Strategy Review – May 2026
(Market Data as of 05/31/2026)
Monthly Strategy Commentary
By Kensington Asset Management Team
MARKET BACKDROP
May generally saw stronger performance in higher-risk assets. An artificial intelligence-led equity rally contributed to higher major indices even as a global bond selloff and an energy-driven inflation scare tested the rate environment, with late-month diplomacy and a softer inflation print easing pressure into month end.
Against that backdrop, our strategies navigated a market that favored growth equities and penalized duration. The sections that follow detail how each strategy was positioned and what we are watching as we move into June.
MANAGED INCOME STRATEGY
Author: Kensington Asset Management PM Team
| May 2026 | YTD | 1 Year | 3 Years | 5 Years | 10 Years | Since Inception | |
| Kensington Managed Income Strategy (*Gross) | 0.73% | 2.40% | 8.76% | 6.93% | 2.92% | 4.65% | 8.24% |
| Kensington Managed Income Strategy (**Net 3%) | 0.48% | 1.14% | 5.54% | 3.76% | -0.12% | 1.56% | 5.04% |
| Bloomberg US Agg Bond TR USD | 0.31% | 0.38% | 5.13% | 3.95% | 0.17% | 1.70% | 2.94% |
Inception date: 12/31/2007 (Returns exceeding one year are annualized.)
Managed Income Strategy returned 0.73% gross (0.48% net) for the month of May. Bonds across the spectrum delivered modest returns as investors weighed ongoing geopolitical and inflation risks, with the Iran conflict yet to reach a resolution. Rising energy prices fanned inflation concerns and pressured the middle of the Treasury curve, which produced a slightly negative return. US high yield outpaced investment grade, supported by strong economic results and low concern over defaults.
The Strategy remained fully Risk-On throughout the month, keeping its focus on US high yield corporates with satellite positioning in multisector assets.
Looking ahead, we believe bond valuations will remain relatively expensive compared with historical averages. As a result, we anticipate the primary return driver for the Strategy will remain the yield generated by the underlying holdings in the short term.
CREDIT OPPORTUNITIES STRATEGY
Author: Kensington Asset Management PM Team
| May 2026 | YTD | 1 Year | 3 Years | Since Inception | |
| Kensington Credit Opportunities Strategy (*Gross) | 0.21% | 0.11% | 4.52% | 5.34% | 5.29% |
| Kensington Credit Opportunities Strategy (**Net 3%) | -0.05% | -1.12% | 1.44% | 2.23% | 2.18% |
| Bloomberg US Agg Bond TR USD | 0.31% | 0.38% | 5.13% | 3.95% | 3.28% |
Inception date: 08/31/2022 (Returns exceeding one year are annualized.)
Credit Opportunities Strategy returned 0.21% gross (-0.05% net) for the month of May, a slight positive return broadly in line with its benchmark. As market participants wrestled with the prospect of rising inflation, the Strategy maintained a conservative posture and a relatively low duration profile.
At month end, the Strategy was approximately 75% invested in Treasuries of varying durations, with an emphasis on the shorter end of the curve, and the remainder held in investment grade collateralized bonds.
Despite another positive month for US high yield, the Credit Opportunities model has not recommended adding the asset class back to the portfolio at this time. We continue to evaluate conditions and, should risk subside, anticipate the model adding other asset classes. Current modeling suggests most segments of the bond market are positioned to produce muted returns in the short term, particularly if inflationary pressure remains elevated.
DYNAMIC ALLOCATION STRATEGY
Author: Kensington Asset Management PM Team
| May 2026 | YTD | 1 Year | 3 Years | 5 Years | 10 Years | Since Inception | |
| Kensington Dynamic Allocation Strategy (*Gross) | 7.68% | 18.70% | 39.58% | 23.31% | 14.89% | 19.34% | 18.04% |
| Kensington Dynamic Allocation Strategy (**Net 3%) | 7.40% | 17.24% | 35.46% | 19.67% | 11.50% | 15.81% | 14.55% |
| S&P 500 TR USD | 5.26% | 11.27% | 29.78% | 23.61% | 14.15% | 15.65% | 14.07% |
Inception date: 12/31/2014 (Returns exceeding one year are annualized.)
Dynamic Allocation Strategy returned 7.68% gross (7.40% net) for the month of May, outpacing its benchmark. Domestic equity indices continued to deliver despite concerns over elevated interest rates and energy prices. The technology-heavy Nasdaq Composite advanced nearly 9% as investors turned their attention back to AI-driven leadership.
Corporate earnings remained strong, propelling most equity indices to fresh all-time highs. As of month end, the S&P 500 had recorded nine consecutive positive weeks, an occurrence seen only four times in the previous 40 years, as companies tied to digital infrastructure broadly exceeded earnings estimates and carried the rally higher.
