The Small to Micro Cap Equity strategy is intended to find value in companies on the lower end of the Russell 2000 index, with at least 50% of companies below the largest market capitalization of the Russell Microcap Index.
"We're forced to own a bunch of companies that are smaller in the portfolio, which allows for more of a full mandate with more choice and more flexibility than most managers."
Golden Entertainment Inc., a Las Vegas-based gaming company, was a primary driver of performance, having successfully navigated the COVID-19 pandemic to reinvent itself, Mr. Green said.
Ranked fourth was Fuller & Thaler Asset Management Inc.'s microcap core strategy, which returned a gross 142.15% for the year ended June 30.
Frederick Stanske, San Mateo, Calif.-based partner and portfolio manager, said in a phone interview the firm uses behavioral finance methodology in its stock selection.
"Investors are pretty rational and pretty efficient, but in some cases they're not rational and not efficient," Mr. Stanske said. "They're influenced by biases and emotions and that can create anomalies in the stock market."
The microcap core strategy utilizes both a growth approach, in which the market underreacts to information, and a value approach, in which the market overreacts to information. One of the drivers of the success of the strategy was finding stocks that were significantly undervalued during the COVID-19 pandemic, and specifically had a high volume of management and employees increasing their stakes in the firm, reflecting ownership and employee confidence of a post-pandemic recovery.
"In our microcap portfolio, about two-thirds of the value names had insider buying," Mr. Stanske said. One value-oriented holding that performed exceptionally well was energy company Matador Resources Co.
Old West Investment Management LLC's All Cap Opportunity strategy ranked fifth with a gross return of 141.83%. The Los Angeles-based manager's small-cap strategy also ranked seventh with a gross return of 134.82%.
Joseph Boskovich Jr., co-founder and partner, said he and the firm are value investors at their core, and their approach is to align themselves with strong management teams that have significant ownership stakes in their companies.
He said their process begins with companies' proxy statements because "those are going to tell you who's management, what's their background, how much they've done in the past, how much stock they own and what their compensation looks like."
"We just want to make sure that management has more to gain and lose through their ownership rather than their compensation," Mr. Boskovich said. "When you look at (our) portfolios, most of the companies are owned or run by a management team that treats us as shareholders well, and the main reason for that is they're the largest shareholders themselves."
There is an overlap of about 70% to 80% between the all-cap and small-cap strategies, he said.