Algorithmic Portfolio Management. Innovative alternative to traditional Buy and Hold strategies

Transcription

1 Algorithmic Portfolio Management Innovative alternative to traditional Buy and Hold strategies

2 Introduction ABARIS is an independent asset management firm that is positioned to manage portfolios for financial advisors, family offices, institutional investors and high net worth clients. Our investment team has the insight, knowledge and experience to help you lay a firm foundation for your financial success. Our team has reengineered portfolio design and construction and has many years of experience managing portfolios and working in partnership with clients and their financial advisors. We take pride in our independence, objectivity and focus on doing what is best for our clients. Our firm is majority owned and controlled by management. We serve as fiduciaries, which means we put our clients interests before our own. We show our confidence in the advice we offer by investing our own money using the same strategies. We are guided by our time-tested investment philosophy in helping our clients reach their unique set of goals. Through our people and our process, we offer a proven approach to helping you reach your long-term financial goals.

3 ABARIS ACHIEVES PSN TOP GUNS RANKING ABARIS's PSN Top Guns Strategies/Products for Q2 & Q3' 2013 Include: PSN Top Guns ABARIS Balanced 1 & 2 Stars US Balanced Universe (Q3' 2013) ABARIS Advantage 1 & 2 Stars Global Equity Universe (Q3' 2013) ABARIS Growth 1 & 2 Stars Global/Intl Balanced Universe (Q3' 2013) PSN Best of Best 1 & 2 Stars ABARIS Balanced - US Balanced Universe (Q3' 2013) ABARIS Advantage - Global Equity Universe (Q3' 2013) ABARIS Growth - Global/Intl Balanced Universe (Q3' 2013) PSN Top Guns ETF Categories ABARIS Balanced - 1 & 2 Stars - ETF US Balanced Universe (Q3' 2013) ABARIS Advantage - 1 & 2 Stars - ETF Global Equity Universe (Q3' 2013) ABARIS Growth - 1 & 2 Stars - ETF Global/Intl Balanced Universe (Q3' 2013) PSN Top Guns performance rankings are tabulated for thousands of strategies across 58 peer groups subdivided by increasingly rigorous screens and reported in ascending classes from 1-6 stars. Informa Investment Solutions, a subsidiary of Informa plc, is a leading provider of solutions and custom services to financial institutions and investment professionals. For over 30 years, Informa Investment Solutions has supplied valuable data and offered tailored performance measurement, wealth management tools, reporting, and communications solutions to brokerages, bank trusts, money management firms, investment consultancies, wealth managers, and pension plan sponsors. More information can be found at

4 Firm Background ABARIS Asset Management LLC (ABARIS) is a Registered Investment Advisory firm (RIA), registered with the State of Michigan in Neil Davis Principal and owner of NJD Financial is a financial advisor with over 26 years experience. Stan Saaker - Principal and owner of Abaris LLC is an entrepreneur and innovator with a background in Financial Investment Management and Information Technology. Stan develops proprietary investment strategies and automated algorithm based systems for investment management. Neil and Stan joined as founding partners in 2012 to start ABARIS Asset Management LLC., an Investment Advisory firm offering Asset Management Services. ABARIS will leverage their expertise to manage and deliver risk adjusted absolute returns. Live trading portfolios since 2012, Abaris has rapidly grown from 0 to over 25 million Assets under Management. ABARIS currently manages multiple exciting Products/Portfolios with top-quartile performance. Between the founding partners the new entity has over 50 years of investment management experience. Advisory services offered through ABARIS Asset Management LLC., a Registered Investment Adviser, registered with the State of Michigan. TD Ameritrade is the Custodian for ABARIS Asset Management Securities, where offered for sale by Mr. Davis, NJD Financial are offered through ProEquities, Inc., a registered broker-dealer and member FINRA/SIPC.

