LSV ASSET MANAGEMENT

LSV Asset Management is a Chicago-based institutional asset manager specializing in systematic, quantitatively driven value equity strategies. Founded in 1994 by academics Josef Lakonishok, Andrei Shleifer, and Robert Vishny, the firm’s name reflects its founders’ initials and its roots in empirical finance research. LSV has built its franchise around exploiting persistent value and behavioral anomalies documented in academic literature, applying these insights in a disciplined, model-based framework. The firm manages separate accounts and commingled vehicles for pension plans, sovereigns, endowments, foundations, and other professional allocators across U.S., international, global, and emerging markets equity mandates. LSV Asset Management is registered with the U.S. Securities and Exchange Commission as an investment advisor and reports as an institutional investment manager under CIK #0001050470. As part of its regulatory obligations, LSV files quarterly Form 13F with the SEC, disclosing reportable long U.S. equity and certain equity-linked positions across its U.S.-domiciled strategies. These filings capture the long-only U.S. sleeve of the firm’s broader global value platform. On an advanced 13F analytics system, this history can be organized into a manager-specific Historical Track Record, normalized to a user-defined starting notional, enabling holdings-based analysis of the U.S. value portfolio through time.

LSV Asset Management’s investment philosophy is grounded in quantitative value investing informed by behavioral finance. The firm’s core premise is that investors systematically overreact to recent news and extrapolate past growth, leading to mispricing of companies with temporarily depressed fundamentals and underappreciated long-term prospects. LSV seeks to exploit this by building diversified portfolios of stocks that are statistically cheap on a range of value and related metrics. Its stock-selection models typically incorporate multiple factors, including: - Traditional value measures such as price-to-book, price-to-earnings, price-to-cash flow, and dividend yield. - Profitability and quality indicators (margins, returns on capital, balance-sheet strength). - Earnings revisions and analyst sentiment, used to avoid “value traps” with deteriorating fundamentals. - Limited use of momentum controls to manage entry timing and mitigate exposure to extreme negative trends. The process is systematic but not purely mechanical: quantitative models generate rankings and candidate lists, while portfolio managers and researchers oversee model evolution, risk controls, and implementation. Portfolios are constructed to achieve high active share versus benchmarks, with stock-level weights driven by relative attractiveness, diversification constraints, and liquidity considerations. In the context of LSV’s U.S. equity mandates, the firm maintains broadly diversified portfolios across the market-cap spectrum, with a bias toward cheaper quintiles of the universe. As a result, the firm tends to be overweight sectors where valuation discounts are more prevalent—such as Financials, Industrials, Materials, and certain Consumer cyclicals—and underweight expensive growth areas like high-multiple Technology or certain Communication Services names. Viewed through the lens of 13F Portfolio Composition, LSV’s disclosed U.S. book typically exhibits: - Hundreds of holdings, each sized modestly, reflecting broad diversification and factor-driven construction. - Pronounced tilts toward lower-valuation stocks on aggregate metrics, relative to cap-weighted benchmarks. - Limited use of ETFs or pooled vehicles, since the firm’s edge lies in single-name security selection. Turnover is moderate to high relative to traditional fundamental managers, as the models are rebalanced periodically (e.g., monthly or quarterly) to reflect updated fundamentals, prices, and factor signals. However, position changes are incremental, preserving trading cost efficiency and capacity.

LSV Asset Management is a specialist quantitative value manager with deep academic roots and a multi-decade focus on systematically exploiting behavioral and valuation anomalies in global equity markets. Its 13F filings under CIK #0001050470 offer a transparent, security-level view of the U.S. long-only value portfolios derived from its models: highly diversified by name but deliberately concentrated in value and related factors. For allocators and researchers, the primary insight comes from careful, holdings-based interrogation of the data. Tracking changes in 13F Portfolio Composition across LSV’s 13F history highlights how sector tilts, valuation characteristics, and breadth evolve as value opportunities wax and wane across industries and market caps. By feeding these filings into a Portfolio Simulator or other Performance Backtests Online, users can derive a normalized Historical Track Record, overlay the evolving Volatility Profile, and estimate an implied Sharpe Ratio for the disclosed U.S. sleeve. The central diagnostic question for further due diligence is how resilient LSV’s systematic value approach proves across regimes—particularly during extended growth-led markets versus value recoveries—and how the timing and magnitude of its style tilts, as observed in the 13F record, influence the capital trajectory implied by its reported holdings.

LSV’s risk profile is characterized by diversified stock-specific exposure coupled with concentrated style and factor exposures. At the security level, portfolios hold a large number of names with tight position-size limits, minimizing idiosyncratic single-name risk. At the factor level, however, the firm deliberately runs substantial value and contrarian tilts, accepting style risk in pursuit of long-term excess returns. Key risk dimensions include: - Value factor risk: Portfolios are structurally overweight cheap stocks and underweight expensive ones. During periods when value underperforms growth (e.g., prolonged momentum-led markets, mega-cap tech rallies), LSV’s strategies can lag broad benchmarks, sometimes significantly. - Sector tilts: Although sector risk is controlled, the value bias often leads to relative overweights in Financials, Industrials, and other traditional value sectors, and underweights in richly valued Technology and Communication Services segments. - Tracking error: The combination of valuation tilts and high active share produces meaningful tracking error versus standard indices, which is intentional but can create multi-year periods of relative underperformance. From a holdings-based perspective, reconstructing the firm’s 13F-reported positions into a synthetic long-only time series allows an analyst to estimate the U.S. sleeve’s Volatility Profile. Historically, LSV-like value portfolios have shown volatility broadly comparable to, or modestly above, that of their benchmarks, but with different cyclicality: sharper relative drawdowns in value-averse environments and strong catch-up phases when value factors mean-revert. Because Form 13F captures only long U.S. equity exposure, the replication does not reflect any derivative overlays, non-U.S. holdings, or client-specific constraints, but it does provide a robust approximation of the structural risks borne by LSV’s U.S. value strategies. On a normalized notional basis, the same reconstructed series can be used to compute an implied Sharpe Ratio, providing a concise summary of how effectively the firm’s value tilts have historically converted volatility into risk-adjusted outcomes within the disclosed sleeve.