May Monthly Snapshot

361 Global Long/Short Equity Fund

The Fund ended the month with a gain of 1.50% for the I-shares, which was quite a strong outcome relative to the long/short equity category, but trailed the MSCI World Index’s return of 2.12% in what was a good month for equity markets around the globe. Because the Fund has an average exposure of approximately 70%, the 30% cash position was a drag on performance, costing about 59 bps relative to 100% exposure. From a beta perspective, the lowest predicted beta quintile outperformed all others, adding 7 bps to performance. Further, the highest predicted beta quintile was in the red, resulting in a gain of 60 bps for the Fund’s short position within that quintile. The Fund’s alpha models generally detracted from performance, as the lowest predicted alpha stocks outperformed the highest predicted alpha stocks. However, stock selection relative to the alpha quintiles was strong, adding approximately 23 basis points to performance. At the sector level, the net short to energy stocks and the underweight position in financials added 0.64% and 0.21%, respectively. In addition, the overweight to technology shares was beneficial, adding 24 bps.

361 Domestic Long/Short Equity Fund

The Fund ended the month with a gain of 1.83% for the I-shares, beating both the category average and the Russell 1000 Index, which advanced by 1.28%. As the Fund is 70% exposed on average, the strength of the equity market translated into a cost of about 42 bps on the 30% cash position. From a beta perspective, the highest predicted beta quintile did underperform the other quintiles by a sizable margin, and since the Fund was net short stocks within that quintile, this positioning added 58 bps. Overall, the Fund’s beta profile added 0.42% to total return. The alpha models were slightly additive to performance, as the highest predicted alpha stocks outperformed the lowest predicted alpha stocks. Further, stock selection relative to the alpha quintiles was strong, adding about 58 basis points to performance. At the sector level, the net short to energy stocks and the overweight position in utilities added 0.68% and 0.22%, respectively. In addition, the overweight to technology shares was beneficial, adding 20 bps.