5 Founding Members Neil Davis began his career at Consolidated Financial Corporation(CFC). CFC was an innovative young company specializing in financial and retirement planning in the public sector. Neil played a key role in the growth of the company both as an individual producer as well as in marketing and broker continuing education. He became an equity partner just two years after joining the firm. At its peak. CFC managed over $ 1 billion for approx. 28,000 individuals. The company was sold to American Annuity Group in After fulfilling his post sale obligations to the new owners Neil left CFC to form NJD Financial. NJD Financial is an independent financial and retirement planning firm. Neil s broad knowledge of all aspects of financial and retirement planning allows him to guide his clients through the often complex world of financial products to create long term risk appropriate strategies. Prior to forming ABARIS Asset Management in January 2012, Neil often recommended Mutual Funds in an Asset allocation buy and hold strategy. It became increasingly difficult to achieve consistent positive returns due to the changing economic environment. Upon learning of the algorithmic system created by Stan Saaker in 2009, Neil spent three years studying this proprietary methodology and is excited to be a part of this unique approach to Asset Management. This innovative system allows us to merge traditional Asset allocation methods of diversity and risk control with active management. The innovative technology designed into ABARIS Algorithms is designed to produce positive risk appropriate returns with minimum drawdown. ABARIS has rapidly grown to over 25 million AUM, live trading multiple risk adjusted portfolios since Neil is a graduate of Michigan State University School of Business with a Bachelor of Science degree in Business Administration

6 Founding Members Stan Saaker is an Innovator, an Entrepreneur and Investor. Stan s educational background is in Industrial Engineering, Finance and Information Technology. He has considerable experience in business startups and industries promotion. He has successfully started several business ventures, developing an idea from scratch through successful implementation. Stan has been an investor/trader for over 25 years and with his knowledge of financial markets and expertise in computer systems, he has developed proprietary investment strategies and automated system that seek to offer investors the potential advantage of achieving high yield returns with reduced risk and volatility. Since 2000, Stan has been involved in Financial Services business. He has developed portfolio management and tracking system with a unique scientific approach and also designed and managed a wide spectrum of portfolios ranging from traditional to multi dimensional investment styles. His investment philosophy seeks to preserve and grow capital by producing absolute returns with reduced portfolio volatility and manageable risks and drawdown. His strategies have worked successfully in all markets conditions. Stan also has a successful track record of startup and management of IT consulting businesses. Stan expertise in the IT business focuses on delivery of large scale complex IT projects and enterprise systems, ERP/SCM/BPO and management consulting.

7 Investment Philosophy: ABARIS s portfolios seek to preserve and grow capital by producing absolute returns with reduced portfolio volatility and manageable risk and drawdown. ABARIS will invest in securities spanning all the major world asset classes including equities, bonds, real estate, commodities, ETFs and alternatives. ABARIS s strategy utilizes a quantitative approach with strict risk management controls to actively manage the portfolio in an attempt to control downside losses and protect capital. Wide diversification coupled with prudent portfolio management may allow ABARIS to perform in any economic environment. ABARIS seeks to offer investors the potential advantage of achieving equity-like returns with reduced risk and volatility.

8 ABARIS stands apart in a world dominated by large firms offering proprietary products and off the shelf solutions. We are nimble, agile and focused on one thing: helping you protect your wealth and grow your assets through the thoughtful and prudent management of your portfolio. ABARIS has adopted a scientific and proven approach to capital markets and portfolio management. Our mission is to utilize state-of-the-art portfolio design and execution to preserve and grow capital by producing absolute returns with reduced portfolio volatility and manageable risk and drawdown. ABARIS s algorithm based system provides clear direction and investment management guidance using real-time market data. We employ a pro-active approach to portfolio management, rather than the passive approach of buy and hold. Our technology solution provides our investment managers the knowledge and confidence they need to navigate successfully through volatile and rapidly changing market conditions.

9 Based on over 10 years of innovation and research we have designed and developed our algorithmic system with validation from investment managers and money managers, who have experienced severe market conditions first hand and know what can make a difference to their success and help deliver higher and better returns to their Clients. Our Portfolio selection is based on proprietary algorithm that takes into consideration several factors, including - market cap, performance, volume, volatility and liquidity. This is a continuous screening process and securities are rotated regularly based on selection criteria. Portfolio selection is based on fundamentals and execution is based on technical and prevailing market conditions. We build our portfolios to stand the test of time and survive volatile market conditions. We believe our investment approach, algorithmic system and customized services are truly "changing the game" in investment management.

