The 100/30 portfolio uses an enhanced indexing approach, benchmarked to 70% of the S&P 500, and 100% of the portfolio is long while 30% is short. Factor-model analysis, with a tax-efficiency overlay, is used to select individual securities. Value (price-to-earnings, price-to-cash flow and price-to-book), momentum and short-term reversal are among the factors used. Our portfolio construction process determines the attractiveness of individual assets by ranking them according to a set of risk factors. We believe that portfolios built upon these factors have outperformed index and stock-picker strategies. Based on all these characteristics, we believe these portfolios may exhibit lower volatility and drawdowns compared with other strategies.
We believe that active management does not always work and, instead, use enhanced equity index models. This is based on the semi-annual SPIVA numbers showing that active managers are consistently outperformed by their benchmarks and S&P's “persistence scorecard” showing that the percentage of managers outperforming over time is in line only with random expectations. Some factors though have been identified as consistent sources of outperformance and that the benchmark outperformance of 200-300 basis points (after fees) can be achieved through factor-model analysis. We prescribe to the academic work of Nobel laureates Bill Sharpe and Eugene Fama, as well as the works of Ken French, Mark Carhart, Narasimhan Jegadeesh and many others.
For this quantitative portfolio which rebalances quarterly, data is pulled from Bloomberg and models are run in Matlab. Metrics used for valuation scores are price-to-earnings, price-to-cash flow and price-to-book. Historical stock prices are used to generate momentum and short-term reversal opportunities. For the tax-efficiency overlay, a non-linear optimization algorithm is used to maximize the Sharpe Ratio.
Our factor analysis is done on sectors and geographies in addition to individual securities. Each sector and geography is underweighted or overweighted by no more than 20%. Portfolios are rebalanced quarterly. There are typically 75 holdings in the portfolio at any one time.
Each quarter, our models are run in Matlab and a new model portfolio is generated. The tax-efficiency overlay is run and positions that can be replaced with another holding with a better after-tax expected return are sold.
Past performance is no guarantee of future results.
Performance of the portfolio manager's account is calculated by Covestor on a daily time-weighted basis, including cash, dividends and earnings distributions and broker commissions. Manager returns include trades and positions that fail Covestor's trading rules, as a result, actual client returns will differ. Covestor advisory fees are simulated and applied retro-actively to present the portfolio return "net-of-fees".
Average client returns are calculated by Covestor and are composed of the average, time-weighted returns of all active client investments (some of which may contain investment restrictions) to the underlying portfolio. These daily average returns are then linked together for the timeframe presented. These returns include cash, dividends, earnings distributions, brokerage commissions and Covestor advisory fees.
All graph data is as of the end of day for the referenced period, unless otherwise specified. The investment minimum is the minimum investment required to follow a particular portfolio. The minimum amount is determined by Covestor, based on the characteristics of the underlying portfolio. It should not be considered as specific investment advice for your investment situation.
The performance charts are provided for informational purposes only, and should not be used as the basis for making an investment decision. Variables such as corporate actions or foreign exchange may affect daily performance displays. We rely on mathematical formulas, computer programs, and pricing information from third-party vendors to provide these returns. Neither Covestor nor any of its data or content providers shall be liable for any errors in this information or any actions taken by you in reliance upon this information.
Benchmark returns have been calculated by Covestor using a time-weighted calculation of daily index valuations. Benchmarks presented are total return and therefore inclusive of cash, dividends and earnings distributions but not transaction costs.
Leverage indicates the level of margin utilized and is calculated by dividing gross exposure by portfolio net liquidation value.
All Portfolio Manager information including personal data, profiles, strategies, monthly investment reports, and historical results outside of Covestor has been provided by the Portfolio Manager. Covestor makes no representation or warranty of its accuracy, completeness or relevance and it does not represent the opinions of Covestor. Transaction history is available upon request. Portfolio classifications are provided by Covestor, and are intended to serve as a general guide.
Transactions that are marked as "Replicable" passed Covestor's trading rules and were eligible for replication at the time of execution, subject to individual
client constraints. Eligibility for replication may change over time. Actual client investment trade activity may vary.
Index returns do not reflect any management fees, transaction costs or expenses. Individuals cannot invest directly in an Index.