FACTOR SCOREBOARD

Counterpoint Mutual Funds’ factor scoreboard displays returns to hypothetical stock portfolios with exposure to different investment anomalies, or factors. This is an informational resource only. The below factor category returns do not represent returns of holdings of Counterpoint’s Tactical Equity and Long-Short Equity funds.

We compute factor categories by blending returns of individual factors in an equal-weighted manner. Counterpoint uses these individual factors as early-stage inputs to its equity funds’ market-neutral models. These returns are meant to give investors an indication of what is happening to broad factor return categories for various time frames. While these are not returns to Counterpoint’s funds, there may be a correlation between performance on the Factor Scoreboard and the funds’ market-neutral component.

1 Day Return

North America Factor Category Returns

 Quintile 1 (Short)Quintile 5 (Long)Q5 - Q1
Quality-0.12%-0.27%-0.15%
Momentum-0.10%-0.60%-0.50%
Sentiment-0.25%-0.31%-0.06%
Valuation-0.30%-0.18%0.12%
Stability-0.44%0.02%0.46%
As of 05-25-18

Europe Factor Category Returns

 Quintile 1 (Short)Quintile 5 (Long)Q5 - Q1
Quality-0.04%-0.03%0.01%
Momentum-0.02%-0.27%-0.25%
Sentiment-0.41%0.04%0.45%
Valuation-0.16%0.02%0.18%
Stability-0.26%0.11%0.37%
As of 05-25-18

Asia Factor Category Returns

 Quintile 1 (Short)Quintile 5 (Long)Q5 - Q1
Quality-0.76%-0.97%-0.21%
Momentum-1.18%-1.11%0.07%
Sentiment-0.37%-0.77%-0.40%
Valuation-1.00%-1.14%-0.14%
Stability-1.93%-0.25%1.68%
As of 05-25-18

5 Day Return

North America Factor Category Returns

 Quintile 1 (Short)Quintile 5 (Long)Q5 - Q1
Quality0.22%-0.31%-0.53%
Momentum-0.29%-0.53%-0.24%
Sentiment-0.64%-0.15%0.49%
Valuation-0.25%-0.39%-0.14%
Stability-0.44%0.56%1.00%
As of 05-25-18

Europe Factor Category Returns

 Quintile 1 (Short)Quintile 5 (Long)Q5 - Q1
Quality-0.87%-0.96%-0.09%
Momentum-1.14%-1.01%0.13%
Sentiment-2.77%-0.77%2.00%
Valuation-0.99%-1.59%-0.60%
Stability-1.58%-0.72%0.86%
As of 05-25-18

Asia Factor Category Returns

 Quintile 1 (Short)Quintile 5 (Long)Q5 - Q1
Quality-0.30%-0.36%-0.06%
Momentum-1.20%-0.31%0.89%
Sentiment0.28%-1.07%-1.35%
Valuation0.96%-2.49%-3.45%
Stability0.12%-1.43%-1.55%
As of 05-25-18

Month To Date

North America Factor Category Returns

 Quintile 1 (Short)Quintile 5 (Long)Q5 - Q1
Quality5.85%5.61%-0.24%
Momentum3.79%7.09%3.30%
Sentiment3.54%6.17%2.63%
Valuation6.91%2.45%-4.46%
Stability10.68%1.80%-8.88%
As of 05-25-18

Europe Factor Category Returns

 Quintile 1 (Short)Quintile 5 (Long)Q5 - Q1
Quality1.24%1.82%0.58%
Momentum0.34%3.38%3.04%
Sentiment-1.29%2.54%3.83%
Valuation2.77%-1.18%-3.95%
Stability4.48%0.32%-4.16%
As of 05-25-18

Asia Factor Category Returns

 Quintile 1 (Short)Quintile 5 (Long)Q5 - Q1
Quality2.10%2.25%0.15%
Momentum0.12%3.64%3.52%
Sentiment0.72%2.21%1.49%
Valuation4.55%-1.18%-5.73%
Stability5.98%-1.25%-7.23%
As of 05-25-18

Category Definitions

Quality – Rankings based on financial statement quality characteristics, e.g. Asset Growth and Profitability anomalies.

