Stance Capital at a Glance:
Performance Update Q4 2023
Growth of q $1000 investment over time
Q4 2023 Performance Commentary
Q423 was a strong up quarter in the S&P 500, with the benchmark returning 11.69% and Stance ESG Large Cap Core returned 11.85 GROSS and 11.70 net. The S&P 500 average stock was up 11.79% indicating this is a balanced environment for security selection. Stance’s quant and ESG processes largely yielded investable universes in line with that of the S&P 500.
CAPM Attribution:
The Stance model leaned heavily into risk this quarter with a beta of 1.10 which is unusually high. This might be an artifact of a significant broad-based rally in the market. The Stance model had an annualized alpha of -3.16% indicating that despite the increased risk we were not efficient at obtaining additional returns.
Process Attribution: The securities passing our ESG Screen had an average return of 11.35% with a standard deviation of 11.90% and a hit rate of 51%. The securities selected by our quant model had an average return of 11.25% with a standard deviation of 11.92% and a hit rate of 50%. Statistically these two universes are the same. Intersecting the two models had an average return of 9.40%%, and a hit rate of 41%. Our optimizer allocated our weights in a manner that allowed us to have a total return of 11.85%, thus adding 2.45%. Hit Rate was 45% in the Final Portfolio vs 50% in the S&P 500 universe, driven down due to the ESG and quant processes not intersecting well
Top 5 Contributors: EXPE,MAS,AOS,A,PANW
Worst 5 Contributors: SEDG,AON,FTV,TSLA,FTNT
* Annualized returns
** Total Return Hit – Percentage of stocks that outperformed the SP500TR Index in that period
*** These numbers are calculated from daily returns generated by using a frictionless simulation of the Stance Strategy and represent gross numbers assuming the strategy was invested on 2023-03-01 and ending on 2023-12-31 with rebalancing occurring on exactly quarter end dates
**** S&P Global Market Intelligence