Focal Point Management Profile Picture Investment Advisor

Focal Point

Founder,Financial Services,Focal Point Management

  • Education University of Michigan
  • Qualifications MBA
  • Investment Experience 11 years

Quantitative Hedging

This quantative model is concentrated and takes a rotational, adaptive approach to investing in different market indices and sectors.

The portfolio may also seek to invest in individual stocks as opportunities present themselves.
A quantitative, rotational approach to investing in different market sectors. Some hedging when internal indicators are overbought.

The manager believes the key to long term capital growth is a data driven, quantitative approach to investing. Fundamentals are secondary, he believes, as the data should drive investment decisions and success.
Statistical studies and quantitative analysis are used to develop a signal-based sector rotation strategy.
Very concentrated approach – the model will generally carry between 1 to 5 positions on a daily basis.
Each day the model provides a quantitatively derived signal for which sectors and/or markets to get into - and which sectors and/or markets to exit out of.
Occassional hedging will be done when short term indicators are overbought. This may entail a short position.

Risk rating

5
42.2%

Best 30 days

-35.3%

Worst 30 days

Performance

  • 13.8%
    30 day
  • -15.6%
    365 days
  • -10.4%
    Since Inception
    April 11, 2010
Monthly vs S&P500
Sparkbar Graph, Quantitative Hedging Investment Model Performance versus S&P500
-14.9%

Last 12 months

  • $10,000.00 subscription min
  • Margin account required
  • 2.3% fee

Replicability

0.0%
98.6%
1.4%
100.0%
  • Non-replicable
  • Holdings
  • Cash
  • Replicable

Top 5 Holdings View all

98.6%
  • XIV

Model commentary

  1. Playing direct volatility

    12 January 2012

    We'll use a more conventional long/short equity approach in our other portfolio.

  2. Staying long the Nasdaq, looking for institut… 20 May 2011
  3. Low volatility presents challenges for tactical … 20 April 2011
  4. A quantitative approach to the markets - Focal … 25 March 2011
  5. Seeing opportunity in these oil and gas companies … 25 March 2011

show more


Performance detail

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

Performance

Inception April 11, 2010
as of February 09, 2012 Manager Dow Jones Global S&P 500 Average Subscriber
Past 30 days 13.8% 6.9% 4.6% -
Past 90 days 9.3% 6.6% 7.0% -
Past 365 days -15.6% -4.8% 2.4% -
Since Inception (Annualized) -5.8% 2.6% 7.0% -
2012 (YTD) 27.4% 9.4% 7.5% -
2011 -32.0% -9.9% -0.0% -

Risk Metrics

Last 365 Days
as of February 09, 2012 Manager Dow Jones Global S&P 500
Best 30 days 42.2% 13.6% 13.6%
Worst 30 days -35.3% -16.3% -16.7%
Volatility 55.7% 21.0% 23.2%
Sharpe Ratio -0.28 -0.24 0.09
Sortino Ratio -0.35 -0.31 0.12
Maximum Drawdown -47.4% -24.1% -19.4%
Value-at-risk (95%, 1 week) -12.9% -4.9% -5.4%
vs. Dow Jones Global vs. S&P 500
Information Ratio -0.20 -0.35
Alpha 0.7% -5.7%
Beta 0.75 0.88
R-Squared 0.08 0.13

Latest transactions view all

Average trades per month 14.9
Executed Symbol Security Replicable Type Price
02/09/12 XIV VELOCITYSHARES INV VIX SH-TM Yes Buy $8.95
01/23/12 XIV VELOCITYSHARES INV VIX SH-TM Yes Sell $8.22
01/17/12 XIV VELOCITYSHARES INV VIX SH-TM Yes Buy $7.36
01/17/12 TVIX VELOCITYSHARES 2X VIX SH-TRM Yes Sell $24.44
01/10/12 TVIX VELOCITYSHARES 2X VIX SH-TRM Yes Buy $23.54
01/09/12 XIV VELOCITYSHARES INV VIX SH-TM Yes Sell $7.31
12/28/11 XIV VELOCITYSHARES INV VIX SH-TM Yes Buy $6.47
12/28/11 TVIX VELOCITYSHARES 2X VIX SH-TRM Yes Sell $32.40
Focal Point Management's other strategies
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  • $10,000.00 subscription min
  • Margin account required
  • 2.3% 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

Background provided by the manager Focal Point Form ADV II


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