Mary Shelley, Frankenstein
|
|
- Gabriella Perry
- 5 years ago
- Views:
Transcription
1 Q The winter has been dreadfully severe; but the spring promises well Mary Shelley, Frankenstein It s Alive. It s Escaped. A secretive re-animation performed using stolen body parts, curious chemicals and dangerous knowledge. I am, of course, referencing Dr. Frankenstein s monster, but current popular opinion might have you thinking I am making a poetic reference to the current market environment and the many rounds of stimulus packages, market intervention, and Federal Reserve soothsaying it took to re-animate it. Newfound Research LLC 425 Boylston St. 3 rd Floor Boston, MA thinknewfound.com info@thinknewfound.com That same market has become a monster in our own eyes, being dubbed on its 3 rd birthday over two years ago the most hated bull market ever. First was the magnificent cry of it s alive! Now, the eerie whisper of: [a]nd it s escaped. Like Dr. Frankenstein, we have become consumed by hatred for our own creation. We cry, this market isn t real; it is a re-animated monster! Yet the market climbs indomitably upward. S&P 500 Total Return & Federal Open Market Committee Actions $2,100 $1,900 $1,700 $1,500 $1,300 $1,100 $900 $700 $500 QE1 QE2 Operation Twist QE3 S&P 500 Alive? Dead? Do We Even Care? As a quantitative firm, we try to refrain from waxing philosophical about economic conditions and policy. We ascribe to the theory that markets are chaotic: while trends emerge and persist, predicting those trends is nearly impossible. We don t particularly care that Dr. Frankenstein s monster was an eight-foot tall, grotesque beast; by all Newfound Research LLC The Best Questions You re NOT Asking and ETF Strategist
2 clinical and scientific definitions, it was alive. Frankly, so is this market at least for now. So whether we should or should not have re-animated the market is a topic best left to economic historians. Rather, what now? is the question we need to address. In exploring that question, we find the true ugliness of the monster we have created: 1. The recession babies year olds are so scarred by the last several years that they have the most conservative portfolio profile of any age bracket under ws/ /recession-babymillennials-scarred-by-u-sdownturn-spurn-stocks.html 2. In trying to control our monster, we ve suppressed the yield curve. Ten-year bond yield a terrific predictor of the forward 10-year annualized return for a constant maturity 10-year bond index sits at only 2.53%. 18% 10-Year Annualized Treasury Return 16% 14% 12% 10% 8% 6% 4% 2% 0% 0% 2% 4% 6% 8% 10% 12% 14% 16% 18% Beginning Bond Yield With a few simplifying assumptions, it can be demonstrated that the expected return of a constant-maturity bond index is equal to current on-the-run bond yields; we see this theoretical relationship play out in the high degree of correlation between the starting period bond yields and forward 10-year annualized returns for 10- year U.S. Treasuries. Combined, we have a frightening picture: a generation that should have the most aggressive profile has instead loaded up their portfolio with risk mitigating asset classes with expected returns that barely scratch past inflation. At Newfound, we believe that by combining a quantitative approach with tactical flexibility, we can create an objective approach whereby we can cast aside emotional biases and re-introduce return generating asset classes into our portfolio; all with the comfort that these solutions can adequately de-risk in times of crisis. Newfound Research LLC Q Commentary 2
3 Frankenstein s Monster in the ETF Managed Portfolio Space It is no surprise that in this market environment, an unconstrained approach has continued to gain traction. In particular, we continue to see tremendous growth in the managed ETF strategist space. Having advocated for such an approach for nearly six years, we re proud to be part of the growth of the industry. Nevertheless, with low barriers to entry we have also witnessed the ingress of many unqualified firms looking to merely capitalize on the growth. We ve even witnessed firms that have sought to knock-off our tactical models, and those of our peers, without a true understanding of the reasons behind their design. In a sense, the monster we helped make seems to have escaped us. Our own Andrew Gogerty recently penned a white paper entitled The Best Questions You re Not Asking An ETF Strategist. The paper highlights many qualitative questions that can help separate the chaff from the wheat and identify the truly exceptional firms in the space (of which there are many). For those looking to take a multi-manager approach in their tactical allocations (which we advocate), we highly recommend reading it. See thinknewfound.com/research Growth in our Strategy Line-up We re pleased to introduce our Core Bond Alternative (CBA) strategy, a managed solution that seeks to create a traditional bond experience in a non-traditional way. It is a multi-strategy solution that breaks down fixed-income into three primary objectives, matches those objectives with solutions, and dynamically re-bundles those solutions into a managed portfolio. The fixed-income bull market of the last 30 years has allowed investors to meet three objectives with a single asset class: income generation, a diversified return stream, and a hedge to equity losses. With low current interest rates and the risk that they may soon be rising, meeting these three objectives with solely fixed-income is a difficult proposition. For each of these objectives, CBA matches a solution: Objective Income Generation Diversified Return Stream Equity Hedge Solution Newfound s 4% Target Excess Yield Newfound s U.S. Equity Dynamic Long/Short Long-Dated Maturity U.S. Treasuries Allocations to each sleeve in the strategy are dynamically rebalanced and volatilityweighted, allowing each objective solution to contribute equally to the overall profile of the strategy. Looking Forward At Newfound Research, we utilize a fully quantitative, rule-driven process to govern our investment decisions. While we expect our portfolio positioning to change from time-to-time in response to rotational trends that may be emerging between asset Newfound Research LLC Q Commentary 3
