Research.LeutholdGroup

The Major Trend Index reading deteriorated to Negative in early October and remained there throughout the month.

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The Major Trend Index fell to Negative with the latest reading, after spending the last nine months within the Neutral zone.  With the valuation, cyclical, and sentiment components already negative, recent deterioration of market technicals was enough to move the MTI lower. 

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The Core Fund was down 1.1% in August, as equities and fixed income both posted negative returns for the month. 

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Core was up 1.5% in July, as positive performance from equities was supplemented by positive contributions from commodity and fixed income holdings.

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The Major Trend Index currently sits at Neutral, with negative readings from the Valuation, Cyclical, and Sentiment categories offset by the Technical category that, while positive, isn’t as strong as we would expect given the rally since last October. Our tactical accounts are positioned accordingly with net equity exposure at 53%, near the middle of our typical 30-70% range. 

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The Core Strategy was down 0.7% in May.  Long equities were lower for the month (see description below), along with the fixed income and alternatives holdings. 

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The Core Fund was up 0.7% in April as the equity, fixed income, and alternative allocations all turned in positive performance for the month.

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Major Trend Index Negative: Net Equity Exposure 38%

The Major Trend Index remains in Negative territory, with the sole improvement, of late, coming from the Sentiment segment—which is no surprise given recent price action. Other categories continue to paint a bearish picture, with deteriorating monetary conditions, poor market action, and valuations not yet reflecting historical lows. 

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AdvantHedge has performed better than the inverse S&P 500 and the inverse Russell 2000. Markets cascaded lower during the month as hotter than expected inflation reports pushed expectations higher as far as future Fed rate hikes.

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Both the Leuthold Core and Leuthold Global portfolios did a good job mitigating losses during the August selloff thanks to low equity exposure and relative outperformance from the stock holdings.

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AdvantHedge was up 3.5% in August, trailing the inverse S&P 500 (+4.1%), but ahead of the inverse Russell 2000 (+2.1%). It was a tale of two halves for this equity hedge last month.

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Both the Leuthold Core and Leuthold Global portfolios participated in July’s equity rally, but lagged their all-equity benchmarks.

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AdvantHedge was down 10.1% in July, trailing the inverse S&P 500 (-9.2%), but ahead of the inverse Russell 2000 (-10.4%).

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Both the Leuthold Core and Leuthold Global portfolios saw negative performance in June, as the underlying equity portfolios underperformed their benchmarks. Fixed income and gold also sold off.

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AdvantHedge was up 7.5% in June, trailing the inverse S&P 500 (+8.3%), and the inverse Russell 2000 (+8.2%).

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In May the Leuthold Core and Global portfolios both outperformed their benchmarks (which were flat), due to strong performance from their underlying equity strategies.

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AdvantHedge was up 3.1% in May, ahead of the inverse S&P 500 (-0.2%), and the inverse Russell 2000 (-0.2%). Although the overall market ended the month flat, this equity hedge still succeeded in identifying pockets of weakness.

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The Leuthold Core and Global portfolios were down in April, but held up well relative to the selloff in the broad equity market.

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AdvantHedge was up 10.6% in April, ahead of the inverse S&P 500 (+8.7%), and the inverse Russell 2000 (+9.9%). After a brief bounce during the second half of March, the selloff in growth stocks—both profitable and unprofitable—accelerated during April.

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The Leuthold Core and Global portfolios treaded water in March; their equity positions lagged the market move higher, and fixed income continued to trade lower.

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