This is a multi-sector, long-only equity portfolio with a large-cap bias. Holding periods for individual stocks may exceed a year and usually are not shorter than a month. There is no particular value or growth bias. The portfolio attempts to be diversified across sectors.
The portfolio focuses on the long-term performance of selected stocks. Technical factors are of secondary importance. I select stocks from the S&P 500 through screening fundamental factors at the individual company level and the risks and opportunities at the sector level, combined by means of a factor-model calibration. The aim is to construct a portfolio that achieves a high positive information ratio (lower tracking error, given the excess return over the index).
The portfolio is based on a factor model, with company level fundamental data as explanatory variables, taking into account sector rotation over the business cycle, and the impact of commodity prices on various sectors. I verify parameters through a Bayesian approach.
The typical number of holdings will be within the range of 20-50. Depending on the global macro view, sector allocation weights may range from 0% to 50%. No individual stock will typically be allowed to have a weight of more than 25% of the overall portfolio. This will be achieved through occasional rebalancing.
I will usually sell a stock if it is no longer ranked in the top 25th percentile according to my screening model. A well-performing stock is typically sold if its annual performance becomes an outlier, given the historically observed performance of all the stocks in its sector.
Although the portfolio has primarily a large-cap bias, some allocation to mid-cap or small-cap stocks is not ruled out.
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 asset-weighted 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, 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.