4 classes, as a firm, we do not hold an opinion on near- or long-term economic outlooks. As we close out 2014 Q2, our portfolio positioning can be instructive as to how our models are interpreting economic and political information flow into the market as it is reflected in price level changes seen across broad and targeted asset class ETFs. In general: On an absolute basis, we continue to see strong equity momentum across the majority of domestic and global sectors and factors. Satellite equities (emerging Asia, international small-cap, Latin American equities, domestic and international REITs and domestic MLPs) have shown increasing strength except for emerging Europe. Among the most interesting developments this quarter was the violent strength and reversion of value equities in Q2. The large gap in relative strength of growth vs. value equities (a trend which emerged in Q1) collapsed in a dramatic fashion. Going forward, we are now positioned for a return of strength in growth equities relative to value securities. High beta and dividend factors have emerged with broad strength, though all factors are strong among international developed markets. Momentum appears to be the weakest factor. In fixed income, the model remains positioned towards U.S. credit, both for total return and as a means to generate income, but with shorter duration portfolios. We ve seen increasing strength in emerging market fixed-income, both U.S. and local currency. In our alternative income strategies, overall tilts remain focused towards bank loans, high yield bonds, preferred-securities and mortgage REITs. While our portfolios are generally positioned in this manner as of the end of this quarter, our models are designed to react to changes in the market environment. There is no assurance that the general themes outlined above will remain persistent through the remainder of How our portfolios are positioned in the future will ultimately be dictated by the changes in market currents that our models identify as significant, emerging trends. Newfound Research LLC Q Commentary 4
5 Newfound Risk Managed Global Sectors About The Newfound Risk Managed Global Sectors ( RMGS ) strategy provides access to global equities within a disciplined risk management process with the ability to move entirely to short-term U.S. Treasuries. The strategy can complement core and satellite equity exposures as well as serve as a pivot point in the asset allocations between equities and fixed income depending on the current market environment. The strategy makes tactical moves between global equities and short-term U.S. Treasuries. The equity sector ETFs cover U.S., international and emerging market stocks. Commentary The RMGS model returned 5.59% vs. 5.09% for the MSCI ACWI ETF ( ACWI ) in the second quarter of Year-to-date through the second quarter, RMGS has returned 7.48% with 9.92% annualized volatility versus 6.04% with 10.83% annualized volatility for the ACWI. The model remained equally invested across all global sectors throughout the entirety of the quarter. Q Performance April May June Q2 YTD Model 1.56% 1.84% 2.09% 5.59% 7.48% MSCI ACWI (ACWI) 1.19% 2.00% 1.82% 5.09% 6.04% Model returns are presented gross of advisor and transaction costs and net of the underlying ETF expense ratios ACWI returns are presented net of fees and transaction costs Newfound Research LLC Q Commentary 5
6 Newfound Risk Managed Small-Cap Sectors About The Newfound Risk Managed Small-Cap Sectors ( RMSS ) strategy provides access to U.S. small-cap equities within a disciplined risk-management process with the ability to move entirely to short-term treasuries. The strategy can complement existing small-cap equity exposures as well as serve as a tool to manage small-cap equity exposure within a risk-managed framework. The strategy makes tactical moves between U.S. small-cap equities and short-term U.S. Treasuries. The equity sector ETFs cover U.S. small-cap stocks. Commentary The RMSS model returned 2.00% vs. 2.12% for the Russell 2000 ETF ( IWM ) benchmark in the second quarter of Year-to-date through the second quarter, RMSS has returned 4.16% with 14.68% annualized volatility versus 3.26% with 16.24% annualized volatility for IWM. The dynamic window that governs how much data is utilized by our proprietary momentum measures is derived from the price series of each ETF independently. While the correlated nature of the sectors often means that the dynamic windows for each sector are similar in size, since the beginning of the year, we ve witnessed a divergence in two sectors in particular: The dynamic window for industrials has increased nearly 30% to almost twoyears of market data The dynamic window for technology has shrunk by 50% to almost half a year of market data We believe that this divergence highlights the importance of both the independent evaluation of each sector as well as the use of volatility to provide context for total returns. While both sectors have traded sideways, for the most part, in 2014, technology did so with more directional movement whereas industrials appeared to be more noise driven. Thus, for technology, the model has contracted its window to try to be more adaptive to potential emerging trends, whereas for industrials, the model has expanded its window, seeking to average out the impact of day-to-day noise on trend estimation. Newfound Research LLC Q Commentary 6
7 Dyanmic Window Size for Technology Sector Dynamic Window Size for Industrial Sector Q Performance April May June Q2 YTD Model -2.30% 0.04% 4.37% 2.01% 4.16% Russell 2000 (IWM) -3.75% 0.79% 5.27% 2.12% 3.26% Model returns are presented gross of advisor and transaction costs and net of the underlying ETF expense ratios IWM returns are presented net of fees and transaction costs Newfound Research LLC Q Commentary 7
8 Newfound Risk Managed Income About The Newfound Risk Managed Income ( RMI ) strategy provides access to alternative income generating asset classes within a disciplined risk-management process. The strategy attempts to increase portfolio income over a full market cycle by emphasizing both yield and capital protection. It can complement an existing core equity exposure by diversifying the exposure level over time while also increasing portfolio income. The strategy makes tactical moves between U.S. and international equity and fixed income ETFs and short-term U.S. Treasuries. Commentary The RMI model returned 3.79% for the quarter and is up 6.71% year-to-date with 3.56% annualized volatility. The estimated forward annualized yield for the model is 5.73% versus 2.18% for the Barclay s Aggregate Bond ETF (AGG) and 1.81% for the S&P 500 ETF (SPY) 1. During the quarter, the model re-introduced emerging market bonds (both U.S. and local-currency denominated), international REITs, and long-term U.S. Treasuries into the portfolio, making the entire universe eligible for allocation. Initial Q2 Model Allocations bwx, 2.8% vnq, 3.3% dvy, 3.0% bkln, 25.0% hyg, 15.4% pff, 16.2% rem, 11.5% igf, 3.1% cwb, 3.9% idv, 3.3% amj, 4.5% lqd, 7.9% Ending Q2 Model Allocations vnqi, bwx, vnq, dvy, tlt, 2.17% 2.19% 2.36% 2.46% 2.53% hyg, 14.18% bkln, 20.98% pff, 14.10% rem, 10.86% igf, 2.58% cwb, 2.73% idv, 3.15% amj, 3.24% emlc, 4.92% pcy, 5.50% lqd, 6.05% Q Performance April May June Q2 YTD Model 1.25% 1.50% 0.99% 3.80% 6.72% S&P 500 (SPY) 0.69% 2.32% 2.07% 5.16% 6.95% 1 Computed using a weighted average of trailing 12-month yield estimates, as of 7/1/2014, from Morningstar. Newfound Research LLC Q Commentary 8
9 Barclay s Aggregate (AGG) 0.82% 1.19% -0.06% 1.95% 3.75% Model returns are presented gross of advisor and transaction costs and net of the underlying ETF expense ratios SPY and AGG returns are presented net of fees and transaction costs Newfound Research LLC Q Commentary 9
