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| Quarter | Letter Date | Fund Name | QTD | YTD | Tickers | Themes | Quick Take |
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"Bailard's quantitative small cap value strategy outperformed in Q2 2026 by navigating volatile sentiment shifts through proprietary behavioral finance models. The Path-Dependent Anchoring Bias factor proved most effective."
The Bailard Small Cap Value Strategy generated a Q2 2026 return of 17.57% net of fees, outperforming the Russell 2000 Value Index at 17.19%. The quarter saw investor sentiment shift from two months of risk-on favoring junk and meme stocks to one month of risk-off favoring quality and value characteristics. The strategy's proprietary Bailard Ranking Model produced mixed results, with the Path-Dependent Anchoring Bias factor performing strongest by navigating the wild sentiment swing from May to June. Largest overweights were in capital goods, semiconductors, and technology hardware, while underweights were in banks, pharmaceuticals, and REITs. The Russell Index rebalance removed substantial junk and meme stocks from small cap value. Looking forward, a small cap value renaissance appears underway driven by accelerating earnings growth, attractive valuations versus large caps, and structural tailwinds including reshoring, deregulation, and improving credit conditions. An updated capacity analysis by Virtu Financial confirmed manageable trading impact up to $1.5 billion in AUM.
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