
50.00
50.00
Loss Ratio
50.00
50.00
Margin of Outperformance
0.77
0.76
Margin of Underperformance
-0.82
-0.70
Tracking Error
3.50
3.17
Yields
Portfolio Characteristics
Rep Portfolio
Composite Benchmark
Average Market Cap (weighted)
$2.93 B
$2.26 B
Median Market Cap (weighted)
$2.80 B
$2.06 B
P/E Ratio (LTM)
23.79
25.07
P/E Ratio (NTM)
17.54
19.64
Price/Book
2.32
2.19
Debt to Capital Ratio
41.40
36.60
Turnover Ratio
46%
-
Team
  1. 1. Holdings are subject to change and are dollar-weighted based on assets.
  2. 2. Holdings are subject to change, are dollar-weighted based on assets, and may not reflect the use of leverage in the Fund. Market Cap breakdown is calculated using Morningstar's methodology and those capitalization standards may not align with those in the Fund's prospectus.
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