10 Newfound Target Excess Yield 3% and 4% About The Newfound Target Excess Yield ( TEY ) 3% and 4% strategies seek to achieve a yield that is 3% or 4% in excess of that offered by short-term U.S. Treasuries, with minimum volatility. The strategy can supplement an existing fixed income exposure to increase income without adding excessive risk to the entire portfolio. The strategy makes tactical moves between U.S. and international fixed income ETFs. Asset classes in the universe include, but are not limited to, Treasuries, mortgage-backed, corporate and high-yield exposures, and emerging market bonds. Target Excess Yield 3% Commentary The TEY 3% model returned 1.32% for the quarter and is up 2.72% year-to-date. The estimated forward annualized yield for the model based on Q2 dividends is 3.10% versus 2.18% for the Barclay s Aggregate Bond ETF (AGG) and 0.28% for the Barclays 1-3 Year Treasury Bond ETF (SHY) 2. The strategy made no trades throughout the quarter; exposure remained concentrated in short-term corporate bonds and high yield bonds. Target Excess Yield 4% Commentary The TEY 4% model returned 1.81% for the quarter and is up 3.87% year-to-date. The estimated forward annualized yield for the model based on Q2 dividends is 4.23% versus 2.18% for the Barclay s Aggregate Bond ETF (AGG) and 0.28% for the Barclays 1-3 Year Treasury Bond ETF (SHY) 3. The strategy made no trades throughout the quarter; exposure remained concentrated in short-term corporate bonds and high yield bonds. Q Performance April May June Q2 YTD TEY 3% Model 0.29% 0.74% 0.27% 1.30% 2.69% TEY 4% Model 0.40% 0.99% 0.40% 1.80% 3.85% Barclay s Aggregate (AGG) 0.82% 1.17% -0.05% 1.95% 3.76% Barclays 1-3 Yr Tres. (SHY) 0.11% 0.18% -0.08% 0.20% 0.34% 2 Computed using a weighted average of trailing 12-month yield estimates, as of 7/1/2014, from Morningstar Newfound Research LLC Q Commentary 10
11 Model returns are presented gross of advisor and transaction costs and net of the underlying ETF expense ratios AGG and SHY returns are presented net of fees and transaction costs Newfound Research LLC Q Commentary 11
12 Newfound U.S. Equity Dynamic Long/Short About The Newfound U.S. Equity Dynamic Long/Short ( DLS ) strategy provides access to non-correlated, market-neutral exposures. The strategy attempts to exploit U.S. equity market tailwinds by selectively adding market beta exposures when prudent. The intended target outcome is to deliver a diversified return stream that can complement existing core holdings. Commentary The DLS model returned 2.37% for the quarter and is up 3.53% year-to-date with 5.22% annualized volatility. Our models signaled that positive momentum carried through the quarter in all six of the long-only U.S. factor (small-cap, large-cap, value, growth, low volatility and high beta) ETFs we track within the strategy. We added a new exposure in the long/short sleeve of the allocation in June: the Invesco PowerShares Multi-Strategy Alternative Portfolio (LALT). The ETF expands the assets tracked in the long/short sleeve beyond stylistic factor strategies to now include volatility risk premium and carry strategies. Q Performance April May June Q2 YTD Model 0.46% 0.59% 1.30% 2.37% 3.53% S&P 500 (SPY) 0.69% 2.32% 2.07% 5.16% 6.95% Barclay s Aggregate (AGG) 0.82% 1.17% -0.05% 1.95% 3.76% Model returns are presented gross of advisor and transaction costs and net of the underlying ETF expense ratios AGG and SPY returns are presented net of fees and transaction costs Newfound Research LLC Q Commentary 12
13 For more information about Newfound Research call us at , visit us at or us at These materials represent an assessment of the market environment at specific points in time and are intended neither to be a guarantee of future events nor as a primary basis for investment decisions. The performance results should not be construed as advice meeting the particular needs of any investor. Neither the information presented nor any opinion expressed herein constitutes a solicitation for the purchase or sale of any security. Past performance is not indicative of future performance and investments in equity securities do present risk of loss. Newfound Research LLC s results are historical and their ability to repeat could be effected by material market or economic conditions, among other things. Except as noted, model and index results are gross of fees, costs and expenses. Index or model results do not reflect the performance results of a live, actual account or fund that invested to track the results of the index. All index and model results are total return, meaning they reflect the reinvestment of all dividends, capital gains, interest and other income. The commentary is prepared by Newfound Research LLC for informational purposes only and is not presented as an offer or solicitation for the purchase or sale of any security. The information contained herein is neither investment advice nor legal opinion. The views expressed are those of the author as of the date of the publication of this report, and are subject to change without notice. Performance results are presented in U.S. dollars. Actual fees may vary based on, among other factors, account size and custodial relationship. No current or prospective client should assume future performance of any specific investment strategy will be profitable or equal to past performance levels. All investment strategies have the potential for profit or loss. Changes in investment strategies, contributions or withdrawals may cause the performance results of your portfolio to differ materially from the reported composite performance. Different types of investments involve varying degrees of risk, and there can be no assurance that any specific investment will either be suitable or profitable for a client's investment portfolio. Historical performance results for market indices generally do not reflect the deduction of transaction and/or custodial charges or the deduction of an investment management fee, the incurrence of which would have the effect of decreasing historical performance results. Economic factors, market conditions, and investment strategies will affect the performance of any portfolio and there are no assurances that it will match or outperform any particular benchmark. The investment strategy and types of securities held by comparison indices may be substantially different from the investment strategy and the types of securities held by the Newfound Research LLC strategies. Newfound Research LLC Q Commentary 13
2014 Year- in- Review Commentary
2014 January 2015 2 Table of Contents Newfound Research Year- in- Review... 3 Newfound Direct Strategy Suite Review... 5 Risk Managed Global Sectors... 5 Risk Managed Small- Cap Sectors... 7 Multi- Asset
More informationTOTAL RETURN MARCH Newfound Case ID:
TOTAL RETURN MARCH 2015 Newfound Case ID: 3377049 1 THE NEWFOUND MISSION Newfound Research s product suite has been designed to balance the desire to pursue growth with the need to avoid large drawdowns.
