361 Global Long/Short Equity Fund
The Fund finished the month with a gain of 1.31%, which narrowly trailed the Morningstar long/short equity category average (1.68%) and the MSCI World Index’s return of 2.17%. The Fund’s beta profile was a positive as lower volatility stocks, which the Fund is overweight, outperformed. The Fund’s net exposure (approximately 70%) was the primary detractor, given the strength of equity markets, and cost the Fund about 63 bps. Beta positioning added about 61 bps overall. The alpha models were also additive but were offset by stock selection relative to the alpha models. At the country level, an underweight to the UK added 0.22% while the large underweight to the U.S. was the biggest negative, costing 19 bps. Finally, considering sector positioning, the underweight to consumer staples was the biggest detractor (-0.12%), accounting for half of the sector weighting effect on the Fund’s return.
361 Domestic Long/Short Equity Fund
The Fund finished the month with a gain of 2.19%, outperforming the Morningstar category average (1.68%), but falling short of the Russell 1000 Index, which advanced by 3.05%. The Fund’s net exposure (approx. 70%) was a negative, given overall equity market performance, and cost the Fund approximately 88 bps. However, the Fund’s beta profile was additive as lower volatility stocks, which the Fund is overweight, outperformed. Beta positioning added about 32 bps overall. Further, the alpha models boosted performance, with both the short position in lower expected return stocks and the overweight position in higher expected return stocks paying off. The alpha models added almost 80 basis points on a relative basis. Finally, considering sector positioning, the Fund benefited from being short energy (+0.11%), but gave back the same number of basis points due to the underweight in consumer discretionary stocks.