BRIM Low Volatility
Equity SMA
Fact Sheet | As of June 28, 2024

Objective

The investment objective of the separately managed account is to provide capital returns in line with common U.S. market Indices on a superior risk adjusted basis. This separately managed account is designed for medium term investors with lower than average risk tolerance who seek to match the S&P 500 over rolling 2 year periods with less volatility.

Strategy

The Separately Managed Account is ideal for investors seeking stability in resilient sectors such as Consumer Goods, Healthcare, Utilities, and Essential Services. Focusing on companies known for their steady financial performance, this fund targets a stable revenue growth of 7-12%. The investment approach is a mix of top-down industry analysis and bottom-up fundamental examination, with a particular emphasis on quantitative analysis. As the most conservative option in our series, this fund stands as a safer alternative to general equity funds, tailored for those who prioritize a lower risk profile.

Exposure will range from 90% to 100% during rebalancing. The strategy will rebalance its equity holdings to lower portfolio beta at market peaks, and increase it after markets bottom and begin to trend upwards. The purpose of strategically rebalancing during these conditions is to optimize the portfolio during periods of elevated risk and reward, with the goal of acquiring new equities at more attractive prices.

Account Minimum

$50,000

Low Volatility Equity SMA vs. S&P 500

Low Volatility Equity SMA vs. S&P 500

Total Return Annualized 10.98
Winning Months (%) 63.27
Average Winning Month 3.21
Average Losing Month -2.97
Sharpe Ratio 0.86
Sortino Ratio 1.27
Standard Deviation Monthly 3.79
Downside Deviation 2.38
Low Volatility SMALow Volatility Backtest
Total Return Annualized 10.98 11.92
Winning Months (%) 63.27 65.63
Average Winning Month 3.21 3.05
Average Losing Month -2.97 -2.88
Sharpe Ratio 0.86 0.95
Sortino Ratio 1.27 1.40
Standard Deviation Monthly 3.79 3.67
Downside Deviation 2.38 2.34
Performance History January 07, 2008 - June 28, 2024
Returns 1 Month 3 Month 6 Month Year To Date 1 Year 3 Year 5 Year 10 Year Inception
Low Volatility SMA -0.50% 6.02% 20.46% 8.96% 15.49% 6.13% 11.24% 11.84% 10.98%
S&P 500 -4.08% 4.29% 20.98% 15.29% 22.66% 8.06% 13.19% 12.41% 10.25%
Returns Annualized Return Max Drawdown Total Return Ending Value
Low Volatility SMA 10.98% -35.30% 448.47% $548469
S&P 500 10.25% -46.56% 392.26% $492263
Excess 0.73% 11.26% 56.21% $56206
Top Equity Holdings As of June 28, 2024

Top Holdings

HoldingsSector%NAV
COSTDiscount Stores8.90
METAInternet Content & Information8.26
AMDSemiconductors6.58
LENResidential Construction5.85
BRK.BInsurance - Diversified5.11
AAPLConsumer Electronics5.00
ABBVDrug Manufacturers - General4.42
FIInformation Technology Services4.27
MCDRestaurants4.11
WMTDiscount Stores3.95
Past performance is not indicative of future performance. Principal value and investment return will fluctuate. There are no implied guarantees or assurances that the target returns will be achieved or objectives will be met. Future returns may differ significantly from past returns due to many different factors. Investments involve risk and the possibility of loss of principal. The values and performance numbers represented in this report do reflect management fees. The values used in this report were obtained from sources believed to be reliable. Performance numbers were calculated by Bull Run Investment Management using the data provided. Please consult your custodial statements for an official record of value.

This performance report provides information regarding the previous listed accounts that are being managed by Bull Run Investment Management in accordance with your investment objectives previously discussed. Any changes to your current overall investment objectives or financial condition should be communicated to Bull Run Investment Management. Some accounts may be compared to an index for benchmarking purposes. The index chosen does reflect all applicable dividends reinvested. The index results do not reflect fees and expenses and you typically cannot invest in an index.

All returns represented are net of a max fee of 1.35%

Backtested performance is NOT an indicator of future actual results. There are limitations inherent in hypothetical results particularly that the performance results do not represent the results of actual trading using client assets, but were achieved by means of retroactive application of a backtested model that was designed with the benefit of hindsight. The results reflect performance of a strategy not historically offered to investors and do NOT represent returns that any investor actually attained. Backtested results are calculated by the retroactive application of a model constructed on the basis of historical data and based on assumptions integral to the model which may or may not be testable and are subject to losses.

Backtested performance is developed with the benefit of hindsight and has inherent limitations. Specifically, backtested results do not reflect actual trading, or the effect of material economic and market factors on the decision making process, or the skill of the adviser. Since trades have not actually been executed, results may have under- or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity, and may not reflect the impact that certain economic or market factors may have had on the decision -making process. Further, backtesting allows the security selection methodology to be adjusted until past returns are maximized. Actual performance may differ significantly from backtested performance.