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Q3 2024 was a strong up quarter in the S&P 500, with the benchmark returning 5.88% and Stance ESG Large Cap Core returned 6.76% gross and 6.64% net. The S&P 500 average stock was up 9.34% and 65.8% of securities outperformed indicating this is a good environment for security selection. Stance’s quant and ESG processes yielded investable universes slightly worse than hat of the S&P 500.
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CAPM Attribution:
The Stance model leaned away from market risk this quarter with a beta of 0.70 which is slightly below average for the Stance process. The intra-quarter annualized alpha was 10.91% showing strong risk adjusted returns relative to SPX.
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Process Attribution:
The securities passing our ESG Screen had an average return of 8.9% with a standard deviation of 13% and a hit rate of 64.6%.
The securities selected by our quant model had an average return of 8.37% with a standard deviation of 15.7% and a hit rate of 65.5%.
Statistically these two universes are the same due to the wide standard deviations and very close means.
Intersecting the two models had an average return of 6.25%, and a hit rate of 64.2%. Our optimizer allocated our weights in a manner that would have allowed us to have a total return of 6.89%, thus adding 0.64%.
Hit Rate was 66.7% in the Final Portfolio vs 65.8% in the S&P 500 universe, showing some selection skill.
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Top 5 Contributors: MMM,EBAY,BK,T,HIG
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Worst 5 Contributors: DXCM,AMAT,MRNA,CMG,MSFT
*Total Return Hit – Percentage of stocks that outperformed the SP500TR Index in that period
**Alpha Hit – Percentage of stocks that had a positive alpha, computed using daily returns in that holding period with a rf = 0
*** Combined Hit – Percentage of stocks that had a Total Return Hit AND an Alpha Hit in that holding 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 2024-07-01 and ending on 2024-09-30 with rebalancing occurring on exactly quarter end dates
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PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS
Stance Capital LLC is a registered investment advisor with the U.S. Securities and Exchange Commission.
The content of this web site is intended for information purposes only. No portion of the content should be considered a solicitation to buy or an offer to sell shares of the fund in any jurisdiction where the solicitation or offer would be deemed unlawful under the securities laws of such jurisdiction.
The S&P 500® is a market-capitalization-weighted index designed to measure the performance of 500 large-cap U.S. companies. Index performance is discussed for illustrative purposes only as a benchmark for each strategy’s performance and does not predict or depict performance of that strategy. While index comparisons may be useful to provide a benchmark for a strategy’s performance, it must be noted that investments are not limited to the investments comprising the indices. Each of the strategy benchmark indices are unmanaged and cannot be purchased directly by investors.
