361 Domestic Long/Short Equity Fund
November was a positive month for U.S. equities, as marked by the 3.94% return for the Russell 1000 Index. The 361 Domestic Long/Short Equity Fund ended the month up 0.30%. Worth nothing was the dispersion in performance between high beta stocks and low beta stocks, which has been a significant trend for 2016. This phenomenon has not been exclusive to the U.S., where the S&P High Beta Index was up 12.89% for November, while the S&P 500 Low Volatility Index returned +0.54% (the MSCI World Index saw high beta advance by 5.23%, while low beta was down 1.17%). The overarching beta profile was a headwind for the strategy and, given the structure of the Fund, one could have expected it to be negative for the month. Helping prevent that was the Fund’s exposure across the beta spectrum, as moderate beta stocks caught some of the tailwind and contributed positively to return (highlighting the benefit of an actively managed strategy over a naïve allocation to low volatility). Additionally, the factor momentum model, was accurate in picking stocks it thought would move higher, further buoying performance. At the sector level, only two of the sector tilts were additive (Real Estate and Utilities). Stock picks intra-sector were a tailwind with six of the 11 sectors experiencing positive stock selection. Given the headwinds from the sustained and significant outperformance of high beta stocks, the 361 Domestic Long/Short Equity Fund continues to demonstrate its all-weather nature by maintaining performance in one of the most difficult periods for the strategy since its inception.