Auxan Capital Advisors LLC

Multi-Strategy Sector Rotation



  • Strategy ETFs / Funds
We use a multi-faceted approach. For this particular model, 35% is allocated to a Sector Rotation system (technical analysis based), another 35% to a Calendar system (based on sector seasonality), and the remaining 30% among index strategies that are managed using various types of data and analysis (earnings, inflation, price, linear regression, trend following, volatility, etc). We believe that using multiple strategies adds an important layer of diversification. Our primary aim isn’t necessarily to always outperform a benchmark, but rather to manage risk and achieve consistent returns in all types of markets.
Our approach is quantitative. We use various data sources (sector, index, macroeconomic) and write and backtest algorithms that determine when and what we buy or sell.
Most of the research involves writing the algorithms and backtesting. After that, it’s just a matter of following the rules and researching and testing new ideas as they come along.
Sector Rotation System (35%) – chooses 3 ETFs from a basket of 40 ETFs (various sectors and countries) each month, and occasionally goes defensive into cash or an inverse S&P ETF.

Calendar System (35%) – Rotates between 16 sectors based on seasonality. This will be more aggressive from November through April and more defensive from May through October.

Index Systems (30%) – Uses trend following and linear regression and invests in funds that follow broad indexes.

Cash (Varies) – In some cases, when strategies are out of the market, funds will be parked in some short-term bond ETFs instead of cash.

Number of positions will typically be between 7 and 20. Cash & Short-term bonds may represent 0-50% of the portfolio.  Portfolio turnover will be high. Most trades will result in short-term gains & losses, which may have tax implications for certain investors. Portfolio Beta will vary widely depending on the market circumstances, but overall beta will usually be less than 1.
Selling is based on the rules of each system. The Sector Rotation and Index systems will tend to go to cash relatively quickly, and the Calendar system will move in and out of sectors the same way each year at predetermined dates.
We expect to follow our rules consistently. However, should a significant event take place, we may make exceptions in order to move to safety.

Performance

-0.4%

Month to date

MTD

5.0%

Quarter to date

QTD

5.0%

Year to date

YTD

Quarterly vs S&P500

Quarterly vs S&P500

Risk score

  • 3.6%

    Best quarter

  • -6.6%

    Worst quarter

    • 1.5% fee
    • $30,000 min
  • Required: Margin account

Performance detail

Performance Portfolio inception July 14, 2014

as of March 22, 2017 Manager (net of fees ) S&P 500
Month-to-date -0.4% -0.6%
Quarter-to-date 5.0% 4.9%
Last 365 Days 13.3% 14.6%
Since inception (Annualized) 0.2% 6.6%
2017 (YTD) 5.0% 4.9%
2016 5.7% 9.5%
2015 -8.4% -0.7%

Risk metrics Last 365 days

as of March 22, 2017 Manager (net of fees ) S&P 500
Volatility 8.3% 10.1%
Sharpe Ratio 1.51 1.36
Sortino Ratio 2.01 1.79
Maximum Drawdown -5.2% -5.6%
Value-at-risk (95%, 1 week) -1.9% -2.3%
vs. S&P 500
Information Ratio -0.15
Alpha 5.5%
Beta 0.52
R-Squared 0.40

Exposure

83.5%
  • Equity Fund

Top 5 securities

8.3%
8.2%
8.1%
8.0%
7.7%
View all

Portfolio commentary

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Latest transactions Average trades per month 14.5

Executed Symbol Security Type Price
March 06, 2017 FXU First Trust Utilities AlphaDEX Fund Buy $27.52
March 06, 2017 FXG First Trust Consumer Staples AlphaDEX Fund Buy $46.32
March 06, 2017 ITA iShares US Aerospace & Defense ETF Buy $151.30
March 06, 2017 FDN First Trust Dow Jones Internet Index Fund Sell $86.41
March 06, 2017 FXH First Trust Health Care AlphaDEX Fund Sell $62.64
March 06, 2017 RYT Guggenheim S&P 500 Equal Weight Technology ETF Sell $118.71
March 06, 2017 AMJ JPMorgan Alerian MLP Index ETN Sell $32.99
February 28, 2017 FDN First Trust Dow Jones Internet Index Fund Buy $86.86
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Important Information

  1. Past performance is no guarantee of future results.
  2. 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. Average client returns are calculated by Covestor and are composed of the asset-weighted daily average 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, and earnings distributions, and reflect the deduction of Covestor advisory fees, brokerage and other commissions and expenses actually paid by clients.
  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. Leverage indicates the level of margin utilized and is calculated by dividing gross exposure by portfolio net liquidation value.
  8. 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.
  9. 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.
  10. This portfolio uses short selling. 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.
  11. This portfolio uses borrowed funds or leverage to fund investments. 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.