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April 30th, 2019

Investment Metrics Top 10 Q1 2019 Tax-Exempt Assets Gained Across US Equity

By Scott Treacy, CFA

Investment Metrics, the leading provider of investment performance analytics and reporting solutions, released today its market summary of the top 10 portfolios that gathered tax-exempt assets across US Equity in Q1 2019.

The Investment Metrics Research Team reviewed the top tax-exempt asset gainers in the first quarter across public US equity portfolios and there were some interesting trends. Quantitative strategies took four of the top five spots and were large-cap portfolios. DE Shaw’s product also incorporates the ability to short stocks up to 35% of the total portfolio value. Additionally, we saw factor tilted portfolios (the low-volatility factor) from AQR and Martingale gather a significant amount of assets in the first quarter. Three of the top ten portfolios gathering assets were small or SMID cap oriented. Two of the small-cap strategies have a growth investment style, while Fidelity’s SMID cap portfolio is a more diversified sector neutral strategy with a lower tracking error.

Some of the portfolios gathering tax-exempt flows with a smaller amount of total assets (emerging managers) were focused on the lower end of the capitalization spectrum. Rice Hall James saw flows into their micro-cap portfolio, which is a fundamental bottom-up concentrated (50 securities) growth portfolio. A very concentrated mid-cap portfolio from NewSouth Capital also saw new assets, the portfolio typically holds between 25 and 35 names. Elk Creek’s small-cap growth portfolio continues to see new tax-exempt assets in Q1 2019, this strategy has seen tax-exempt flows in for the past two years.

In closing, in the large-cap space, we saw more quantitative strategies gather assets while the small-cap portfolios were primarily fundamentally driven. Additionally, a majority of these portfolios have top quartile performance rankings against their peers in the Investment Metrics asset manager research database.

IM Top 10 Q1 2019 Tax-Exempt Assets Gained Across US Equity

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