More informationMulti-Asset Income. Newfound Case ID: December 2015
Multi-Asset Income Newfound Case ID: 4173689 1 December 2015 The Newfound Mission Defensive Simple Consistent Thoughtful In August 2008, Newfound Research was founded based on a simple, but powerful, premise:
More informationTARGET EXCESS YIELD SUITE
TARGET EXCESS YIELD SUITE MARCH 2015 Newfound Case ID: 3377056 1 THE NEWFOUND MISSION Newfound Research s product suite has been designed to balance the desire to pursue growth with the need to avoid large
More informationMulti-Asset Income NFMAX NFMCX NFMIX. December NLD Review Code: 5088-NLD-02/03/2016 Newfound Case ID:
Multi-Asset Income NFMAX NFMCX NFMIX NLD Review Code: 5088-NLD-02/03/2016 Newfound Case ID: 4226941 1 December 2015 The Newfound Mission Defensive Simple Consistent Thoughtful In August 2008, Newfound
More informationTailwinds Tactical Portfolio Suite
Tailwinds Tactical Portfolio Suite Newfound Case ID: 4176917 1 December 2015 The Newfound Mission Defensive Simple Consistent Thoughtful In August 2008, Newfound Research was founded based on a simple,
More informationSchwab Diversified Growth Allocation Trust Fund (Closed to new investors) Institutional Unit Class As of June 30, 2017
Fund Facts Trustee Fund Type Charles Schwab Bank Collective Trust Fund Morningstar Category Allocation - 50-70% Equity Benchmark Global Growth Custom Index 1 Unit Class Inception Date 3/7/2012 Fund Inception
More informationDo You Have Protection from Rising Rates?
Do You Have Protection from Rising Rates? After almost 35 years of declining interest rates, it appears as though the tide has finally turned to a prolonged upward trend. While the bottoming-out process
More informationSchwab Diversified Growth Allocation Trust Fund
Fund Facts Trustee Fund Type Charles Schwab Bank Collective Trust Fund Category Global Asset Allocation Benchmark Global Growth Custom Index 1 Unit Class Inception Date 11/21/2012 Fund Inception Date 3/7/2012
More informationA new direction in. Retirement Investing
A new direction in Retirement Investing Target date funds have been increasing in popularity since their introduction in the early 1990 s. The idea that an individual can make one simple choice and be
More informationColumbus Asset Allocation Report For Portfolio Rebalancing on
Columbus Asset Allocation Report For Portfolio Rebalancing on 2017-08-31 Strategy Overview Columbus is a global asset allocation strategy designed to adapt to prevailing market conditions. It dynamically
More informationMinimizing Timing Luck with Portfolio Tranching The Difference Between Hired and Fired
Minimizing Timing Luck with Portfolio Tranching The Difference Between Hired and Fired February 2015 Newfound Research LLC 425 Boylston Street 3 rd Floor Boston, MA 02116 www.thinknewfound.com info@thinknewfound.com
More informationCommentary. Things turn out best for the people who make the best of the way things turn out. - John Wooden
LongRun Monthly Strategy Review Dec 2018 AR +0.1% AG -0.3% TMG -9.8% SP500-8.8% GDP -4.9% Commentary As noted last month, December got off to a bad start wiping out November s equity market gains in the
More informationCommentary. Our greatest weakness lies in giving up. The most certain way to succeed is always to try just one more time.
LongRun Monthly Strategy Review May 2018 AR +0.2% AG +1.0% TMG +3.0% SP500 +2.4% GDP +0.7% Commentary Last month s commentary led off with our Absolute Return strategy moving to 100% cash for the month
More informationNASDAQ GLOBAL RISK MANAGED INCOME INDEX
1 NASDAQ GLOBAL RISK MANAGED INCOME INDEX WHAT IS IT? The NASDAQ Global Risk Managed Income Index is a rules-based, quantitatively enabled index that is designed to provide risk managed, globally diversified
More information2016 MARKET OUTLOOK PREPARED JANUARY Newfound Case #
2016 MARKET OUTLOOK PREPARED JANUARY 2016 Newfound Case #4093212 1 LONG-TERM RETURN FORECASTS 2 EQUITY VALUATIONS Shiller Cyclically Adjusted Price-to-Earnings Ratio ( CAPE ): Price divided by 10-year
More informationLOSS AVERSE INVESTING STRATEGIES UPDATE
PORTFOLIO MANAGERS: Patrick S. Adams, CFA Rick Garcia PHONE: 800-777-0818 EMAIL: information@pvgasset.com WEBSITE: www.pvgassetmanagement.com LOSS AVERSE INVESTING STRATEGIES UPDATE ADDRESS: 6898 S. University
More informationNavigator Global Equity ETF
CCM-17-12-3 As of 12/31/2017 Navigator Global Equity ETF Navigate Global Equity with a Dynamic Approach The world s financial markets offer a variety of growth opportunities, but identifying the right
More informationRisk-Efficient Investment Portfolios from AlphaSimplex Group. Strategies that put risk management first
Risk-Efficient Investment Portfolios from AlphaSimplex Group Strategies that put risk management first Agenda About AlphaSimplex Group (ASG) The need for active risk management Introducing the AlphaSimplex
More informationQUARTERLY MARKET UPDATE January 2019
Year-End Market Reversal Symbol Name 2018 Return (%) AGG ishares Core US Aggregate Bond ETF 0.0 HYG ishares iboxx $ High Yield Corp Bd ETF -1.9 LQD ishares iboxx $ Invmt Grade Corp Bd ETF -3.8 SPY SPDR
More informationNATIONWIDE ASSET ALLOCATION INVESTMENT PROCESS
Nationwide Funds A Nationwide White Paper NATIONWIDE ASSET ALLOCATION INVESTMENT PROCESS May 2017 INTRODUCTION In the market decline of 2008, the S&P 500 Index lost more than 37%, numerous equity strategies
More informationExperienced investment management
BRINKER CAPITAL Experienced investment management 30 years of excellence in investment management Our time-tested and disciplined investment process Better outcomes through experience, consistency, and
More informationLongRun Monthly Strategy Summary (6/30/2013) Commentary
Commentary June was a take-no-prisoners month in the markets. All 14 ETFs that we track for our strategies were down, ranging from -0.8% for US Small Cap Equity (IWM) to -11.5% for Metals & Mining (XME).
