February Monthly Snapshot

361 Global Long/Short Equity Fund

The celebratory mood of January led to a notable hangover in February, with global equities, as measured by the MSCI World Index, falling 4.14%. There was nowhere to hide, as almost all equity, fixed income, and commodity indices were lower for the month. In this environment, the 361 Global Long/Short Equity Fund returned -3.06%, which was in line with the Morningstar Long/Short Equity category average (-2.96%), and ahead of the MSCI World benchmark. The Fund’s net exposure (approximately 70%) was the primary reason for the outperformance, adding about 144 bps on a relative basis. The Fund’s beta profile was modestly positive, but not as impactful as is normally the case in market selloffs. Typically, high beta names, which the Fund is short, underperform by a meaningful margin in a market decline, but that was not the case this month. In fact, there was little difference between the performance of stocks in the lowest volatility quintile and those in the highest volatility quintile. Further, the alpha models detracted on a relative basis, but strong stock selection relative to the alpha models offset that impact. At the country level, the short exposure to Sweden cost about 10 bps of relative performance; all other country effects were nominal. Lastly, considering sector positioning, the most impactful exposure was the underweight to energy, which added 32 bps.

361 Domestic Long/Short Equity Fund

The celebratory mood of January led to a notable hangover in February, with U.S. equities, as measured by the Russell 1000 Index, falling 3.67%. There was nowhere to hide, as almost all equity, fixed income, and commodity indices were lower for the month. In this environment, the 361 Domestic Long/Short Equity Fund produced a return of -2.27%, outperforming both the Morningstar Long/Short Equity category average of -2.96% and the Russell 1000 Index. The Fund’s net exposure (approximately 70%), was beneficial, adding about 98 bps of relative performance. As low volatility stocks actually underperformed high volatility stocks, the Fund’s beta profile was a headwind, costing about 59 basis points. However, the alpha models performed well, and stock selection relative to the alpha models was also additive. In total these elements contributed about 55 bps of outperformance. Lastly, overall sector positioning had a negligible effect, as underweight exposures to Tech and Real Estate, which cost the Fund about 74 bps, was offset by the short Energy position that added 70 bps.