Overview

Investment Objective

To exceed the return of the MSCI Emerging Markets Small Cap Index (net) over a full market cycle (six- to eight-year period).

Investment Universe

Bridgeway focuses on a universe of common stocks within the range of the MSCI Emerging Markets Investable Market Index.

Investment Strategies

The strategy seeks to outperform the MSCI Emerging Markets Small Cap Index (net) over a market cycle within tracking error bounds by investing in a portfolio consisting primarily of equity securities of small sized companies in emerging markets as well as securities that are domiciled or have a significant portion of their business activities in emerging markets.

Bridgeway selects securities based on a systematic approach that considers fundamental measures such as value (e.g., price-to-earnings ratio), indicators of quality (e.g., return on equity), and sentiment (e.g., estimate revisions). Specific measures are applied based on an adaptive categorization of the type of company based on a proprietary definition of intangible capital intensity. A key element of the investment strategy is a differentiated approach to portfolio construction that includes active share proportionality and factor exposure parity.

Strategy Basics

Category Emerging Markets Small-Cap
Benchmark MSCI Emerging Markets Small Cap Index
Inception 01/31/2021

Team Managed


For GIPS purposes, the firm is defined as: Bridgeway Capital Management, LLC (“Bridgeway”) is a Houston-based, SEC Registered Investment Advisor founded in 1993. Registration does not imply a certain level of skill or training. Bridgeway offers separate accounts, mutual funds, and sub-advisory services managed primarily in a statistical, evidence-based approach across multiple market capitalizations and investment styles to investors. The firm ascribes to four business values: Integrity, Performance, Efficiency and Service. Bridgeway focuses on efficient trading to complement statistical stock selection and believes that it can add value by managing conflicts of interest, promoting its independence and aggressively managing trading costs. Bridgeway Capital Management, Inc. was converted from a Texas S corporation into a Delaware limited liability company and renamed Bridgeway Capital Management, LLC (“Bridgeway LLC”) in December 2020.

Past performance is not a guarantee of future results. Bridgeway Capital Management, LLC claims compliance with the Global Investment Performance Standards (GIPS®). GIPS® is a registered trademark of CFA Institute. CFA Institute does not endorse or promote this organization, nor does it warrant the accuracy or quality of the content contained herein. A full presentation in compliance with GIPS® and a complete list of composite descriptions are available upon request by contacting Bridgeway Capital Management, LLC at:

20 Greenway Plaza, Suite 450
Houston, Texas 77046
713-661-3500

info@bridgeway.com

Bridgeway Emerging Markets Small-Cap Strategy Composite – Portfolios in this composite are managed with an objective of seeking to deliver excess returns above the MSCI Emerging Markets Small Cap Index (net) (the “Benchmark”) over a full market cycle. Bridgeway defines a full market cycle as a six to eight-year period. The strategy seeks to achieve its investment objective by investing in an actively managed portfolio consisting primarily of equity securities of small sized companies in emerging markets as well as securities that are domiciled or have a significant portion of their business active in emerging markets. The investment strategy focuses on systematic application of fundamental analysis for companies in the MSCI Emerging Markets Investable Market Index (the “Index”). Bridgeway selects securities based on a systematic approach that considers fundamental measures such as value (e.g., price-to-earnings ratio), indicators of quality (e.g., return on equity), and sentiment (e.g., estimate revisions). Specific measures are applied based on an adaptive categorization of the type of company based on a proprietary definition of capital intensity. A differentiated approach to portfolio construction driven by risk analysis relative to the Benchmark is also a key element of the investment strategy. Emerging markets are those countries that are classified by MSCI as emerging markets and generally consist of those countries with securities markets that are less sophisticated than more developed markets in terms of participation, analyst coverage, liquidity and regulation. These are markets which have yet to reach a level of maturity associated with developed foreign stock markets, especially in terms of participation by investors. Some emerging market countries may be considered to be “frontier market” countries. The emerging markets small-cap strategy is speculative and entails a high degree of risk. These risks are in addition to the usual risks inherent in U.S. investments. There is the possibility of expropriation, nationalization, or confiscatory taxation, taxation of income earned in foreign nations or other taxes imposed with respect to investments in foreign nations, foreign exchange control (which may include suspension of the ability to transfer currency from a given country), default in foreign government securities, political or social instability, or diplomatic developments which could affect investments in securities of issuers in those nations. In addition, the risks associated with foreign investments are heightened when investing in emerging markets. The government and economies of emerging markets feature greater instability than those of more developed countries. Such investments tend to fluctuate in price more widely and to be less liquid than other foreign investment. Investments in small companies generally carry greater risk than is customarily associated with larger companies. This additional risk is attributable to a number of reasons, including the relatively limited financial resources that are typically available to small companies, and the fact that small companies often have comparatively limited product lines. In addition, the stock of small companies tends to be more volatile and less liquid than the stock of large companies, particularly in the short term and particularly in the early stages of an economic or market downturn.

The portfolios in this composite would appropriately be benchmarked against the MSCI Emerging Markets Small Cap Index. One cannot invest directly in an index.

The currency used to express performance is the US dollar.

The advisory fee for new accounts will consist of an annual asset-based fee of 1.25%. Currently, 100% of composite assets are in non-fee-paying accounts. The MSCI Emerging Markets Small Cap Index is a free float-adjusted market capitalization weighted Index designed to measure the equity market performance of emerging market small capitalization stocks. The returns of the Index are presented net of withholding taxes. GIPS® is a registered trademark of CFA Institute. CFA Institute does not endorse or promote this organization, nor does it warrant the accuracy or quality of the content contained herein.