More informationCommentary. CBOE Volatility Index (VIX) Brexit Election VIX
LongRun Monthly Strategy Review Mar 2018 AR -0.7% AG -2.9% TMG -2.3% SP500-2.7% GDP 0.0% Commentary I finished last month s commentary with a caution that equity markets might retest the lows of February
More informationAn Introduction to Factor Investing: Understanding the increasingly popular strategy
A quarterly publication of CLS Investments FALL 2015 An Introduction to Factor Investing: Understanding the increasingly popular strategy Factors have engrossed the investing world in recent years. Strategies
More informationPortfolio Navigator funds Quarterly performance and commentary
Navigator funds Quarterly performance and commentary September 30, 2017 275470 W SHELF (10/17) OD The Navigator funds Performance Quarter ending 9/30/17 3 month YTD 1 year 3 year 5 year Since Inception*
More informationCommentary. "The inevitable may be certain, but it is not always punctual." - Jim Grant - Grant's Interest Rate Observer
LongRun Monthly Strategy Review Nov 2017 AR +2.2% AG +2.1% TMG +2.7% SP500 +3.1% R2000 +2.9% GDP +0.9% Commentary November saw global markets focused on the prospects for US tax reform and Washington managed
More informationZero Beta (Managed Account Mutual Funds/ETFs)
2016 Strategy Review Zero Beta (Managed Account Mutual Funds/ETFs) December 31, 2016 The following report provides in-depth analysis into the successes and challenges of the NorthCoast Zero Beta investment
More informationQXMI Fund Profile. QuantX Risk Managed Multi-Asset Income ETF. Allocation Category Diversified Fixed Income / Credit
Fund Profile Quant Allocation Category Diversified Fixed / Credit Strategy Overview Quant is a diversified income solution that targets higher levels of income and capital appreciation and reduced volatility
More informationETF Research: Understanding Smart Beta KNOW Characteristics: Finding the Right Factors Research compiled by Michael Venuto, CIO
ETF Research: Understanding Smart Beta KNOW Characteristics: Finding the Right Factors Research compiled by Michael Venuto, CIO In this paper we will explore the evolution of smart beta investing through
More informationFOCUSED INCOME ETF PORTFOLIOS
QUARTERLY UPDATE FOCUSED INCOME ETF PORTFOLIOS 4Q 2017 Managed Portfolio Strategies Key Takeaway: The risk rally may have room to run. U.S. earnings are outpacing analyst estimate revisions. Analysts have
More informationThe New Asset Allocation
Published on AdviceIQ (http://www.adviceiq.com) Home > The New Asset Allocation The New Asset Allocation Submitted by Matthew Tuttle on Tue, 07/17/2012-9:00am Time was, everyone thought the best asset
More informationActive vs. Passive Investing
Winter 2018 trustmarkinvestmentsadvisors.com Active vs. Passive Investing Index (Passive) investing has produced multiple benefits for investors The growth of index-tracking funds and exchange-traded funds
More informationCommentary. Patience and perseverance have a magical effect before which difficulties disappear and obstacles vanish. - John Quincy Adams
LongRun Monthly Strategy Review Sep 2018 AR -2.0% AG-2.5% TMG -0.3% SP500 +0.6% GDP -0.04% Commentary Last month I pointed out that the S&P 500 large cap stock index had closed higher five months in a
More informationCMG Tactical Rotation Strategy CMG Capital Management Group, Inc. Financial Professional Use Only
CMG Tactical Rotation Strategy About CMG CMG is a Registered Investment Advisor located in King of Prussia, Pennsylvania founded in 1992 by Stephen Blumenthal. Since the beginning, CMG has embraced Uncommon
More informationResearch Brief. Using ETFs to Outsmart the Cap-Weighted S&P 500. Micah Wakefield, CAIA
Research Brief Using ETFs to Outsmart the Cap-Weighted S&P 500 Micah Wakefield, CAIA 2 USING ETFS TO OUTSMART THE CAP-WEIGHTED S&P 500 ETFs provide investors a wide range of choices to access world markets
More informationGlobal ETF Portfolios
The Leaders In Pactive Management Richard Bernstein Advisors Global ETF Portfolios Richard Bernstein Advisors The Leaders In Pactive Management It is startling that so many investors focus on short-term
More informationThe Equity Imperative
The Equity Imperative Factor-based Investment Strategies 2015 Northern Trust Corporation Can You Define, or Better Yet, Decipher? 1 Spectrum of Equity Investing Techniques Alpha Beta Traditional Active
More informationDynamic Asset Allocation for Practitioners Part 1: Universe Selection
Dynamic Asset Allocation for Practitioners Part 1: Universe Selection July 26, 2017 by Adam Butler of ReSolve Asset Management In 2012 we published a whitepaper entitled Adaptive Asset Allocation: A Primer
More informationWHY TACTICAL FIXED INCOME IS DIFFERENT
WHY TACTICAL FIXED INCOME IS DIFFERENT Whether to concentrate or to divide your troops, must be decided by circumstances. - Sun Tzu The Art of War 2 As a tactical asset management firm, we seek to offer
More informationCelebrating Eight Years of Absolute Return How our Absolute Return portfolio has fared
For Financial Advisor Use Only Celebrating Eight Years of Absolute Return How our Absolute Return portfolio has fared Venus Phillips Investment Manager Morningstar Investment Services Morningstar Investment
