April Monthly Snapshot

361 U.S. Small Cap Equity Fund

The domestic equity markets finished positively for the month of April with the Russell 2000 returning 1.1%. Over the same time period, the 361 U.S. Small Cap Equity Fund (ASFZX) gained 2.3%.

In addition to being underweight the smallest companies, which underperformed relative to the Russell 2000, the main driver of outperformance was idiosyncratic returns from exposure to the earnings-related events core to our investment thesis.

Analyst activity and earnings surprises were favorable to our strategy. In April, the revision ratio (positive analyst revisions minus negative analyst revisions) was the highest it has been in the previous six months. ASFZX holdings received 324 net positive revisions—306 more than a randomly-selected portfolio of the same size. Holdings in the portfolio reported 28 net positive earnings surprises—more than double the predicted amount.