361 Domestic Long/Short Equity Fund
August was an effectively flat market for U.S. equities, as the Russell 1000 finished up 13 basis points. Within that index, high beta and low beta were nearly polar opposites, with the lowest beta stocks down 2.85% and high beta stocks up 3.23% (categorized by the 361 Domestic Long/Short Equity strategy as quintile one and quintile five, respectively). Over this time period, the Fund’s long exposure to low beta stocks and short exposure to high beta stocks similarly resulted in negative performance, and finished the month down 1.65%. Given headwinds from both low beta and high beta, the performance profile for the Fund for August was better than may have been expected, as the overall structure of the Fund proved additive (i.e., maintaining exposure across all quintiles versus static long exposure to quintile one and short exposure to quintile five, as dispersion was present.) At the sector level, six out of the 11 (Real Estate is its own official GICS Sector) were negative with Financials being the most significant underperformer and lackluster stock selection driving performance. On the positive side, stock picks in both Consumer Discretionary and Healthcare were additive. The Fund ended the month with meaningfully net long positions in Healthcare, Consumer Staples and Information Technology, and neutral exposure to Financials, Materials and Real Estate. It’s critical to note that these sector tilts are the result of the overarching risk and factor momentum models versus taking explicit bets on sectors based on macroeconomic events.