361 Global Long/Short Equity Fund
The Fund ended the month with a gain of 1.38%, which was ahead of the long/short equity category average, but trailed the MSCI World Index’s return of 2.39%, as expected, in a month when equities rallied around the globe. Because the Fund has an average net exposure of about 70%, the 30% cash position was a drag on performance, costing about 72 bps. From a beta perspective, the payoff was linear, with the lowest predicted beta quintile generating the lowest return, and the highest predicted beta quintile advancing the most, all of which detracted from performance (particularly the short positions in the highest beta stocks that reduced relative returns by 35 bps). Turning to the alpha models, the lowest predicted alpha stocks did underperform the highest predicted alpha stocks, and the overall positioning by alpha quintile added about 34 basis points to relative performance. However, stock selection relative to the alpha quintiles hurt performance, detracting approximately 0.42%. Finally, at the sector level, the overweight to healthcare cost about 42 bps, while the overweight to tech added 21 bps.
361 Domestic Long/Short Equity Fund
The Fund ended the month with a gain of 1.83%, beating the category average, but slightly trailing the Russell 1000 Index, which advanced by 1.98%. As the Fund is 70% net exposed on average, the strength of the equity market translated into a cost of about 57 bps on the 30% cash position. From a beta perspective, the two highest predicted beta quintiles outperformed the two lowest predicted beta quintiles, but overall, the Fund’s beta positioning had a negligible impact for the month. Regarding the alpha models, they hurt performance, subtracting 27 bps on a relative basis, which was offset almost exactly by strong stock selection relative to the alpha quintiles. Finally, at the sector level, positioning was quite positive, with an underweight to healthcare, underweight to industrials, and overweight to tech all helping performance. Sector positioning in total added 0.58%.