Articles by Greg Swenson, CFA Director of Equities

AdvantHedge was down 6.1% in February, trailing the inverse S&P 500 (-2.8%) but performing in-line with the inverse Russell 2000 (-6.2%).

The Leuthold Core and Global Portfolios both performed well during the “risk-on” market in February.

The Redditors came for the hedge funds, and chaos ensued. We think that when the dust settles, the Reddit crowd will be the spark that allowed more powerful market players to inflect the real pain. Our thoughts, from experience, on why this happened and how we try to avoid it.

The Redditors came for the hedge funds, and chaos ensued. We think that when the dust settles, the Reddit crowd will be the spark that allowed more powerful market players to inflect the real pain. Our thoughts, from experience, on why this happened and how we try to avoid it.

Financials jumped from 5th place to 1st this month—the first time Financials has been the highest-rated since February 2020. Information Technology, Consumer Discretionary, and Communication Services round out the top.

The Reddit short-squeeze saga had very little impact on this short strategy. We tend to avoid securities with extremely high short interest, we don’t pay more than the standard rate to borrow shares, and we diversify across a large basket of holdings; all of which reduce the risk of a single-name short squeeze manipulating portfolio results.

The Leuthold Core and Global Portfolios were both about flat in January, holding up better than the broad equity markets.

The GS Scores handled the chaotic, 2020 market well, turning in a +10.1% return spread. The lone black-eye was November, when the Pfizer vaccine news upended quant factors and produced the worst single-day performance in GS Score history.

Information Technology (1st) and Health Care (3rd) continued their long-time status among the top-three-rated sectors (out of eleven broad sectors). Communication Services bumped up to 2nd from 4th; it has not been among the top three since September. Consumer Discretionary moved down one spot to 4th. That sector has been rotating in-and-out of the top-three zone on a regular basis. This is the eighth consecutive month with Real Estate, Energy, and Utilities sharing the bottom-three sector ranks.

AdvantHedge was down 6.9% in December. It trailed the inverse S&P 500 (-3.8%), but outperformed the inverse Russell 2000 (-8.7%).

The Leuthold Core and Global Portfolios both performed well during the market rally that continued in December. Equities, Fixed Income, and Alternatives were all positive contributors to performance.

The November 9th Pfizer vaccine news compressed an entire Momentum reversal into one historic day. Factor performance easily broke records looking back over our entire history of data. While great news for the general public, it was awful news for Momentum indicators.

We saw only slight movement among the sector rankings. Health Care, Information Technology, and Consumer Discretionary remained the top-three rated sectors (out of eleven total). The biggest movers this month were (1) Financials moving from the 8th spot to 6th, and (2) Industrials swapping from 6th to 8th. The bottom-three rated sectors, Real Estate, Energy, and Utilities are the same as last month, with Energy returning to the bottom.

AdvantHedge was down 17.2% in November. It trailed the inverse S&P 500 (-11.0%), but outperformed the inverse Russell 2000 (-18.4%).

The Leuthold Core and Global Portfolios were both sharply higher in November; both had strong underlying equity gains and positive fixed income returns. 

If Momentum and Growth investors thought they were escaping 2020 unscathed, they learned otherwise on Monday. Pfizer’s promising news about a COVID-19 vaccine was met with universal excitement and investors rearranging portfolios—taking gains in long-term winners and plowing into beaten-down cyclical stocks. 

FAANG has dramatically outperformed Large Cap Growth the past ten years, but is has become cheaper and slightly less growth-oriented in the process. We examine the extent FAANG performance has carried through to the rest of the Large Cap Growth universe and how to get growth without them.

FAANG has dramatically outperformed Large Cap Growth the past ten years, but is has become cheaper and slightly less growth-oriented in the process. We examine the extent FAANG performance has carried through to the rest of the Large Cap Growth universe and how to get growth without them.

There continues to be little movement among the sector rankings. While Health Care, Information Technology, and Consumer Discretionary remained the top-three rated sectors (out of eleven total), Consumer Staples and Communication Services swapped spots this month and moved into 4th and 5th, respectively. The bottom-three rated sectors, Real Estate, Energy, and Utilities are the same as last month, with Energy returning to the bottom.

AdvantHedge was down 0.3% in October. It trailed the inverse S&P 500 (+2.7%), but outperformed the inverse Russell 2000 (-2.1%).