Research.LeutholdGroup

October brought mixed results across strategies. Core fell 1.6% as equities and fixed income declined, while Select Industries dropped 1.9%, hurt by earnings misses in sectors like Health Care and Semiconductors. AdvantHedge gained 1.2%, capitalizing on companies with negative earnings surprises.

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The Leuthold Core Fund's Major Trend Index improved to High Neutral due to better economic readings and bullish technical indicators, overriding high valuations and elevated sentiment. As a result, net equity exposure in the Core fund increased to 55%. The Core composite rose 1.0% in September from gains in both fixed income and equity holdings.

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The Major Trend Index has oscillated within the Neutral range throughout 2024, moving back and forth between High Neutral and Neutral earlier on, and more recently between Neutral and Low Neutral.  Standing at Low Neutral today, the exact reading in the MTI within this range is less important than the trend, which has shifted to Neutral and below with recent economic data and weaker equity prices.

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The Major Trend Index further deteriorated during July, going from Neutral down one notch to Low Neutral.  The Technical category - long the positive counterweight to the negative readings within the Valuation, Cyclical, and Sentiment categories – was downgraded as large-cap indexes retreated from their mid-month all-time highs.

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The Core composite was up 0.1% in June. Narrow mega-cap leadership continues to negatively impact our all-cap equity approach on a relative basis, but short positions have performed well, providing strong positive long – short performance for the month and year-to-date.

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The Major Trend Index remains at High Neutral, after improving one notch from Neutral in mid-May.  The primary driver for the upgrade, the Technical category, is also the main threat to the MTI maintaining its slightly positive stance.

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Net equity exposure in the Core strategy is currently 56% - above our typical 50% midpoint as the market has moved higher while the MTI was recently in High Neutral.

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The Core composite gained 2.7% in March with outperformance from the equity positions, both long and short, helping the fund participate in another strong month for equities. 

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The Major Trend Index continues to sit at High Neutral, with strong market action continuing to override concerns among the other indicators (Valuations, Economy, Sentiment).  With the MTI on the positive side of Neutral and market action increasing the value of long positions, current equity exposure now sits at 56%.

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The Core composite gained 1.3% in January. Among the underlying holdings, excellent long-short performance offset negative returns from the fixed income allocation.

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The Core Strategy gained 3.8% in December as both equities and fixed income positions closed out the year with large gains.

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The equity rally during November was strong enough to push the Major Trend Index back into Neutral territory, as the increasingly positive Technical components serve to offset bearish Valuation and Cyclical category readings. 

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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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