Brendan Ruchert-Dixon Profile Picture Individual Investor

B Ruchert-Dixon

Software Engineer

  • Education Stanford University
  • Qualifications MS, BS

Beta Blocker

The Beta Blocker strategy uses long and short ETF positions and seeks to achieve absolute returns with very low volatility. The core of the portfolio is made up of index ETFs. Smaller short positions are held in ETFs that I believe have a negative expected return.
Each trade in the Beta Blocker model is evaluated to determine its potential risk relative to its potential reward. The model seeks to only make trades that I believe offer more potential reward than risk.
My research data comes from a variety of publicly available resources including company reports and regulatory filings. I examine both current and historical data in researching every potential investment.
The Beta Blocker model achieves diversification by holding or shorting ETFs in a variety of asset classes, including bonds, stocks, and commodities. The percentage dedicated to each ETF or asset class may vary. It will always be chosen with an eye toward limiting risk.
For some ETFs, I use proprietary formulas to determine how much to sell or buy.

With others, I will make the decisions on a case-by-case basis, closing positions either when they have reached my price target or when conditions have changed to invalidate my original expectations.
The Beta Blocker model may trade individual stocks if I feel that an appropriate opportunity arises. In such situations, I seek to maintain my focus on risk management. No inappropriately large allocation will be made to any one individual stock.

Risk score

4
5.9%

Best 30 days

-2.0%

Worst 30 days

Performance

  • -0.3%
    30 day
  • -1.8%
    90 day
  • 3.5%
    365 day
Monthly vs S&P500
brendan ruchert dixon - beta blocker
-19.1% 12 months
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  • $20,000 subscription min
  • Margin account required
  • 0.5% fee

Replicability

100.0%
  • Replicable

Top 5 Holdings View all

60.7%
56.8%
7.5%
4.5%
-12.1%

Model commentary

  1. I pounced when Apple fell below $425

    11 March 2013

    Apple has a low PE, an incredible balance sheet, and potential for further growth.

  2. My two resolutions for 2013 26 December 2012
  3. My investment in Best Buy has yet to deliver 20 November 2012
  4. Going long Best Buy and short natural gas 7 October 2012
  5. Fed stimulus will deliver only a short term sugar buzz for stocks 6 September 2012

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Performance detail

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

Performance

Inception June 01, 2011
as of June 17, 2013 Manager Dow Jones Moderate Conservative S&P 500 Average Subscriber
Past 30 days -0.3% -1.0% -1.7% -0.2%
Past 90 days -1.8% 1.1% 5.9% -1.8%
Past 365 days 3.5% 9.9% 22.1% 3.5%
Since Inception (Annualized) 7.0% 5.1% 11.4% -
2013 (YTD) -1.2% 3.5% 14.9% -1.0%
2012 6.7% 8.4% 13.4% 5.3%

Risk Metrics

Last 365 days
as of June 17, 2013 Manager Dow Jones Moderate Conservative S&P 500
Best 30 days 2.9% 2.9% 8.2%
Worst 30 days -1.9% -2.3% -7.0%
Volatility 4.0% 4.4% 12.4%
Sharpe Ratio 0.82 2.23 1.77
Sortino Ratio 1.28 3.46 2.65
Maximum Drawdown -2.5% -2.6% -7.7%
Value-at-risk (95%, 1 week) -0.9% -1.0% -2.9%
vs. Dow Jones Moderate Conservative vs. S&P 500
Information Ratio -1.15 -1.41
Alpha 2.5% 3.9%
Beta 0.11 -0.02
R-Squared 0.01 0.00
Brendan Ruchert-Dixon's other strategies
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  • $20,000 subscription min
  • Margin account required
  • 0.5% fee

Latest transactions view all

Average trades per month 2.0
Executed Symbol Security Replicable Type Price
04/17/13 ELD WISDOMTREE EMRG MKTS DEBT Yes Sell $53.24
04/17/13 AAPL Apple Inc Yes Buy $402.05
03/20/13 UNG US NATURAL GAS FUND LP Yes Sell short $21.64
03/04/13 FXE CURRENCYSHARES EURO TRUST Yes Buy to cover $128.92
03/04/13 BBY BEST BUY CO INC Yes Sell $17.50
02/15/13 UNG US NATURAL GAS FUND LP Yes Buy to cover $17.72
02/15/13 VTI Vanguard Total Stock Market ETF Yes Sell $78.44
02/15/13 FAZ DIREXION DAILY FINANCIAL BEAR 3X SHARES Yes Sell short $11.73


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. 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.

6. 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

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

8. 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.

9. 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.

10. 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.

11. 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/Dow Jones Indices LLC, a subsidiary of The McGraw-Hill Companies Copyright © 2013.


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