10 ABARIS PORTFOLIO OFFERINGS BALANCED PORTFOLIO Long Only seeks current income and moderate growth. It invests primarily in ETF s across a wide range of asset classes and is globally diversified. To achieve its desired objectives this portfolio buys both long and inverse ETF s allowing it to hedge against declining market conditions. MODERATE PORTFOLIO Long Only seeks long term capital appreciation and to a lesser extent current income. It invests primarily in ETF s across a wide range of asset classes and is globally diversified. To achieve its desired objectives this portfolio buys both long and inverse ETF s allowing it to hedge against declining market conditions. GROWTH PORTFOLIO Long Only seeks long term capital appreciation. It invests primarily in ETF s across a wide range of asset classes and is globally diversified. To achieve its desired objectives this portfolio buys both long and inverse ETF s allowing it to hedge against declining market conditions. ADVANTAGE PORTFOLIO Long/Short seeks long term capital appreciation through a long/short trading strategy. It invests primarily in ETF s across a wide range of asset classes and is globally diversified. To achieve its desired objectives this portfolio takes both long and short positions. EQUITY PORTFOLIO Long/Short seeks long term capital appreciation through a long/short trading strategy. It invests primarily in individual equities across a wide range of asset classes and is globally diversified. To achieve its desired objectives this portfolio takes both long and short positions. CUSTOM PORTFOLIOS can be designed and constructed to clients specification and managed using our proprietary methodology.

11 Risk Disclosures The data provided here is for information and educational purposes only and contains no representation, warranties or guarantees of any kind. Nor should it be construed as an offer to Buy or Sell any security. Abaris Asset Management, its partners, owners, officers take no responsibility and liability for any losses incurred from the use of such strategies and systems. The Portfolio returns depicted in this presentation are a result of back testing. Back Testing is a key component of effective tradingsystem development. It is accomplished by reconstructing, with historical data, trades that would have occurred in the past using rules defined by a given strategy. The result offers statistics that can be used to gauge the effectiveness of the strategy. Hypothetical or simulated performance results have many inherent limitations. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown here. Clients should understand the inherent risks associated with any investment strategy to determine if the investment is appropriate. Past performance should not be considered as a guarantee for future results. Back Testing What is Back Testing - Back Testing takes actual historical data and processes this data through the algorithms to generate trade signals. These trades reflect the behavior of the algorithms as it would have occurred in live trading situations. However, several factors such as timing, market conditions and sentiment s, etc., cannot be factored in this testing and results can vary significantly. It is also important to note that in our back testing process historical price data is not manipulated or changed to generate favorable results. The Back testing feature provides a hypothetical calculation of how a security or portfolio of securities, would have performed over a historical time period according to the criteria defined in the trading strategy. Only securities that were in existence during the historical time period and that have historical pricing data are available for use in the Back testing feature. The feature has only a limited ability to calculate hypothetical trading commissions, and it does not account for any other fees or tax consequences that could result from a trading strategy. You should not assume that Back testing of a trading strategy will provide any indication of how your portfolio of securities, or a new portfolio of securities, might perform over time. You should choose your own trading strategies based on your particular objectives and risk tolerances. Be sure to review your decisions periodically to make sure they are still consistent with your goals. Past performance is not a guarantee of future results.

12 Performance Summaries ABARIS utilizes a proprietary algorithm based management system, proven over time and deployed to address the markets new reality of volatility and uncertainty. This is a new paradigm in money management. ABARIS portfolios seek to preserve capital by producing absolute returns with reduced volatility, manageable risk, and minimal drawdown. Our portfolio selection is based on fundamental analysis and focuses on risk tolerance levels We employ a pro-active approach to investment management, rather than the passive approach of buy and hold. The following performance summaries illustrate Back Testing Results of various portfolio for a 7 years period commencing January 1, The reports shown are from inception to the end of 4th Quarter ending December 31, ABARIS began trading live client accounts in some of our portfolios at the beginning of These reports are shown in a subsequent section of this presentation. Performance s used are explained on a Slide following these Factsheets. Past performance is no guarantee of future results.

