Covestor

smBRMCOV : Small Cap Broad Market Portfolio



  • Additional attributes Small cap
  • Strategy Covestor Smart Beta
The Small Cap Broad Market portfolio is a portfolio designed to systematically deliver return and risk characteristics of small cap stocks within the US equity market.  The portfolio is implemented using a rules-based approach and offered at a relatively low cost.
The portfolio is constructed using a rules-based algorithm to determine position allocations.  Allocations are a blend of capitalization weights and equal weights. The portfolio is rebalanced quarterly.
The goal is to achieve an alternative risk-return profile, which is more attractive than a simple capitalization-weighted index such as the Russell 2000. The weighting methodology results in a portfolio that has less risk concentration in securities with large price appreciation.
The portfolio will target an allocation of 1,000 long positions.  The allocations are a blend of equal and capitalization weight. Because of the equal weight component, the portfolio has a larger proportion of smaller companies compared to a purely market  capitalization weighted portfolio. The weight allocation in this portfolio makes it less prone to having concentration in bubble stocks that have experienced dramatic price appreciation.
Sell decisions will be based only upon the quarterly rebalance criteria; every quarter the portfolio is rebalanced to target weights.
Positions in stocks undergoing corporate actions may be sold or adjusted.

Actual results (since December 20, 2016) displayed. Hypothetical returns are available. Disclosures.

Hypothetical returns (before December 20, 2016) displayed. Disclosures.

Hypothetical returns (Annualized)

11.4%

1 year

1Y

5.8%

3 year

3Y

13.5%

5 year

5Y

8.1%

10 year

10Y

11.2%

Since inception

SI

Risk score

  • 26.0%

    Best quarter

  • -26.6%

    Worst quarter

    • 0.08% fee
    • $5,000 min

Hypothetical returns detail

Hypothetical returns (Annualized) from April 30, 1999 to November 30, 2016

as of November 30, 2016 Manager (net of fees ) S&P 500
1 year 11.4% 5.7%
3 year 5.8% 6.8%
5 year 13.5% 12.0%
10 year 8.1% 4.6%
Since inception 11.2% 3.1%

Hypothetical risk metrics from April 30, 1999 to November 30, 2016

as of November 30, 2016 Manager (net of fees ) S&P 500
Volatility (Annualized) 20.4% 14.8%
Sharpe ratio 0.53 0.18
Sortino ratio 0.83 0.24
Maximum drawdown -53.1% -52.6%
Value-at-risk (95%, 1 week) -8.6% -7.2%
vs. S&P 500
Information Ratio 0.68
Alpha 8.1%
Beta 1.12
R-Squared 0.66

Performance

-1.2%

Month to date

MTD

1.0%

Quarter to date

QTD

1.0%

Year to date

YTD

Quarterly vs S&P500

Quarterly vs S&P500

Risk score

  • -

    Best quarter

  • -

    Worst quarter

    • 0.08% fee
    • $5,000 min

Performance detail

Performance Portfolio inception December 20, 2016

as of March 28, 2017 Manager (net of fees ) Russell 2000 S&P 500
Month-to-date -1.2% -1.4% -0.2%
Quarter-to-date 1.0% 0.8% 5.3%
Last 365 Days - 26.6% 15.8%
Since inception -1.0% -1.2% 3.9%
2017 (YTD) 1.0% 0.8% 5.3%

Risk metrics Last 365 days

This portfolio is new to the Covestor platform and does not have 365 days worth of daily performance data required for us to calculate risk metrics.

Exposure

21.1%
16.1%
14.4%
14.0%
9.2%
  • Consumer, Non-cyclical
  • Financial
  • Industrial
  • Consumer, Cyclical
  • Technology

Top 5 securities

0.4%
0.2%
0.2%
0.2%
0.2%
View all

Portfolio commentary

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Important Information

  1. This portfolio was launched on Covestor on December 20, 2016. Return information prior to the launch date consists of hypothetical back-tested data not based on actual trading of real client funds. These hypothetical results reflect the deduction of (i.e., are net of) Covestor’s advisory fee, Interactive Brokers LLC brokerage and other commissions and other expenses that a client will have to pay if he invests in this portfolio after December 20, 2016. Hypothetical back-tested results are not an indicator of the future returns a client will realize by investing in this portfolio. No Covestor client actually attained these hypothetical results. For a more detailed discussion of the hypothetical nature of this return information and a discussion of the calculation methodology used, review these disclosures.
  2. There is an important distinction between the method used to calculate hypothetical and actual returns for this portfolio. Hypothetical back-tested returns before December 20, 2016 are calculated on a month-end basis with this monthly series of hypothetical returns then used as basis for calculating the various risk and return metrics presented. (Please read these disclosures for a detailed discussion of the calculation of hypothetical returns.) This is different from the returns based on actual trading of this portfolio starting on December 20, 2016 which were calculated daily, like the other portfolios on the Covestor platform. Consequently, the month-end calculation of hypothetical back-tested results for this portfolio may limit their comparability to the daily calculation of actual returns.
  3. 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.  
  4. The actual performance of the manager account is based on the performance of a Covestor proprietary account invested using this strategy and is calculated by Covestor on a daily time-weighted basis, including cash, dividends and earnings distributions. The actual performance for this portfolio is presented “net of fees” and reflects the deduction of the Covestor advisory fee, Interactive Brokers LLC brokerage and other commissions and expenses that a client has to pay if he invests in this portfolio after the launch date.
  5. 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.
  6. 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.
  7. The hypothetical back-tested and actual 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 (Thomson Reuters Worldscope database) 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.
  8. 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.
  9. Transaction history is available upon request. Portfolio classifications are provided by Covestor, and are intended to serve as a general guide.
  10. 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.