Atlas Capital

Global Downside Protected



  • Strategy ETFs / Funds
The Atlas Global Downside Protected (GDP) strategy is a global equity strategy benchmarked to the MSCI All-Country World Index (ACWI).  GDP is designed to reduce the risk of large loss in sustained market declines, while still striving to achieve gains when stock markets are rising.  The strategy does this by avoiding segments of global stock markets that have heightened risk profile; staying fully invested in “good markets” (using cash sparingly); and opportunistically managing foreign exchange rate risk.   As with the other Atlas strategies, GDP uses a consistent, systematic approach with a foundation in academic and Atlas proprietary research.
1) Invest Globally: 
-Diversification across geographic markets provides the opportunity to benefit when there are attractive markets outside the home country.

2) Create alpha from beta management:
-Return of any equity market index (the equity beta) can be achieved dynamically and cheaply via ETFs or futures
-Additional return (alpha) can be generated from systematic beta management – informed choices about which stock markets to own-Generating alpha from beta management is often under-appreciated and under-utilized by investors

3)Take risk only when rewarded:
-Determine “bad neighborhoods”: Examine valuation, momentum, fundamentals, sentiment, risk and currency impacts for each market
-"Water the flowers, not weeds”: Spread the risk budget to good neighborhoods only
-“Correlation matters”: When too many neighborhoods turn bad, we will move assets to short-term fixed income to avoid losses for investors.
The firm utilizes academic research (Fama French, Carhart, and others) as well as in-house research, which is ongoing.  Atlas has been running enhanced equity index strategies since 2003.  Currently, the firm runs seven equity strategies.  Proprietary models have been developed in Matlab.    The GDP strategy has been back-tested to 2001.  The test utilizes the returns of market indices (as provided by Bloomberg) for the performance of each sector/geography.
1.       Universe Selection:  Forty-eight segments of global stock market, four tiers of weighting, based on market capitalization, equal weight within tiers

2.       Neighborhood Screen:  Countries/sectors that exhibit bad neighborhood characteristics (bad valuation or a downward price trend in local currency) are excluded

3.      Valuation Assessment:  Remaining countries/sectors are evaluated based on economic fundamentals, risk, expected return and historical valuation metrics

4.       Portfolio Weighting:  Remaining countries/sectors are re-weighted based on risk and valuation outlook.  If too few “good neighborhoods” some allocation to short-term fixed income.

5.       Currency Management:  Major currency exposures are aggregated and evaluated.  The currency risk is hedged if value and trend indicate hedging desirable.
Portfolios are rebalanced monthly.  Quantitative screens are run based on value and momentum. Holdings are sold when value and momentum characteristics are undesirable.
None

Portfolio Manager performance

-0.2%

Last 30 days

30D

2.8%

Last 90 days

90D

11.7%

Last 365 days

365D

Quarterly vs S&P500

Quarterly vs S&P500

Risk score

  • 6.6%

    Best quarter

  • -1.4%

    Worst quarter

    • 0.75% fee
    • $20,000 min
  • Required: Margin account

Portfolio Manager performance graph

All performance information on this page is based on the performance of the Portfolio Manager’s account. Client performance may differ. Client account performance is displayed on the client dashboard.

Performance Portfolio inception July 29, 2015

as of June 20, 2017 Manager (net of fees ) MSCI All Country World ETF S&P 500
Last 30 days -0.2% 0.2% 2.3%
Last 90 days 2.8% 3.8% 3.8%
Last 365 Days 11.7% 15.0% 17.0%
Since inception (Annualized) 2.5% 4.8% 7.9%
2017 (YTD) 8.9% 10.6% 8.9%
2016 1.4% 6.0% 9.5%

Risk metrics Last 365 days

as of June 20, 2017 Manager (net of fees ) MSCI All Country World ETF S&P 500
Volatility 10.2% 11.5% 9.6%
Sharpe Ratio 1.05 1.22 1.67
Sortino Ratio 1.37 1.36 2.08
Maximum Drawdown -4.6% -7.1% -5.3%
Value-at-risk (95%, 1 week) -2.4% -2.7% -2.2%
MSCI All Country World ETF vs. S&P 500
Information Ratio -0.78 -1.09
Alpha -0.5% -3.6%
Beta 0.83 0.94
R-Squared 0.87 0.78

