Core Composite Strategy
| AUGUST 2023 | 2ND QTR | YTD | 1-YR | 3-YR | 5-YR | 10-YR | 15-YR | 20-YR | 25-YR | SINCE INCEP 06/01/87 | |
|---|---|---|---|---|---|---|---|---|---|---|---|
| GROSS OF FEES | -1.07% | 4.67% | 7.78% | 10.95% | 7.07% | 6.58% | 7.66% | 5.93% | 7.95% | 8.65% | 9.60% |
| NET OF FEES | -1.12% | 4.52% | 7.36% | 10.31% | 6.44% | 5.95% | 6.99% | 5.25% | 7.23% | 7.89% | 8.81% |
| S&P 500 | -1.59% | 8.74% | 18.73% | 15.94% | 10.52% | 11.12% | 12.81% | 10.95% | 9.93% | 8.40% | 10.21% |
| 50% S&P 500/50% GLOBAL AGG. | -1.46% | 3.54% | 9.56% | 8.03% | 2.27% | 5.42% | 6.70% | 6.68% | 6.74% | 6.67% | NA |
| BARCLAYS GLOBAL AGGREGATE | -1.37% | -1.53% | 0.74% | -0.09% | -6.12% | -1.21% | 0.06% | 1.40% | 2.59% | 3.08% | NA |
The Major Trend Index composite reading was downgraded from High Neutral to Neutral in August, as negative price action caused deterioration within the Technical category. Still the only positive portion of the index, any further weakening in that category would quickly lead more downgrades in the overall composite. Due to this month’s downgrade equity exposure was reduced to 50% from 52-54%.
The Core Portfolio was down 1.1% in August, as equities and fixed income both posted negative returns for the month.
Select Industries Composite Strategy
| AUGUST 2023 | 2ND QTR | YTD | 1-YR | 3-YR | 5-YR | 10-YR | 15-YR | 20-YR | 25-YR | SINCE INCEP 01/01/96 | |
|---|---|---|---|---|---|---|---|---|---|---|---|
| GROSS OF FEES | -2.00% | 8.77% | 14.60% | 18.26% | 13.80% | 11.00% | 13.12% | 9.38% | 11.40% | 13.34% | 14.08% |
| NET OF FEES | -2.08% | 8.50% | 13.83% | 17.09% | 12.66% | 9.89% | 11.99% | 8.42% | 10.44% | 12.35% | 13.07% |
| S&P 500 | -1.59% | 8.74% | 18.73% | 15.94% | 10.52% | 11.12% | 12.81% | 10.95% | 9.93% | 8.40% | 9.48% |
| {S&P 400 MIDCAP INDEX | -2.89% | 4.85% | 10.06% | 10.71% | 12.83% | 6.97% | 10.09% | 9.87% | 10.10% | 10.93% | 11.00% |
| LIPPER MULTI-CAP CORE | -1.93% | 7.49% | 16.37% | 14.61% | 9.72% | 9.41% | 11.02% | 9.68% | 9.19% | 8.14% | 8.74% |
Select Industries fell 2.0% in August, slightly lagging the S&P 500, but outperforming mid and small-cap benchmarks. Growth-oriented group holdings from Info Tech (Internet Services & Infrastructure, Big Tech) held up well during the down month, while cyclical group holdings (Semiconductor Equipment, Homebuilding) trailed. Avoiding defensive sectors like Utilities and Consumer Staples was helpful from a relative perspective as rising interest rates continue to be a headwind for these sectors, leading to underperformance in up and down months.
Select Industries has overweight positions in Consumer Discretionary, Information Technology, Industrials, and Materials. The portfolio has no exposure to Consumer Staples, Real Estate, or Utilities.
The average holding period for the groups in the SI portfolio is currently 15 months, but there’s a wide variance from group to group: Managed Health Care has been a position for 166 months, while Internet Services & Infrastructure is just a two-month constituent, thus far. One feature of the SI process is finding themes, like Managed Health Care, that develop from ignored pockets of the market into long-term successes. Semiconductor Equipment is another good example: Purchased just over seven years ago, the industry has gone from highly cyclical to an integral part of the economic supply chain; with more stable revenue and earnings, Semi-Equip stocks have produced massive returns for shareholders along the way.
AdvantHedge Composite Strategy
| AUGUST 2023 | 2ND QTR | YTD | 1-YR | 3-YR | 5-YR | 10-YR | 15-YR | 20-YR | 25-YR | SINCE INCEP 11/01/90 | |
|---|---|---|---|---|---|---|---|---|---|---|---|
| GROSS OF FEES | 5.50% | -6.10% | -14.92% | -12.88% | -11.25% | -15.22% | -13.58% | -14.77% | -11.41% | -8.61% | -7.86% |
| NET OF FEES | 5.39% | -6.40% | -15.66% | -13.99% | -12.35% | -16.28% | -14.58% | -15.77% | -12.50% | -9.71% | -8.91% |
| S&P 500 | -1.59% | 8.74% | 18.73% | 15.94% | 10.52% | 11.12% | 12.81% | 10.95% | 9.93% | 8.40% | 10.60% |
| S&P 400 MIDCAP INDEX | -2.89% | 4.85% | 10.06% | 10.71% | 12.83% | 6.97% | 10.09% | 9.87% | 10.10% | 10.93% | NA |
| LIPPER DEDICATED SHORT BIAS | 2.84% | -7.30% | -17.84% | -18.72% | -18.23% | -20.20% | -20.21% | -19.83% | -16.70% | NA | NA |
The AdvantHedge strategy was up 5.5% in August, taking full advantage of the drawdown in equities. Underperformance from the unlikely pair of high beta stocks and traditionally defensive sectors (Utilities, Consumer Staples) was ideal as the strategy is overweight both segments. Stock selection within Health Care, Industrials, and Materials was also additive.
AdvantHedge is overweight Industrials, Materials, and Utilities. The strategy is underweight Information Technology, Communication Services, and Consumer Discretionary. Aerospace & Defense, Asset Management & Custody Banks, Health Care Equipment, and Systems Software are the largest industry exposures.
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