US Sentinel - May 2020 Update

Yesterday was a rebalancing day for the US Sentinel strategy. All 13F have been filled & published on the SEC Edgar website on Friday. We took this opportunity to review the year-to-date performance of this portfolio. How did the strategy hold during the recent market turmoil?

Metrics S&P500 TR Custom Benchmark US Sentinel
YTD Return -7.60% -13.61 -0.90%
Max Drawdown -33.79% -37.19 -34.88%

Although having suffered a similar drawdown, the return differential with the S&P 500 is a good +6.7% in favor of the strategy. When compared to our custom benchmark (which is a 50% S&P 500, 50% Russell 2000 rebalanced quarterly the same day of the strategy rebalancing) the outperformance is 12.7%.

One explanation could be a similar overreaction by market participants to bad news related to coronavirus & a subsequent stronger rebound for good companies once the dust settled. We strongly believe that the starting universe of the US Sentinel strategy, based on the top holdings of more than 100 carefully selected funds makes a difference here.

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