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Strategy Overview

The Diversified Large Cap Value strategy seeks to optimize risk-adjusted performance by combining qualitative active management with a disciplined quantitative evaluation process. Based on historical equity market modeling and manager vision, the strategy consistently rotates into segments of the investable universe that we believe offer the most attractive combination of inexpensive earnings valuation and fundamental strength.

 

Strategy Profile

 

 

Key Stats*

Strategy AUM 1 $6,725.1
Inception Date April 1, 1999
Price/Earnings² 15.2

Philosophy

Objective

We seek to outperform the Russell 1000® Value Index by investing in undervalued large-cap stocks, as identified by a low price-to-earnings (P/E) or price-to-book (P/B) ratio, while maintaining a low tracking error, typically between 2–4% versus the index.

Investment Process Summary

We manage the portfolios with a disciplined combination of quantitative and fundamental investment styles. Our investment strategy employs a deselection approach with the goal of identifying and avoiding undervalued stocks that we believe will have difficulty outperforming the benchmark. Our low tracking error discipline enhances long-term returns by reducing significant drawdowns versus the benchmark. We utilize a team-oriented process with experienced investment managers.

Investable Universe

Within the universe of U.S. equities, we identify stocks with:

  • Market capitalizations among the top 800 largest U.S. stocks
  • P/E ratios among the lowest 40% or P/B ratios among the lowest 25% in this universe

Deselection Process

From the resulting 300-400 large-cap value companies, we quantitatively eliminate stocks with:

  • Weak stock price momentum, as these stocks often continue to underperform
  • High relative share issuance, which often precedes weaker stock returns

We perform our fundamental analysis on the remaining 200-300 companies. We seek to understand why each is undervalued to avoid stocks that are unlikely to return to a normal valuation. Our focused research process allows us to efficiently manage a diversified portfolio of companies with desirable characteristics. Our in-depth review includes:

  • Adjusting reported earnings and book values to purchase only genuinely undervalued stocks;
  • Eliminating stocks with significant pre-announced earnings deterioration; and
  • Excluding stocks with severe fundamental decline or substantial financial, legal, or product risks.

Portfolio Management

The portfolio holds approximately 175-250 stocks to diversify risk and enhance liquidity. We initially weight each stock’s position proportional to its market capitalization. We will deviate from strict capitalization weight if necessary to maintain our tracking error targets versus the index. Industry and sector weightings are the direct result of our bottom-up investment process and our tracking error management.

Typically, we sell a stock when: its P/E and P/B ratios are both no longer undervalued, its market cap no longer qualifies as large cap, its price momentum lags the market sufficiently to trigger our stop loss control, a substantial number of new shares are issued, or fundamentals deteriorate significantly.

At a Glance

  • Primary Benchmark: Russell 1000® Value Index
  • Universe: Large-capitalization U.S. common stocks
  • We purchase stocks with a low valuation based on either P/E or P/B that pass through our quantitative and fundamental deselection processes
  • Our portfolios generally purchase all holdings on a capitalization-weighted basis with exceptions to keep tracking error in the 2–4% range versus the index
  • Cash is residual of the investment process, and we manage portfolios with the goal of remaining fully invested at all times

Lead Portfolio Managers

Joseph J. Kirby

Portfolio Manager

Henry F. Otto

Managing Director & Portfolio Manager

Steven M. Tonkovich

Managing Director & Portfolio Manager

View Full Diversified Value Equity Team

Performance*

  • Annualized Returns
  • Calendar Year Returns
  • GIPS Statistics

Annualized Returns

Annualized Returns

As of 12/31/2025

Chart

Bar chart with 4 data series.
The chart has 1 X axis displaying categories.
The chart has 1 Y axis displaying values. Data ranges from 2.66 to 22.98.
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Period
Gross (%)*
Net (%)*
R1000V (%)
S&P 500 (%)
QTD4.053.913.812.66
YTD17.9617.3215.9117.88
1 Year17.9617.3215.9117.88
3 Year15.1014.4813.8822.98
5 Year14.6614.0411.3214.42
7 Year13.9313.3112.0917.28
10 Year12.2911.6810.5214.81
Since Inception9.348.637.688.41