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14 ABARIS BALANCED PORTFOLIO Performance s Period 1/1/ /31/2013 As of 12/31/2013 Group/Investment Return Alpha Beta Source: Morningstar Office 1 YR - 1/1/2013 to 12/31/2013 Drawdown R2 Sharpe Tracking Error Information Balanced Portfolio Benchmark 1: S&P 500 TR USD Benchmark 2: DJ Conservative TR USD Benchmrk 3: US ETF Conservative Alloc YR - 1/1/2011 to 12/31/2013 Sharpe Tracking Information Return Alpha Beta Drawdown R2 Error Balanced Portfolio Benchmark 1: S&P 500 TR USD Benchmark 2: DJ Conservative TR USD Benchmrk 3: US ETF Conservative Alloc YR - 1/1/2009 to 12/31/2013 Sharpe Tracking Information Return Alpha Beta Drawdown R2 Error Balanced Portfolio Benchmark 1: S&P 500 TR USD Benchmark 2: DJ Conservative TR USD Benchmrk 3: US ETF Conservative Alloc YR - 1/1/2007 to 12/31/2013 Return Alpha Beta Drawdown R2 Sharpe Tracking Error Information Balanced Portfolio Benchmark 1: S&P 500 TR USD Benchmark 2: DJ Conservative TR USD Benchmrk 3: US ETF Conservative Alloc.

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16 ABARIS MODERATE PORTFOLIO Performance s Period 1/1/ /31/2013 As of 12/31/2013 Group/Investment Return Alpha Beta Moderate Portfolio 1 YR - 1/1/2013 to 12/31/2013 Drawdown R2 Sharpe Tracking Error Information Benchmark 1: S&P 500 TR USD Benchmark 2: DJ Moderately Consv. TR Benchmark 3: US ETF Moderate Alloc YR - 1/1/2011 to 12/31/2013 Sharpe Tracking Information Return Alpha Beta Drawdown R2 Error Moderate Portfolio Benchmark 1: S&P 500 TR USD Benchmark 2: DJ Moderately Consv. TR Benchmark 3: US ETF Moderate Alloc YR - 1/1/2009 to 12/31/2013 Sharpe Tracking Information Return Alpha Beta Drawdown R2 Error Moderate Portfolio Benchmark 1: S&P 500 TR USD Benchmark 2: DJ Moderately Consv. TR Benchmark 3: US ETF Moderate Alloc YR - 1/1/2007 to 12/31/2013 Drawdown Sharpe Tracking Error Information Return Alpha Beta R2 Moderate Portfolio Benchmark 1: S&P 500 TR USD Benchmark 2: DJ Moderately Consv. TR Benchmark 3: US ETF Moderate Alloc. Source: Morningstar Office

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18 ABARIS GROWTH PORTFOLIO Performance s Period 1/1/ /31/2013 As of 12/31/ YR - 1/1/2013 to 12/31/2013 Sharpe Tracking Information Group/Investment Return Alpha Beta Drawdown R2 Error Growth Portfolio Bchmrk 1: S&P 500 TR USD Bchmrk 2: DJ Style US Growth Lge Cap Benchmark 3: US ETF World Allocation YR - 1/1/2011 to 12/31/2013 Sharpe Tracking Information Return Alpha Beta Drawdown R2 Error Growth Portfolio Bchmrk 1: S&P 500 TR USD Bchmrk 2: DJ Style US Growth Lge Cap Benchmark 3: US ETF World Allocation YR - 1/1/2009 to 12/31/2013 Sharpe Tracking Information Return Alpha Beta Drawdown R2 Error Growth Portfolio Bchmrk 1: S&P 500 TR USD Bchmrk 2: DJ Style US Growth Lge Cap Benchmark 3: US ETF World Allocation YR - 1/1/2007 to 12/31/2013 Return Alpha Beta Drawdown R2 Sharpe Tracking Error Information Growth Portfolio Bchmrk 1: S&P 500 TR USD Bchmrk 2: DJ Style US Growth Lge Cap Benchmark 3: US ETF World Allocation Source: Morningstar Office

