361 Domestic Long/Short Equity Fund
U.S. equity markets were down during the month of October, with the Russell 1000 Index falling 1.95%. The 361 Domestic Long/Short Equity Fund was not able to sidestep this difficult month and returned
-2.27%. While maintaining a net market exposure of less than 100% provided a cash cushion, the overarching beta profile of the Fund was a slight negative. All five beta quintiles within the broad universe were in negative territory for the month. The only positive contributor from an exposure perspective came from quintile five, which are the highest beta stocks the Fund tends to short. Within the factor momentum model, a tailwind came from stock selection. This was driven most notably by stock picks in the lowest expected return companies, where the Fund tends to have a net short exposure. Allocation across sectors was a negative, with six of the 11 tilts hurting performance relative to the index. Most notably, an underweight to Financials and an overweight to Healthcare were material detractors (the former of which was by far the best performing within the market, and only one of two sectors that finished in positive territory). Looking at the long versus short side of the portfolio, longs detracted 4.48% while shorts added 2.42%.