Calendar Year Returns

Calendar Year Returns

As of 12/31/2025

Period
Gross (%)*
Net (%)*
R1000V (%)
S&P 500 (%)
202517.9617.3215.9117.88
202419.5218.8714.3725.02
20238.217.6211.4626.29
2022-0.66-1.21-7.54-18.11
202130.8330.1325.1628.71
2020-0.64-1.192.8018.40
201926.6025.9226.5431.49
2018-8.19-8.70-8.27-4.38
201721.0520.4013.6621.83
201615.1314.5017.3411.96
2015-2.28-2.98-3.831.38

GIPS Statistics

GIPS Statistics

As of 12/31/2025

Year or YTD
# of Accts
Market Value ($MM)
Firm Assets ($MM)
Composite Dispersion (%)
Composite St. Dev. (% 3-Year Rolling)
R1000V St. Dev. (% 3-Year Rolling)
S&P 500 St. Dev. (% 3-Year Rolling)
2025106,43559,9810.0412.9112.4111.79
2024105,98158,8920.0717.0916.6617.15
2023115,03159,4680.0317.0716.5117.29
2022116,08052,6010.0321.5021.2520.87
202197,45267,3560.0819.3319.0617.17
2020116,92863,8720.0319.8219.6218.53
2019117,45674,0240.0212.8811.8511.93
2018117,14370,0700.0211.9610.8210.80
2017107,88374,3820.1711.3510.209.92
2016107,39765,4980.1411.7410.7710.59
2015107,25768,8190.0511.1910.6810.47

Characteristics*

  • Portfolio Characteristics
  • Top Ten Holdings
  • Sector Allocation

Portfolio Characteristics

Portfolio Characteristics

As of 12/31/2025

Characteristic
Brandywine Global
R1000V
Price/Earnings 215.220.8
Price/Book2.53.1
Price/Cash Flow11.714.5
Dividend Yield (%)2.31.9
Avg. Market Cap ($B)189.9405.0
Number of Securities232870
Turnover (% LTM)49.7-

Top Ten Holdings

Top Ten Holdings

As of 12/31/2025

Company
Weight (%)
Jpmorgan Chase & Co5.4
Johnson & Johnson4.5
Exxon Mobil Corp3.8
Bank Of America Corp3.0
Morgan Stanley2.4
Wells Fargo & Co2.4
Goldman Sachs Group Inc/the2.3
Walt Disney Co/the2.2
Pepsico Inc2.1
Qualcomm Inc2.0

Sector Allocation

Sector Allocation

As of 12/31/2025

Sector
Brandywine Global (%)
R1000V (%)
Communication Services6.48.5
Consumer Discretionary7.27.4
Consumer Staples6.67.2
Energy8.85.7
Financials31.522.3
Health Care17.912.2
Industrials8.513.0
Information Technology5.511.3
Materials4.04.1
Real Estate0.24.0
Utilities3.04.4
Cash0.6-

Investment Options

Available Investment Options

Diversified Large Cap Value Equity
Separate Accounts
BG Diversified US Large Cap Value Fund
U.S. Mutual Funds/ETF
1
The Firm's AUM includes Diversified Value Equity non-discretionary assets of $289.8M and Fundamental Equity non-discretionary assets of $3,830.0M, both of which are reported on a one-month lag.

2
Portfolio characteristics calculation uses weighted harmonic average methodology.

Data is obtained from Bloomberg (©2026, Bloomberg Finance LP) and is believed to be accurate and reliable.

*Supplemental information to the attached Diversified Large Cap Value GIPS Report, which provides gross and net performance of the named strategy and a detailed description of the performance calculation methodology, index descriptions, and other disclosures. Gross performance returns include transaction costs but do not reflect the deduction of Brandywine Global's management fee. Net performance is calculated using a model approach whereby we use the highest tier of the appropriate strategy's fee schedule as disclosed in Part 2A of the Firm's Form ADV. All performance results are presented before custody charges, withholding taxes and other indirect expenses. Performance results of the named strategy are presented gross and net of management fees. Brandywine Global characteristics were derived using a representative account of the named strategy. In most cases, representative account and composite performance and characteristics will vary slightly. Investment objectives are aspirational in nature, inherently uncertain, and should not be regarded as a guarantee of future performance. Past performance is no guarantee of future results.

