Harloff Capital Management Profile Picture Investment Advisor

Harloff Capital

Portfolio Manager,Financial Services,Harloff Capital Management

  • Qualifications PhD
  • Founded 1981

Opportunistic ETF

This model allocates according to market conditions across sectors and asset classes. It is opportunistic and quantitative, focusing on ETFs.  The model uses an ETF database to track and rank ETF price movements and momentum.

In certain market conditions, the model may own ADRs.
Quantitative approach not found in any text books and developed over many years. Employed through ETFs.
Employing a commercial database of ETF pricing data, the model compares absolute momentum and rank accordingly. It then compares buy-sell signals for a wide variety of ETFs.
This model allocates according to market conditions into high absolute momentum ETFs.  It may go into cash or inverse ETFs when market timing calls for it.
This model will sell when the ETF pricing gives quantitative sell-signals based on momentum.
In certain market conditions, the model may own ADRs.

Risk rating

4
20.2%

Best 30 days

-22.8%

Worst 30 days

Performance

  • 5.7%
    30 day
  • 17.3%
    365 days
  • 9.7%
    Since Inception
    April 13, 2010
Monthly vs S&P500
Sparkbar Graph, Opportunistic ETF Investment Model Performance versus S&P500
18.6%

Last 12 months

  • $25,000.00 subscription min
  • Margin account required
  • 2.3% fee

Replicability

32.6%
65.5%
1.9%
67.4%
  • Non-replicable
  • Holdings
  • Cash
  • Replicable

Top 5 Holdings View all

32.6%
34.2%
31.3%
  • EFO
  • IGN
  • EWZ

Model commentary

  1. The macro trends that matter this year

    11 February 2012

    Will the Year of the Dragon be a flying and fire-breathing beast for the markets?

  2. The U.S. should remain a safe haven for investment 10 January 2012
  3. We think the low is in and it's time to buy 13 November 2011
  4. Another recession is not probable until the rate … 12 September 2011
  5. Opportunistic and quantitative ETF investing … 26 July 2011

show more


Performance detail

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

Performance

Inception April 13, 2010
as of February 21, 2012 Manager Dow Jones Global S&P 500 Average Subscriber
Past 30 days 5.7% 5.3% 3.6% -
Past 90 days 22.1% 17.9% 17.3% -
Past 365 days 17.3% -4.8% 1.4% -
Since Inception (Annualized) 5.1% 3.2% 7.2% -
2012 (YTD) 11.8% 10.7% 8.3% -
2011 13.5% -9.9% -0.0% -

Risk Metrics

Last 365 Days
as of February 21, 2012 Manager Dow Jones Global S&P 500
Best 30 days 20.2% 13.6% 13.6%
Worst 30 days -22.6% -16.3% -16.7%
Volatility 31.3% 21.1% 23.3%
Sharpe Ratio 0.55 -0.24 0.05
Sortino Ratio 0.73 -0.32 0.07
Maximum Drawdown -27.4% -24.1% -19.4%
Value-at-risk (95%, 1 week) -7.3% -4.9% -5.4%
vs. Dow Jones Global vs. S&P 500
Information Ratio 1.11 0.99
Alpha 24.2% 16.0%
Beta 1.16 1.17
R-Squared 0.61 0.75

Latest transactions view all

Average trades per month 1.0
Executed Symbol Security Replicable Type Price
02/21/12 IGN ISHARES S&P NA TEC-MUL N IF Yes Buy $31.16
02/10/12 IBB ISHARES NASDAQ BIOTECH INDX Yes Sell $118.78
02/08/12 IBB ISHARES NASDAQ BIOTECH INDX Yes Buy $119.64
02/08/12 EWZ iShares MSCI Brazil Index Fund Yes Buy $69.03
02/08/12 EFO PROSHARES ULTRA MSCI EAFE   Buy $69.80
02/07/12 IWM iShares Russell 2000 Index Fund Yes Sell $82.69
06/29/11 IWM iShares Russell 2000 Index Fund Yes Buy $82.10
05/10/11 TBH TELEBRAS-SPONS ADR   Sell $8.64
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  • $25,000.00 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 A Business Cycle - White Paper


About investing

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