More informationTACTICAL INVESTMENT STRATEGIES TRADE DECISIONS AND RATIONALE December 5, 2017
EQUITY TICKER ACTION QA Global Equity QA International Equity QA US Equity QA US Sector ishares U.S. Technology ETF IYW Trimmed QA Global Style The information provided in this report should not be considered
More informationCommentary. "How ridiculous and how strange to be surprised at anything which happens in life." - Marcus Aurelius, Stoic philosopher
LongRun Monthly Strategy Review Jan 2018 AR +5.2% AG +5.3% TMG +5.1% SP500 +5.6% R2000+2.6% GDP +2.8% Commentary January took global markets to new heights after a better than expected 2017. Last month
More informationWhy and How to Pick Tactical for Your Portfolio
Why and How to Pick Tactical for Your Portfolio A TACTICAL PRIMER Markets and economies have exhibited characteristics over the past two decades dissimilar to the years which came before. We have experienced
More informationRethink your income strategy
Rethink your income strategy BlackRock Multi-Asset Income Fund (BIICX) 1 THE CHALLENGE Yields remain low Yields are low across the income landscape, with less than 25% of fixed income assets yielding over
More informationCommentary. You can t overlook volatility, but you don t let it push you around in the market - Boone Pickens
LongRun Monthly Strategy Review Nov 2018 AR +0.2% AG -0.9% TMG +2.4% SP500 +1.9% GDP +0.8% Commentary By way of a recap, US equity markets spent most of October going down before a scramble to recover
More informationBeyond Traditional Infrastructure Investing: Listed Infrastructure Equities as an Income Solution
October 2018 Beyond Traditional Infrastructure Investing: Listed Infrastructure Equities as an Income Solution James A. Lydotes, CFA, Brock A. Campbell, CFA & William J. Adams Standish, Mellon Capital
More informationCommentary. Without deviation from the norm, progress is not possible. Frank Zappa
LongRun Monthly Strategy Review Aug 2016 AR -0.71% AG -5.21% TMG -2.67% SP500 +0.12% R2000 +1.78% GDP -0.57% Commentary August was a quiet month in most markets with the major US equity indices making
More informationLongRun Monthly Strategy Review. Commentary. Oct 2017
LongRun Monthly Strategy Review Oct 2017 AR 1.78% AG -0.61% TMG +1.50% SP500 +2.36% R2000 +0.73% GDP +0.35% Commentary Market history says that October can be a dangerous month and 2017 marked the 40 th
More informationCommentary. Forecasts usually tell us more about the forecaster than about the future. - Warren Buffett
LongRun Monthly Strategy Review Nov 2016 AR +1.70% AG +2.07% TMG +1.16% SP500 +3.68% R2000 +11.08% GDP +1.35% Commentary Forecasters and pollsters are having a rough year. First Brexit and now the US presidential
More informationPremium (Institutional Share Class) Simple. Performance.TM. Wellesley Hills Naples
Premium (Institutional Share Class) Simple. Performance.TM Wellesley Hills Naples Our investors seek relative outperformance in bull markets and absolute performance in bear markets. The BCM strategies
More informationSEC File Number Form ADV Part 2A
SEC File Number 801-28445 Form ADV Part 2A August 31, 2015 Form ADV, Part 2A is our Disclosure Brochure or Brochure as required by the Investment Advisers Act of 1940 and is a very important document to
More informationInvestment Management Philosophy
Investment Management Philosophy Executive Overview The investment marketplace has grown increasingly complex and unpredictable for individual investors. This reality may make it difficult for many people
More informationCommentary. If you are the smartest person in the room, then you are in the wrong room. Attributed to Confucius
LongRun Monthly Strategy Review Jun 2018 AR +0.9% AG +1.0% TMG -0.5% SP500 +0.6% GDP -0.8% Commentary June brought mixed messages from the markets. Worries about the Trump/Kim summit and Federal Reserve
More informationThe Tactical Rotation Strategies A Suite of Separately Managed Account Strategies
FYE 2015 Where the ART and SCIENCE of investing meet Upside capture in bull markets...... Downside protection in bear markets The Tactical Rotation Strategies A Suite of Separately Managed Account Strategies
More informationMANAGED FUTURES INDEX
MANAGED FUTURES INDEX COMMENTARY + STRATEGY FACTS SEPTEMBER 2018 CUMULATIVE PERFORMANCE ( SINCE JANUARY 2007* ) 140.00% 120.00% 100.00% 80.00% 60.00% 40.00% 20.00% 0.00% AMFERI BARCLAY BTOP50 CTA INDEX
More informationAnnual Returns: S&P 500 vs. ACWI ex-u.s. (Global Equities outside U.S.)
2015 Strategy Review Tactical Growth (Managed ETFs) December 31, 2015 The following report provides in-depth analysis into the successes and challenges of Tactical Growth throughout 2015, important research
More informationAn All-Cap Core Investment Approach
An All-Cap Core Investment Approach A White Paper by Manning & Napier www.manning-napier.com Unless otherwise noted, all figures are based in USD. 1 What is an All-Cap Core Approach An All-Cap Core investment
More informationColby Investment Ratings Report A Publication from Robert W. Colby Asset Management, Inc.