Inception Date: April 1, 1999

R1000V = Russell 1000® Value Index
S&P 500 = S&P 500® Index

Returns shown in USD

Brandywine Global Investment Management, LLC (the "Firm") is a wholly owned, independently operated, subsidiary of Franklin Resources, Inc. Brandywine Global Investment Management, LLC claims compliance with the Global investment Performance Standards (GIPS®) and has prepared and presented this report in compliance with the GIPS standards. Brandywine Global Investment Management, LLC has been independently verified for the periods January 1, 1993 through June 30, 2024. A firm that claims compliance with the GIPS standards must establish policies and procedures for complying with all the applicable requirements of the GIPS standards. Verification provides assurance on whether the firm's policies and procedures related to composite and pooled fund maintenance, as well as the calculation, presentation, and distribution of performance, have been designed in compliance with the GIPS standards and have been implemented on a firm-wide basis. The Diversified Large Cap Value Composite has had a performance examination for the periods April 1, 1999 through June 30, 2024. The verification and performance examination reports are available upon request. Policies for valuing investments, calculating performance, and preparing GIPS Reports are available upon request. Disclosed total firm assets represent the total market value of all discretionary and nondiscretionary, fee-paying and non-fee-paying assets under the Firm's management. 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. Diversified Large Cap Value Equity Composite (the "Composite") Inception date: April 1, 1999. Creation date is April 1, 1999. The Composite includes all fully discretionary, actively managed accounts with no minimum market value requirement and no investment restrictions. The composite is primarily invested in large capitalization U.S. common stocks with Price-to-Earnings ratios below the 40th percentile or Price-to-Book ratios below the 25th quartile, favorable change in share issuance, and attractive price momentum. The portfolios typically hold approximately 150 - 250 securities. A non fee-paying account was the sole account in the composite from 1999-2005. As of June 30, 2019, non fee-paying account represented less than 1% of composite assets. The Russell 1000 Value Index measures companies from the Russell 1000 Index that exhibit lower price to book and price to earnings ratios and lower forecasted growth values. The S&P 500 is a broad measure of U.S. domestic large cap stocks. The 500 stocks in this capitalization-weighted index are chosen based on industry representation, liquidity, and stability. Preliminary data, if so noted, reflects unreconciled data for the most recent reporting period. Portfolios are valued daily on a trade date basis and include dividends and interest as well as all realized and unrealized capital gains and losses. Return calculations at the portfolio level are time-weighted to account for periodic contributions and withdrawals. Performance results are calculated on a before tax, total return basis. Prior to July 1, 2007, portfolios were included in the Composite beginning with the first full quarter of performance through the last full quarter of performance. After July 1, 2007, portfolios are included in the Composite beginning with the first full month of performance through the last full month of performance. Composite returns are reported on quarterly basis. The Composite returns consist of size-weighted portfolio returns using beginning of period values to weight the portfolio returns. Monthly linking of interim performance results is used to calculate quarterly and annual returns. Composite's valuations and returns are computed in U.S. Dollars ("USD"). The results are presented in USD or in other currencies (to accommodate overseas investors), the latter by converting monthly USD returns into other currency returns using the appropriate currency exchange rate returns. Gross returns reflect the deduction of trading expenses. Net-of-fees returns is calculated using a model approach whereby we use the current highest tier of the appropriate strategy's fee schedule as disclosed in the Form ADV. Composite dispersion is calculated using the asset-weighted standard deviation method for all portfolios that were in the Composite for the entire year. Composite dispersion is not presented for periods with five or fewer portfolios. The number of accounts and market values are as of the end of the period. The three-year annualized standard deviation, calculated using gross-of-fee returns, measures the variability of the composite and the benchmark returns over the preceding 36-month period. Gross-of-fees returns are used to calculate the presented risk measures. Past performance is no guarantee of future results. A complete list of composites, and limited distribution pooled funds descriptions as well as a list of broad distribution pooled funds is available upon request. Institutional Client Separate Account Management Fee Schedule (minimum initial investment: $25 million): 0.550% on the first $50 million; 0.400% on the next $150 million; 0.350% on the next $200 million; 0.300% on the next $250 million, and 0.250% on any portion of assets in excess of $650 million. Institutional Client Commingled Account Management Investment Trust Fee Schedule (minimum initial investment: $1 million): 0.550% on the first $50 million; 0.400% on the next $150 million; 0.350% on the next $200 million; 0.300% on the next $250 million, and 0.250% on any portion of assets in excess of $650 million. Additional information on the Firm's fee schedule can be found in Form ADV Part 2A which is available upon request.