Exposure

97.6%
  • Equity Fund

Top 5 securities

7.0%
6.5%
6.2%
5.9%
5.9%
View all

Portfolio commentary

  1. Profile Picture Trump reset November 14, 2016

    The stock market prices in the Trump policy shift

  2. Profile Picture Asia tilt October 12, 2016
  3. Profile Picture Volatile times for stocks July 13, 2016
  4. Profile Picture Brexit: The big picture July 01, 2016
  5. Profile Picture Navigating choppy waters June 23, 2016
Show more

Latest transactions Average trades per month 6.6

Executed Symbol Security Type Price
December 08, 2016 GREK Global X MSCI Greece ETF Buy $8.36
December 08, 2016 EIS iShares MSCI Israel Capped ETF Sell $46.84
December 08, 2016 EWP iShares MSCI Spain Capped ETF Buy $26.86
December 08, 2016 EWG iShares MSCI Germany ETF Buy $26.12
December 08, 2016 EWL iShares MSCI Switzerland Capped ETF Sell $28.73
December 08, 2016 XLF Financial Select Sector SPDR Fund Buy $23.72
December 08, 2016 XLE Energy Select Sector SPDR Fund Buy $76.33
December 08, 2016 VOX Vanguard Telecommunication Services ETF Sell $98.21
View all

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Important Information

  1. Past performance is no guarantee of future results, and all investments, including those in this portfolio, involve the risk of loss, including loss of principal and a reduction in earnings.  
  2. All performance information on this page is based on the performance of the Portfolio Manager’s account, using the manager’s own funds. Portfolio Manager’s pre-Covestor performance information may include performance of non-Covestor client accounts. Performance of the Portfolio Manager's account is calculated by Covestor on a daily time-weighted basis, including cash, dividends and earnings distributions and reflects the deduction of 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 retroactively to present the portfolio return "net-of-fees".
  3. None of the performance information displayed on this page is based on the actual performance of any Covestor client account investing in this portfolio. The performance in a Covestor client account invested in this portfolio may differ (i.e., be lower or higher) from the Portfolio Manager’s account performance based on any trading restrictions imposed by the client (resulting in different account holdings), time of initial investment, amount of investment, frequency and size of cash flows in and out of the client account, applicable brokerage commissions, and different corporate actions. Clients investing in this portfolio may view the actual performance of their investment in this portfolio by logging into their Covestor account and reviewing their customized dashboard.
  4. 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.
  5. The performance charts are provided for informational purposes only, and should not be used as the basis for making an investment decision. 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.
  6. Benchmark returns displayed have been calculated by Covestor using daily benchmark prices and do not include dividend income. More information here. For certain portfolios Covestor uses an index as a benchmark, while for others it uses an investable exchange traded fund (ETF) as a benchmark. Index returns do not reflect the deduction of any management fees, transaction costs or expenses. Individuals cannot invest directly in an index. Investable ETF returns reflect the deduction of (i.e., are net of) management fees, transaction costs and expenses.
  7. 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 of Portfolio Managers is available upon request. Portfolio classifications are provided by Covestor, and are intended to serve as a general guide.
  8. Not all transactions listed will appear in accounts due to Covestor's trading rules and individual client constraints. Eligibility of these securities is monitored periodically, and may change over time. Actual client investment holdings may vary.
  9. The Portfolio Manager could use short selling to manage this portfolio. Short selling is more complex than simply owning securities, involves a high degree of risk, is highly speculative, and is not suitable for all investors. The risk of loss associated with short selling is virtually unlimited. Short selling may also involve additional expenses and risks, including hard-to-borrow stock charges and buy-in risk. You should only select a portfolio using short selling if you are comfortable with the level of risk involved in short selling.
  10. The Portfolio Manager could use borrowed funds or leverage to fund investments in this portfolio. Leverage indicates the level of margin utilized and is calculated by dividing gross exposure by portfolio net liquidation value. Leverage involves a high degree of risk, is highly speculative, and is not suitable for all investors. Leverage increases both the amount you may lose and the amount you may make in a portfolio, leading to higher returns in the case of favorable market movements but also larger losses under adverse market conditions. You may also incur additional expenses associated with borrowing funds. You should only select a portfolio using leverage if you are comfortable with the level of risk involved in using leverage.