Ratings for February 17, 2012 Asset Classes. Commodities. Real Estate. Foreign and Emerging Markets. Small Cap Growth, IWO Large Cap Growth, VUG Mid Cap Blend, MDY Small Cap Blend, IWM Mid Cap Growth,
More informationMANAGED FUTURES INDEX
MANAGED FUTURES INDEX COMMENTARY + STRATEGY FACTS JULY 2017 CUMULATIVE PERFORMANCE ( SINCE JANUARY 2007* ) 120.00% 100.00% 80.00% 60.00% 40.00% 20.00% 0.00% AMFERI BARCLAY BTOP50 CTA INDEX S&P 500 S&P
More informationPortfolio Navigator funds Quarterly performance and commentary
Navigator funds Quarterly performance and commentary September 30, 2017 140572 X ANN (10/17) ID The Navigator funds Performance Quarter ending 9/30/17 3 month YTD 1 year 3 year 5 year Since Inception*
More informationFortigent Alternative Investment Strategies Model Wealth Portfolios Fortigent, LLC.
Fortigent Alternative Investment Strategies Model Wealth Portfolios Important Disclaimers The information provided is for educational purposes only and is not intended to be, and should not be construed
More informationIntroducing BlackRock's Target Allocation ETF Models
Introducing BlackRock's Target Allocation ETF Models Eve Cout Director, Managed Accounts Business Thomas Wood, CFA Lead Strategist, US Model Portfolios Tuesday January 23 rd, 2018 BENEFIT # 1 Scale and
More informationINSIGHTS. The Factor Landscape. August rocaton.com. 2017, Rocaton Investment Advisors, LLC
INSIGHTS The Factor Landscape August 2017 203.621.1700 2017, Rocaton Investment Advisors, LLC EXECUTIVE SUMMARY Institutional investors have shown an increased interest in factor investing. Much of the
More information2017 Kerns Capital Management, Inc. July 2017 Investor Presentation
July 2017 Investor Presentation Table of Contents 1. Executive Summary.............. 1.1 History.......... 1.2 Buy/Sell Discipline........ 2. Investment Strategy... 2.1 Assessment and Implementation 2.2
More informationPortfolio Allocation Models. for Lincoln Financial Group s Variable Life Insurance Products
Portfolio Allocation Models for Lincoln Financial Group s Variable Life Insurance Products 40% (Conservative) Allocation Model M s Portfolio Allocation Models for Lincoln Financial Group s Variable Insurance
More informationJ.P. Morgan Structured Investments
July 2017 J.P. Morgan Structured Investments ent JPMORGAN EFFICIENTE (USD) INDEX STRATEGY GUIDE The JPMorgan ETF Efficiente 5 Index Strategy Guide Important Information The information contained in this
More informationTrend Report 12/2017
Trend Report 12/2017 Table of Contents Business Cycle ISM Manufacturing: Growing ECRI Leading Economic Indicators: Growing Market Trends Stocks vs. Bonds: Stocks Stocks vs. Gold: Stocks High Yield vs.
More informationMorgan Stanley ETF-MAP 2 Index Information
Morgan Stanley ETF-MAP 2 Index Information Investing in instruments linked to the Morgan Stanley ETF-MAP 2 Index involves risks not associated with an investment in other instruments. See Risk Factors
More informationCommentary. Just because the river is quiet doesn't mean the crocodiles have left. Malay proverb
LongRun Monthly Strategy Review Mar 2016 AR -0.11% AG +8.52% TMG +1.91% SP500 +6.72% R2000 +8.02% GDP +9.17% Commentary Equity markets around the world registered impressive gains in March as follow-through
More informationJuly J.P. Morgan Structured Investments. The J.P. Morgan Efficiente Plus 5 Index (Net ER) Strategy Guide
July 2017 J.P. Morgan Structured Investments The J.P. Morgan Efficiente Plus 5 Index (Net ER) Strategy Guide Important Information The information contained in this document is for discussion purposes
More informationSTATEMENT OF UNDERSTANDING
STATEMENT OF UNDERSTANDING I/We have read the following and understand the risks of investing in the indicated Third- Party Money Manager Strategies and Mutual Funds. Alpha Investment Management Bonds
More informationTactical Money Management-- Strategy Overviews and Forecasting 2016
Tactical Money Management-- Strategy Overviews and Forecasting 2016 1 2015 Strategy Performance A YEAR IN TRANSITION The end of QE in the U.S. First Interest Rate Hike in 8 Years. Late economic cycle slowing.
More informationGetting Smart About Beta
Getting Smart About Beta December 1, 2015 by Sponsored Content from Invesco Due to its simplicity, market-cap weighting has long been a popular means of calculating the value of market indexes. But as
More informationMarket Insights. The Benefits of Integrating Fundamental and Quantitative Research to Deliver Outcome-Oriented Equity Solutions.
