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Large Cap Core Update

January 24, 2022

Large cap core strategy benefited by avoiding stock with poor sell model rankings

For Q4, the strategy benefited from avoiding stocks with poor sell model rankings and underexposures to negative earners. However, there were net negative impacts from multifactor stock selection models of about -0.7%. The strategy underperformed the Russell 1000 by about -0.4% but outperformed the average stock in the index by about +3.9%. Year-to-date, the strategy outperformed the Russell Index by about +0.5%, net of fees.