Brendan Ruchert-Dixon Profile Picture Individual Investor

B Ruchert-Dixon

Software Engineer

  • Education Stanford University
  • Qualifications M.S. & B.S. in Computer Science

Alpha Trapper

The model uses a long-short strategy, aiming for balanced growth in the long portion, while using short positions in poorly-structured ETFs to both hedge risk and generate extra returns.
For each purchase or short sale, estimates of long-term returns from the move are considered. Whether a position is held for a long or short time depends on how quickly those expectations are realized or invalidated.
For long positions, the model will hold mostly stock and bond index ETFs. For short positions, ETFs where the strategy followed by the ETF causes it to decay in value under most market conditions are used.

Research data all comes for publicly available sites.
The model will typically hold 3 to 5 long positions, mostly in stock & bond index funds. Short holdings could range from 0 up to maybe 8 to 10 if opportunities exist. Allocation is flexible, with the most going toward the best opportunities.
For regularly shorted ETFs, the model uses formulas based on the market conditions that are used to determine how much to sell or buy back. With others, decisions are made on a case by case basis, closing positions either when they have made the gains, or when conditions have changed to invalidate the original expectations.
Occasionally the model may buy individual company stocks if research shows them to be extremely undervalued (low price/book value). Or the model may buy stocks to hedge a short position (e.g. a natural gas royalty trust to offset a short position in a natural gas ETF).

Risk rating

4
Leverage: 1.01
8.2%

Best 30 days

-5.8%

Worst 30 days

Performance

  • -0.5%
    30 day
  • 23.5%
    365 days
  • 33.7%
    Since Inception
    December 02, 2010
Monthly vs S&P500
Sparkbar Graph, Alpha Trapper Investment Model Performance versus S&P500
27.3%

Last 12 months

  • $5,000.00 subscription min
  • Margin account required
  • 1.5% fee

Replicability

101.0%
19.9%
-22.2%
102.3%
80.1%
  • Leverage
  • Non-replicable
  • Holdings
  • Cash
  • Replicable

Top 5 Holdings View all

13.2%
16.3%
19.9%
-11.0%
-12.3%
  • VTI
  • JNK
  • ASFI
  • FAS
  • FXE

Model commentary

  1. Still looking for absolute return opportunities

    6 February 2012

    I have not abandoned my caution in the face of the market gains in January.

  2. Remaining cautious and market-neutral 11 January 2012
  3. Positioned for either an upswing or a downswing 8 December 2011
  4. Here's how I'm playing this volatility 8 September 2011
  5. Brendan Ruchert-Dixon on his new Covestor model … 25 August 2011

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Performance detail

  • Manager
  • Dow Jones Global
  • S&P 500
30D 90D 365D SI

Performance

Inception December 02, 2010
as of February 21, 2012 Manager Dow Jones Global S&P 500 Average Subscriber
Past 30 days -0.5% 5.3% 3.6% -0.5%
Past 90 days 1.5% 17.9% 17.3% 1.4%
Past 365 days 23.5% -4.8% 1.4% -
Since Inception (Annualized) 26.8% 2.7% 9.3% -
2012 (YTD) -1.6% 10.7% 8.3% -1.5%
2011 31.8% -9.9% -0.0% -

Risk Metrics

Last 365 Days
as of February 21, 2012 Manager Dow Jones Global S&P 500
Best 30 days 8.2% 13.6% 13.6%
Worst 30 days -5.8% -16.3% -16.7%
Volatility 12.9% 21.1% 23.3%
Sharpe Ratio 1.80 -0.24 0.05
Sortino Ratio 2.51 -0.32 0.07
Maximum Drawdown -6.3% -24.1% -19.4%
Value-at-risk (95%, 1 week) -3.0% -4.9% -5.4%
vs. Dow Jones Global vs. S&P 500
Information Ratio 1.65 1.26
Alpha 22.9% 20.4%
Beta 0.36 0.37
R-Squared 0.34 0.45

Latest transactions view all

Average trades per month 5.1
Executed Symbol Security Replicable Type Price
01/23/12 AGQ PROSHARES ULTRA SILVER Yes Sell short $56.45
01/23/12 ZSL PROSHARES ULTRASHORT SILVER Yes Sell short $11.20
01/23/12 UCO PROSHARES ULTRA DJ-UBS CRUDE OIL Yes Sell short $41.53
01/23/12 SCO PROSHRE U/S DJ-UBS CRUDE OIL Yes Sell short $37.60
01/18/12 VXX iPATH S&P 500 VIX Short-Term Futures ETN Yes Buy to cover $30.24
01/10/12 UNG US NATURAL GAS FUND LP Yes Buy to cover $6.37
12/09/11 UNG US NATURAL GAS FUND LP Yes Buy to cover $7.43
11/10/11 UNG US NATURAL GAS FUND LP Yes Buy to cover $8.32
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  • $5,000.00 subscription min
  • Margin account required
  • 1.5% fee

Important Information

1. Past performance is no guarantee of future results.

2. Performance of the model 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 that fail Covestor's trading rules, do not reflect any Covestor suitability or risk score restrictions and are exclusive of Covestor fees. More

3. Average subscription returns ("Avg Sub" or "Avg Client") are calculated by Covestor and are composed of the average, daily, time weighted returns of all active subscriptions to the underlying model. These daily average returns are then linked together for the timeframe requested. In addition, these returns include cash, dividends and earnings distributions, brokerage commissions, Covestor advisory fees, and reflect individual client suitability and risk score restrictions. More

4. All graph data is as of the end of day for the referenced period, unless otherwise specified. The subscription minimum is the minimum subscription required to follow a particular model. The minimum amount is determined by Covestor, based on the characteristics of the underlying model. It should not be considered as specific investment advice for your investment situation.

5. Benchmark returns have been calculated by Covestor using a time-weighted calculation of daily index valuations and do not include cash, dividends and earnings distributions, or transaction costs. More

6. Leverage indicates the level of margin utilized and is calculated by dividing gross exposure by portfolio net liquidation value.

7. All Model Manager information including personal data, profiles, strategies, monthly investment reports, and historical results outside of Covestor has been provided by the Model 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. Model classifications (Approach, Asset Class) are provided by Covestor, and are intended to serve as a general guide.

8. Top Replicable Holdings: These securities are currently held in the model manager's brokerage account. Those marked as "Replicable Holdings" currently pass Covestor's trading rules, subject to individual client constraints. Eligibility for replication may change over time. Actual client subscription holdings may vary.

9. Latest Transactions: These transactions were executed in the model manager's brokerage account. Those 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 subscription trade activity may vary.

10. S&P 500 Index is an unmanaged index compiled by Standard & Poor´s Corp. Index returns do not reflect any management fees, transaction costs or expenses. Individuals cannot invest directly in an Index. S&P 500 index data: S&P 500 Copyright © 2012.

11. Dow Jones index data: CME Group Index Services, LLC 2012


About investing

About Covestor

Covestor Ltd is an Investment Advisor regulated by the Securities and Exchange Commission under the Investment Advisors Act of 1940. This website is for informational purposes only. See important Terms of Use and Privacy Policy. All rights reserved. © Covestor, Ltd. 2012. System response and account access times may vary due to a variety of factors, including trading volumes, market conditions, system performance, and other factors. More