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20 ABARIS ADVANTAGE PORTFOLIO Performance s Period 1/1/ /31/2013 As of 12/31/ YR - 1/1/2013 to 12/31/2013 Sharpe Tracking Information Group/Investment Return Alpha Beta Drawdown R2 Error Advantage Portfolio Bchmrk 1: S&P 500 TR USD Bchmrk 2: US ETF Long/Short Equity Bchmrk 3: Mngstar Gbl Long/Short Eqty YR - 1/1/2011 to 12/31/2013 Sharpe Tracking Information Return Alpha Beta Drawdown R2 Error Advantage Portfolio Bchmrk 1: S&P 500 TR USD Bchmrk 2: US ETF Long/Short Equity Bchmrk 3: Mngstar Gbl Long/Short Eqty YR - 1/1/2009 to 12/31/2013 Sharpe Tracking Information Return Alpha Beta Drawdown R2 Error Advantage Portfolio Bchmrk 1: S&P 500 TR USD Bchmrk 2: US ETF Long/Short Equity Bchmrk 3: Mngstar Gbl Long/Short Eqty YR - 1/1/2007 to 12/31/2013 Drawdown Sharpe Tracking Error Information Return Alpha Beta R2 Advantage Portfolio Bchmrk 1: S&P 500 TR USD Bchmrk 2: US ETF Long/Short Equity Bchmrk 3: Mngstar Gbl Long/Short Eqty Source: Morningstar Office

21 Live Performance Summaries The following performance summaries illustrate client accounts actual performance. ABARIS began trading live client accounts in some of the portfolios at the beginning of These performance results are not based on Back Testing and represent Live Actual results for these client accounts. Names have been withheld for security and compliance purposes. The reports shown are from inception to the Period ending December 31, 2013 for these accounts. Performance s used are explained on a Slide following these Factsheets. Past performance is not a guarantee of future results.

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25 LIVE ACCOUNTS MULTIPLE PORTFOLIO Performance s 1/1/2012 TO 12/31/2013 LIVE MODERATE GROWTH PORTFOLIO Since Inception - 1/1/2012 TO 12/31/2013 Group/Investment Return Alpha Beta Drawdown R2 Sharpe Tracking Error Moderate Growth Portfolio Benchmark 1: US ETF Moderate Allocation Benchmark 2: DJ US Moderate TR USD Benchmark 3: US ETF Stat.Moderate Allocation LIVE ACCOUNT - GROWTH PORTFOLIO Since Inception - 7/1/2012 to 9/30/2013 Group/Investment Return Alpha Beta Drawdown R2 Sharpe Tracking Error Growth Portfolio Performance Benchmark 1: S&P 500 Growth TR Benchmark 2: Morningstar US Growth TR USD Benchmark 3: US ETF World Allocation LIVE ACCOUNT - EQUITY PORTFOLIO Since Inception - 1/1/2012 to 12/31/2013 Group/Investment Return Alpha Beta Drawdown R2 Sharpe Tracking Error Equity Portfolio Benchmark 1: S&P 500 Growth TR Benchmark 2: DJ Moderately Aggressive TR US Benchmark 3: FTSE AllSh TR GBP Source: Morningstar Office

26 Explanation of ratios: Alpha: a measure of performance on a risk adjusted basis. Alpha takes the volatility of a portfolio and compares its risk adjusted performance with a benchmark index. A positive alpha indicates the percentage that the portfolio has returned in excess of the benchmark. Beta: a measure of a portfolio s volatility. A Beta of 1 indicates that a portfolio is neither more nor less volatile than the wider market. A beta of more than one indicates greater volatility and a beta of less than one indicate less volatility. Drawdown: The peak-to-trough decline during a specific record period of an investment, fund or commodity. A drawdown is usually quoted as the percentage between the peak and the trough. R Square(R2): The percentage of a portfolio s performance explainable by the performance of a benchmark. Measured on a scale of 0 to 100, a low R2 indicates that there is no significant relationship between the portfolio and the index. Sharpe : the Sharpe ratio indicates whether portfolios returns are due to smart investment decisions or a result of excess risk. The greater a portfolios Sharpe ratio, the better the risk adjusted performance has been. Sortino : A variation of the Sharpe that measures the risk adjusted return on an investment. The Sortino ratio considers the possibility that an investment will rise above or fall below the required rate of return, rather than volatility. Tracking Error: is a measure of how closely a portfolio follows the index to which it is benchmarked. Tracking error (also called active risk) is a measure of the deviation from the benchmark; a portfolio replicating an index would have a tracking error close to zero, while an actively managed portfolio would normally have a higher tracking error. Dividing portfolio active return by portfolio tracking error gives the Information, which is a risk adjusted performance measure.

27 Contact Information Neil Davis Phone: (248) Stan Saaker Phone: (248) Ext