Momentum – Rankings based on historical market returns that have predictive characteristics.

Sentiment – Rankings reflect indicators of outlook such as revisions to analyst estimates of future earnings, share issuance changes, or measures of short interest and demand in the share lending market.

Valuation – Rankings based on measures of company valuation such as price/sales ratio, and prices/earnings ratio.

Stability – Rankings based on measures of underlying company risk, such as volatility or beta.

Methodology

The rankings used to group periodic returns are re-calculated daily based on live market and financial data, and factor category returns are based on live changes in ranking.

The above factor returns are grouped by quintiles. The 1st quintile (Q1) represents the average daily return of the lowest 20% ranking companies (potential shorts) for the category. The 5th quintile (Q5) represents the average periodic return for the top 20% ranking companies (potential longs) within the same category.  Q5-Q1 is the periodic return to a theoretical portfolio that is long all of the top ranked companies and short the lowest ranked companies within the category. This represents an attempt to capture the spread in performance between “good” and “bad” companies. These return calculations assume no transaction costs or market frictions.  These returns do not represent the returns of the Funds’ models. They represent raw factor category returns, and are unoptimized long-short returns determined with no consideration of market beta or industry exposure.

DISCLOSURES

These funds invest in stocks chosen by a set of machine-learning models that use the factors within these broad category rankings as an input component, but may invest outside of the top and bottom quintiles for any individual factor or factor category as it balances the interactions between many factors simultaneously.Counterpoint collects market, fundamentals, and other financial data from S&P Global Market Intelligence to analyze a tradeable universe of approximately 8000 global stocks. For each stock, Counterpoint ranks individual factor exposures based on academic research. Counterpoint then takes the average return for the evaluation period within each ranking quintile, and then further averages that return across multiple factors within a category to produce a factor category return as displayed above. The individual factors within the above factor categories are actual factors that Counterpoint’s model considers in its aggregate scoring process.

There is no guarantee that any investment strategy will achieve its objectives, generate profits or avoid losses.

Copyright © 2017, S&P Global Market Intelligence (and its affiliates, as applicable).  Reproduction of any information, data or material, including ratings (“Content”) in any form is prohibited except with the prior written permission of the relevant party. Such party, its affiliates and suppliers (“Content Providers”) do not guarantee the accuracy, adequacy, completeness, timeliness or availability of any Content and are not responsible for any errors or omissions (negligent or otherwise), regardless of the cause, or for the results obtained from the use of such Content.  In no event shall Content Providers be liable for any damages, costs, expenses, legal fees, or losses (including lost income or lost profit and opportunity costs) in connection with any use of the Content.  A reference to a particular investment or security, a rating or any observation concerning an investment that is part of the Content is not a recommendation to buy, sell or hold such investment or security, does not address the suitability of an investment or security and should not be relied on as investment advice. Credit ratings are statements of opinions and are not statements of fact.


Mutual Funds involve risk including the possible loss of principal. The use of leverage by the Funds, such as borrowing money to purchase securities or the use of derivatives, will indirectly cause the Fund to incur additional expenses and magnify the Fund’s gains or losses. A higher portfolio turnover will result in higher transactional and brokerage costs. Derivative instruments involve risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments.

Investors should carefully consider the investment objectives, risks, charges and expenses of the Counterpoint Tactical Equity Fund and Counterpoint Long-Short Equity Fund. This and other important information about the Funds is contained in the prospectus, which can be obtained at counterpointmutualfunds.com or by calling 844-273-8637. The prospectus should be read carefully before investing. The Counterpoint Tactical Equity Fund and Long-Short Equity Fund are both distributed by Northern Lights Distributors, LLC member FINRA/SIPC.
4223-NLD-2/16/2018
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