General Disclaimers: This material has been prepared by Brandywine Global Investment Management, LLC ("Brandywine Global") and is provided to certain qualified institutions, financial intermediaries, and institutional investors for informational purposes only. It may not be reproduced or redistributed without Brandywine Global's prior written approval. This material is not intended to be a forecast, research, or investment advice, and is not a recommendation, or an offer or solicitation to buy or sell any securities or to adopt any particular investment strategy. The information set forth herein has been derived from sources believed to be accurate, reliable, and current as of the date of this material, but is subject to change without notice. The opinions expressed may differ from those of other Brandywine Global portfolio management teams and our affiliates. References to specific securities, asset classes and financial markets are for illustrative purposes only and are not intended to be, and should not be, interpreted as recommendations. The material was prepared without regard to specific objectives, financial situation or needs of any investor and should not be used as the basis of any investment decision.

Risk: All financial investments involve an element of risk. Past performance does not guarantee future results. The value of investments and the income derived from investments will fluctuate and a loss of principal can occur.

Foreign securities, foreign currencies, and securities issued by U.S. entities with substantial operations outside of the U.S. can involve additional risks relating to political, economic, or regulatory conditions in foreign countries. These risks include market/currency fluctuations, withholding or other taxes, trading, settlement, custodial, and other operational risks, and less stringent investor protection and disclosure standards in some foreign markets. All of these factors can make foreign investments, especially those in emerging markets, more volatile and potentially less liquid than U.S. investments. In addition, foreign markets may perform differently from the U.S. market.

Transactions in any option, future, commodity, or other derivative product is not suitable for all persons and accordingly, investors should be aware of the risks involved in trading in such instruments. Transactions in derivatives have the potential to increase liquidity risk and introduce other significant risk factors of a complex character. All securities trading, whether in stocks, options, or other investment vehicles, is speculative in nature and involves substantial risk of loss. No assurance, representation, or warranty is made by any person that any of the aims, assumptions, expectations, objectives, and/or goals stated herein will be achieved. Nothing contained in this material may be relied upon as a guarantee, promise, assurance, or representation as to the future.

Fixed income securities are subject to the risks associated with debt securities generally, including credit, liquidity and interest rate risk. High yield and lower-rated fixed income securities involve greater risk than investment-grade securities. Asset-backed, mortgage-backed or mortgage related securities are subject to additional risks such as prepayment and extension risks. High yield bonds possess greater price volatility, illiquidity, and possibility of default.

Equity investments are subject to market risk. The value of investment may fluctuate in response to the prospects of individual companies, particular sectors, and/or general market conditions. Investments in in speculative and/or small-cap, mid-cap and micro-cap companies may involve a higher degree of risk and volatility than investments in larger, more established companies, including such risks as lack of product diversification, potentially insufficient capital resources and greater exposure to business and economic cycles.

Portfolio Structure: Each client’s portfolio is individually managed and may vary from the information shown in terms of allocations, portfolio holdings, characteristics, and performance. Current and future portfolio compositions and performance may be significantly different. Any securities, sectors or allocations referenced may or may not be represented in portfolios of clients of Brandywine Global, and do not represent all of the securities purchased, sold, or recommended for client portfolios. The reader should not assume that any investments in securities, sectors and/or markets identified or described were or will be profitable or that similar investments will be available in the future.