The Strategy remained in a bullish stance during the month, with the majority of the portfolio allocated to large-cap growth. As a result, the Strategy outpaced its benchmark, the S&P 500. Looking ahead, equity markets remain dependent on the path of inflation, interest rates, and corporate earnings, though the current backdrop continues to support participation.
ACTIVE ADVANTAGE STRATEGY
Author: Kensington Asset Management PM Team
| May 2026 | YTD | 1 Year | 3 Years | Since Inception | |
| Kensington Active Advantage Strategy (*Gross) | 4.25% | 11.20% | 22.94% | 14.29% | 7.70% |
| Kensington Active Advantage Strategy (**Net 3%) | 3.99% | 9.83% | 19.31% | 10.91% | 4.52% |
| S&P 500 TR/Bloomberg US Agg Bond TR 50-50 | 2.79% | 5.87% | 17.05% | 13.56% | 6.41% |
Inception date: 12/31/2021 (Returns exceeding one year are annualized.)
Active Advantage Strategy returned 4.25% gross (3.99% net) for the month of May, relative to its benchmark, a 50/50 blend of the S&P 500 and the Bloomberg US Aggregate Bond Index. The Strategy remained fully invested, continuing to hold a balanced mix of equities and fixed income.
The increased large-cap growth exposure added in the prior month continued to contribute positively, and international equities stood out as the AI trade resumed. On the fixed income side, the international theme persisted, with emerging market positions outperforming US bonds, while multisector bonds also contributed.
We anticipate the Strategy will remain risk-seeking in the short term. At the same time, we see a scenario in which bond yields and energy prices remain higher for longer. In our view, the summer months will be critical in determining whether these risks are sufficient to outweigh the recent gains made across the technology sector.
DEFENDER STRATEGY
Author: Elio Chiarelli, PhD, AIF – Lead Portfolio Manager, Liquid Strategies
| May 2026 | YTD | 1 Year | Since Inception | |
| Kensington Defender Strategy (*Gross) | 1.91% | 12.51% | 25.96% | 12.53% |
| Kensington Defender Strategy (**Net 3%) | 1.65% | 11.13% | 22.24% | 9.21% |
| Morningstar Global 60/40 NR USD | 3.12% | 7.64% | 18.97% | 14.30% |
Inception date: 05/31/2023 (Returns exceeding one year are annualized.)
The Kensington Defender Strategy delivered a positive return in May (1.91% gross / 1.65% net) as global equity markets continued their advance despite persistent geopolitical uncertainty, elevated interest rates, and ongoing inflation concerns. Investor sentiment remained constructive, supported by strong corporate earnings, resilient economic data, and continued enthusiasm surrounding artificial intelligence. The S&P 500 gained more than 5% during the month, while the technology-heavy Nasdaq 100 advanced further, reflecting continued leadership from large-cap growth and the semiconductor sector.
Within the portfolio, exposures to gold, commodities, US small caps, emerging markets, the Nasdaq 100, and Japan all contributed to positive results. International equities benefited from improving relative momentum, while US small caps participated in the broader Risk-On environment. Commodities remained supported by geopolitical tensions in the Middle East and concerns over global energy supplies. Gold experienced periods of volatility but continued to serve its intended role as a portfolio diversifier amid elevated macroeconomic uncertainty. The portfolio maintained a slightly defensive posture relative to its maximum risk allocation, consistent with the Strategy’s focus on risk management and capital preservation alongside participation in advancing markets.
Economic data released during the month remained generally supportive of risk assets. Corporate earnings continued to exceed expectations, labor markets remained resilient, and investors increasingly focused on the durability of economic growth rather than recession concerns. At the same time, inflation remained above central bank targets and geopolitical risks continued to influence commodity markets and sentiment.
As we move into June, the Strategy’s quantitative models continue to identify favorable risk-adjusted opportunities across global markets, and positioning is expected to become more constructive toward risk assets. Consistent with the Strategy’s disciplined, momentum-driven process, exposure to gold is expected to be reduced and reallocated toward the S&P 500, where relative strength and earnings momentum remain compelling. Our focus remains unchanged: actively managing risk, seeking to participate in sustained market advances, and maintaining an a portfolio structure designed to improve resilience during periods of elevated volatility and larger drawdowns.
HEDGED PREMIUM INCOME STRATEGY
Author: Shawn Gibson – CIO, Lead Portfolio Manager, Liquid Strategies
| May 2026 | YTD | 1 Year | Since Inception | |
| Hedged Premium Income Strategy (*Gross) | 2.79% | 6.10% | 17.26% | 14.15% |
| Hedged Premium Income Strategy (**Net 3%) | 2.53% | 4.79% | 13.80% | 10.77% |
| S&P 500 TR USD | 5.26% | 11.27% | 29.78% | 21.42% |
Inception date: 10/31/2023 (Returns exceeding one year are annualized.)
