361 Domestic Long/Short Equity Fund
July was a “risk on” environment, with the Russell 1000 Index finishing +3.81%. The 361 Domestic Long/Short Equity Fund participated in that rally to an extent, generating +2.08% for the month. Markets such as July, are ones where the strategy tends to lag given riskier stocks tend to rally (as was the case) and safe haven stocks tend to underperform. Within the Russell 1000, the highest beta stocks (classified as quintile five in the portfolio) moved up 6.22%, while quintile one (i.e., lowest beta stocks) were up 0.36%. Given the Fund is short quintile five stocks, it was a material headwind. Elsewhere in the portfolio, the Factor Model was a slight detractor relative to the Russell 1000 Index and stock selection lagged, resulting in a modestly negative attribution relative to its benchmark. At a sector level, the two largest detractors were Consumer Discretionary and Information Technology. Bright spots included Healthcare and Utilities, where both the overall exposure to the sectors plus sound stock picks were net contributors to return. The remaining underperformance relative to the +100% net exposed long-only benchmark is related to the net market exposure of roughly 70%. Given the overarching thesis of investing long in lower beta stocks (i.e. those safe haven stocks) coupled with the market action during the month, performance was in line with expectations.