Market Insights The Benefits of Integrating Fundamental and Quantitative Research to Deliver Outcome-Oriented Equity Solutions Vincent Costa, CFA Head of Global Equities Peg DiOrio, CFA Head of Global
More informationThe Realities of Diversification
The Realities of Diversification October 16, 2018 by Richard Bernstein of Richard Bernstein Advisors Insurance policies always carry a premium that must be paid to the insurer by the insured in exchange
More informationTower Square Investment Management LLC Strategic Aggressive
Product Type: Multi-Product Portfolio Headquarters: El Segundo, CA Total Staff: 15 Geography Focus: Global Year Founded: 2012 Investment Professionals: 12 Type of Portfolio: Balanced Total AUM: $1,422
More informationChart 1: Dow Jones Industrial Average. Chart 2: Dow Jones Transportation Average
December 17th, 2018 1 You are probably going to hear a lot about Dow Theory in the coming days and weeks. Just like the death crosses that have been occurring in several broad market indices, Dow Theory
More informationCommentary. "How ridiculous and how strange to be surprised at anything which happens in life." -Marcus Aurelius
LongRun Monthly Strategy Review Aug 2017 AR +0.72% AG +1.64% TMG +0.36% SP500 +0.29% R2000-1.54% GDP +0.67% Commentary After posting new all-time highs the first week of August, US equity markets had a
More informationBROCHURE. Published July The first step to increasing your money is keeping it. Tactical Core US
BROCHURE Published July 2013 The first step to increasing your money is keeping it. Tactical Core US Tactical Core US Brochure 3 The first step to increasing your money is keeping it. Most investors want
More informationFactor Investing: Smart Beta Pursuing Alpha TM
In the spectrum of investing from passive (index based) to active management there are no shortage of considerations. Passive tends to be cheaper and should deliver returns very close to the index it tracks,
More informationStructured Small Cap Equity
Quarterly Commentary Third Quarter 2018 Market Commentary During the third quarter, the U.S. domestic backdrop continued to be highly positive for small-cap equities. The economy continued to grow at a
More informationConvertible Bonds: The Rodney Dangerfield of Liquid Alts
Convertible Bonds: The Rodney Dangerfield of Liquid Alts December 23, 2014 by Robert Martorana Advisor Perspectives welcomes guest contributions. The views presented here do not necessarily represent those
More informationInvestment Policy Statement Example
Wealth Management Services Investment Consulting Investment Policy Statement Example High Net Worth Individual / Family Wealth (John & Mary HNW Client) Approved on June xx, 20xx FOR INFORMATIONAL PURPOSES
More informationInvestment Strategy Webinar. October 17, 2012
Investment Strategy Webinar October 17, 2012 Presenters Steve Cummings, President & CEO Phone: 847.442.0064 Email: stephen.cummings@aonhewitt.com Tapan Datta, Principal Global Asset Allocation Phone: 011
More informationAlphaSolutions Blended Bull/Calendar
AlphaSolutions Blended Bull/Calendar An investment model based on trending strategies coupled with market analytics for downside risk control with predetermined investment periods Portfolio Goals Primary:
More informationTactical Asset Allocation in the Age of ETFs
2016 Tactical Asset Allocation in the Age of ETFs Henry Ma, Ph.D., CFA President and Chief Investment Officer Julex Capital Management 101 Federal Street Suite 1900 Boston, MA 02110 617-261-8549 henry.ma@julexcapital.com
More informationVideo: GIC Wealth Management Perspectives
GLOBAL INVESTMENT COMMITTEE FEB.8, 2017 Video: GIC Wealth Management Perspectives Video: The Case for Active Management A new video takes a deep dive into the drivers of recent Active Manager underperformance
More informationManaging Portfolios in a Low- Return Environment
Managing Portfolios in a Low- Return Environment April 2013 1 2 Litman Gregory Overview Established in 1987, we provide investment management services to high-networth individuals, families, nonprofits,
More informationIQ Hedge Multi-Strategy Tracker ETF (QAI) Summary. Description. Historical prices (1 year) RATINGS* DIAMONDS* ETFG RISK RATING 3.
IQ Hedge Multi-Strategy Tracker ETF (QAI) Tearsheet as of 7:55 pm, May 02, 2014. Summary RATINGS* DIAMONDS* ETFG RISK RATING 3.59 Description The IQ Hedge Multi-Strategy Tracker ETF is an exchange-traded
More informationTHE FULL SPECTRUM. This model has indicated a bull market environment since early Spectrum Financial, Inc. Market Environment Model
THE FULL SPECTRUM GENERAL MARKET COMMENTARY The financial markets have been responding well to the Federal Reserve s threats of interest rate hikes. In addition, the bull market is overdue for a correction,
More informationDestinations. Defensive Qualified. March 31, Asset class breakdown. Portfolio overview* Key statistics. Portfolio holdings
Destinations Defensive Qualified March 31, 2018 Portfolio overview* Absolute return objective Low volatility and low correlation to equity markets Suited for investors with a timeframe of 1+ years Key
More informationDIVERSIFYING VALUE: THINKING OUTSIDE THE BOX
Legg Mason Thought Leadership DIVERSIFYING VALUE: THINKING OUTSIDE THE BOX Michael J. LaBella, CFA Portfolio Manager Smart beta can be utilized within the traditional style box framework to help investors
More informationINSERT ACCOUNT ADDENDUM HERE
INSERT ACCOUNT ADDENDUM HERE SCHEDULE OF SERVICES & FEES JEFFERSON NATIONAL MONUMENT ADVISOR Asset Management SERVICES Other (Financial/Estate Planning etc.) * For a detailed description of Money Manager
More informationInnovative Solutions to Navigate the Market
BMO Global Asset Management Innovative Solutions to Navigate the Market BMO ETF Based Mutual Funds ETFs are extremely efficient tools that provide great flexibility to our Asset Allocation Team in quickly
More informationBROAD COMMODITY INDEX
BROAD COMMODITY INDEX COMMENTARY + STRATEGY FACTS JULY 2018 100.00% 80.00% 60.00% 40.00% 20.00% 0.00% -20.00% -40.00% -60.00% CUMULATIVE PERFORMANCE ( SINCE JANUARY 2007* ) -80.00% ABCERI S&P GSCI ER BCOMM
More informationGoldman Sachs Asset Allocation Portfolios Investment Outlook
Goldman Sachs Asset Allocation Portfolios Investment Outlook Overview The Goldman Sachs Asset Allocation Portfolios are managed by the Global Portfolio Solutions (GPS) team. 1 GPS has been designing customized
More informationFundAdvisor. Building diversified portfolios of high-quality mutual funds
FundAdvisor Building diversified portfolios of high-quality mutual funds One James Center 901 East Cary Street, Suite 1100 Richmond, VA 23219 (888) 285-1863 Davenport & Company LLC Member NYSE l FINRA
More informationNASDAQ U.S. MULTI-ASSET
GLOBAL INDEXES NASDAQ U.S. MULTI-ASSET Diversified income INDEX NASDAQ U.S. Multi-Asset Diversified income Index Ticker Code: NQMAUS For more information, visit nasdaqomx.com/indexes. Due to the declining
More informationBROAD COMMODITY INDEX
BROAD COMMODITY INDEX COMMENTARY + STRATEGY FACTS JANUARY 2018 100.00% 80.00% 60.00% 40.00% 20.00% 0.00% -20.00% -40.00% -60.00% CUMULATIVE PERFORMANCE ( SINCE JANUARY 2007* ) -80.00% ABCERI S&P GSCI ER
More information