Outlook: Economic and market forecasts presented herein reflect a series of assumptions and judgments as of the date of this material and are subject to change without notice. These forecasts do not take into account the specific investment objectives, restrictions, tax and financial situation or other needs of any specific client. Actual data will vary and may not be reflected herein. These forecasts are subject to high levels of uncertainty that can affect actual performance. Accordingly, these forecasts should be viewed as merely representative of a broad range of possible outcomes. These forecasts are estimated, based on assumptions, and are subject to significant revision and may change materially as economic and market conditions change. Certain information or statements contained herein may constitute a forward-looking statement. Forward- looking statements are predictive in nature and speak only as of the date they were made. Brandywine Global assumes no duty to and does not undertake to update forward-looking statements. Forward-looking statements refer to future events or conditions and are subject to a number of assumptions, risks and uncertainties that could cause actual results or events to differ materially from current expectations.

Third-Party Ratings: Any unpublished third-party rankings, awards or similar groupings have inherent limitations and qualifications, and are not indicative of the experience of any client or investor or of the future performance of any product described herein. There can be no assurance that the universe upon which the ratings or awards were based included all investment products within each category that are actually in operation or existence. The investment products on which the ratings were based may differ substantially in terms, objective, strategy, target risk return profile and certain other significant respects from those referenced herein.

Indices/Benchmarks: Indices are unmanaged and are not available for direct investment. Indices are not subject to fees and expenses typically associated with separate accounts or investments in funds. References to indices, benchmarks or other measures of relative market performance over a specified period of time are provided for your information only and do not imply that the portfolio will achieve similar results. The index composition may not reflect the manner in which a portfolio is constructed. While an adviser seeks to design a portfolio which reflects appropriate risk and return features, portfolio characteristics may deviate from those of the benchmark.

Selection of Representative Account: Representative accounts are generally the least restrictive account in a composite at the time of selection. Each client account is individually managed; individual holdings will vary for each account and there is no guarantee that a particular account will have the same characteristics as described. Actual results may vary for each client due to specific client guidelines, holdings, and other factors. In limited circumstances, the designated representative account may have changed over time, for reasons including, but not limited to, account termination, imposition of significant investment restrictions, or material asset size fluctuations.

Environmental, Social and Governance (“ESG”): This material discusses Brandywine Global’s current efforts to integrate responsible and sustainable investing principles into its investment process. Certain examples are provided herein for illustrative purposes only and are not intended to be representative of Brandywine Global’s investment process with respect to every investment. ESG investments may be viewed as “sustainable, “responsible”, or “socially conscious” among other names. Analysis and integration of ESG factors is qualitative and subjective by nature, and there is no guarantee that the ESG criteria used, or judgment exercised, by Brandywine Global will reflect the values of any one particular investor. Different investment managers may utilize and evaluate ESG factors in different ways. Investing in ESG investments carries the risk that under certain market conditions, the investment strategy may underperform strategies that do not utilize a responsible investment strategy. An investment’s ESG performance or Brandywine Global’s assessment of such performance may change over time. ESG is not a uniformly defined characteristic and information used to evaluate ESG characteristics may not be readily available, complete, or accurate, and may vary across providers and issuers. The ESG considerations assessed as part of the research and investment approval process may vary across eligible investments and not every ESG factor may be evaluated for every investment. There is no guarantee that the evaluation of ESG characteristics will be additive to a strategy or account’s performance.

This website and the information contained herein does not constitute and is not intended to constitute an offer of any kind, including securities and accordingly should not be construed as such. Any products or services referenced on this website are for informational purposes only and may not be licensed or permitted to be purchased in your jurisdiction, and unless otherwise indicated, no regulator or government authority has reviewed this website or the merits of the products and services referenced. The content of this website is intended for eligible institutional investors (as such term is defined in any given jurisdiction). Before acting on any information on this website you should be well informed of and observe all applicable laws, rules and regulations of your home jurisdiction and obtain independent advice if required.

Past performance is no guarantee of future results.