For the month of May, the S&P 500 Index continued its strong move higher, gaining another 5.26%. The Hedged Premium Income Strategy captured some appreciation above the premium income produced from its call spreads, generating a return of 2.79% gross (2.53% net) for the month.
At the May 15th expiration, the Strategy sold a new income-producing call spread, collecting 1.56% in new monthly premium. By the month’s end, the Index had continued moving higher and finished approximately 2.32% into the income spread. Despite moving the protective downside buffer up by roughly 600 basis points in late April, the Index finished about 12% above the long put that expires on June 18th. Given how far below the market that position now sits, it would require a dramatic decline in the market for it to add any value. Both the income spread and the downside hedges will be reset at the close on June 18th.
Disclaimers:
Investing involves risk, including loss of principal. Past performance does not guarantee future results. There is no guarantee any investment strategy and/or diversification will generate a profit or prevent a loss. Targeted distributions are not guaranteed.
*Gross returns do not include the deduction of transaction costs and are shown as supplemental information.
**Net performance values and statistics reflect the deduction of model fees of 3% as the highest possible fee that would be charged to an investor and may not reflect actual deducted fees.
This is for informational purposes only and is not a recommendation nor solicitation to buy, sell or invest in any investment product or strategy. Our materials may contain information deemed to be correct and appropriate at a given time but may not reflect our current views or opinions due to changing market conditions. No information provided should be viewed as or used as a substitute for individualized investment advice. An investor should consider the investment objectives, risks, charges, and expenses of the investment and the strategy carefully before investing.
Any indices and other financial benchmarks shown are provided for illustrative purposes only, are unmanaged, reflect reinvestment of income and dividends and do not reflect the impact of advisory fees. Investors cannot invest directly in an index. Comparisons to indexes have limitations because indexes have volatility and other material characteristics that may differ from a particular strategy such as the types of securities being substantially different.
Kensington Asset Management, LLC (“KAM”) relies on third party sources for some of its information that we believe is reliable. However, we make no representation, warranty, endorse or affirm as to its accuracy or completeness. The information provided is current as of the date of publication and may be subject to change. We are not responsible for updating this information to reflect any subsequent developments or events.
Certain information contained herein constitutes “forward-looking statements,” which can be identified using forward-looking terminology such as “may,” “will,” “should,” “expect,” “anticipate,” “project,” “estimate,” “intend,” “continue,” or “believe,” or the negatives thereof or other variations thereon or comparable terminology. Due to various risks and uncertainties, actual events, results, or actual performance may differ materially from those reflected or contemplated in such forward looking statements. Nothing contained herein may be relied upon as a guarantee, promise, assurance, or a representation as to the future.
Advisory services offered through Kensington Asset Management, LLC, Barton Oaks Plaza, Bldg II, 901 S Mopac Expy – Ste 225, Austin, TX 78746. Liquid Strategies, LLC, serves as a Sub Advisor for the Kensington Defender Strategy and investment adviser to Hedged Premium Income Strategy. Liquid Strategies, LLC is not affiliated with KAM. Xtollo Investment Partners, LLC (“XIP”) promotes KAM strategies and funds and receives compensation for these activities, which creates a conflict of interest. XIP is not a registered investment adviser or broker-dealer.
Important Disclosures | Glossary
Kensington Asset Management claims compliance with the Global Investment Performance Standards (GIPS®). For performance, GIPS compliance disclosures and important risks about the investment strategies, visit:
Managed Income Strategy | Credit Opportunities Strategy | Dynamic Allocation Strategy | Active Advantage Strategy | Defender Strategy
Hedged Premium Income Strategy
The Strategy invests in options that derive their performance from the performance of the S&P 500 Index. Selling (writing) and buying options are speculative activities and entail greater than ordinary investment risks. The Strategy’s use of put options can lead to losses because of adverse movements in the price or value of the underlying asset, which may be magnified by certain features of the options. When selling a put option, the Strategy will receive a premium; however, this premium may not be enough to offset a loss incurred by the Strategy if the price of the underlying asset is below the strike price by an amount equal to or greater than the premium. Purchased put options may expire worthless and the Strategy would lose the premium it paid for the option. The Strategy may lose significantly more than the premiums it receives in highly volatile market conditions.
The Strategy will invest in short term put options which are financial derivatives that give buyers the right, but not the obligation, to sell (put) an underlying asset at an agreed-upon price and date. The Strategy’s use of options may reduce the Strategy’s ability to profit from increases in the value of the underlying asset. The Strategy could experience a loss or increased volatility if its derivatives do not perform as anticipated or are not correlated with the performance of their underlying asset or if the Strategy is unable to purchase or liquidate a position.
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