Tactical Energy


  • Additional attributes Sector
  • Strategy Etfs / funds
The Tactical Energy portfolio invests in energy exploration and production (E&P) companies. It makes its allocations based on a structured process and seeks to deliver risk-adjusted returns that may offer better value than buy-and-hold investments in the energy E&P sector.
The portfolio seeks to dynamically weight its exposure to the E&P sector in accordance with its likelihood to generate positive returns. We seek to exploit discrepancies in the ways price changes in the broad equity, crude oil, and natural gas markets propagate to the E&P sector.
The strategy is based on research that attempts to quantify the relationship between the broad equity markets, commodity prices, and the E&P sector. A significant divergence between expected and actual returns in the E&P sector represents a portfolio rebalancing opportunity.
The portfolio is usually allocated to a mix of Exchange Traded Funds that represent the E&P industry, the broad US equity markets, and companies exposed to crude oil and natural gas prices. It also may also allocate as much as 100% to cash, depending on market conditions.
Positions are closed and the portfolio is rebalanced when quantitative signals indicate that the E&P sector has become overvalued or undervalued relative to the other asset classes utilized within the strategy.
None.

Performance

2.7%

Month to date

MTD

5.4%

Quarter to date

QTD

32.7%

Year to date

YTD

Quarterly vs S&P500

Quarterly vs S&P500

Risk score

  • 14.4%

    Best quarter

  • -24.1%

    Worst quarter

    • 1% fee
    • $10,000 min
  • Required: Margin account

Performance detail

Performance Portfolio inception May 29, 2013

as of Dec 08, 2016 Manager (net of fees ) S&P Oil & Gas E & P ETF S&P 500
Month-to-date 2.7% 3.4% 2.2%
Quarter-to-date 5.4% 12.7% 3.6%
Last 365 Days 26.1% 33.3% 9.7%
Since inception (Annualized) -6.4% -9.6% 9.2%
2016 (YTD) 32.7% 43.4% 9.9%
2015 -26.3% -36.9% -0.7%
2014 -23.5% -30.2% 11.4%

Risk metrics Last 365 days

as of Dec 08, 2016 Manager (net of fees ) S&P Oil & Gas E & P ETF S&P 500
Volatility 37.7% 43.8% 13.7%
Sharpe Ratio 0.68 0.75 0.67
Sortino Ratio 1.03 1.22 0.88
Maximum Drawdown -26.1% -28.7% -12.0%
Value-at-risk (95%, 1 week) -8.7% -10.1% -3.2%
S&P Oil & Gas E & P ETF vs. S&P 500
Information Ratio -0.52 0.53
Alpha -1.1% 13.1%
Beta 0.82 1.69
R-Squared 0.91 0.38

Exposure

53.8%
45.7%
  • Equity Fund
  • Commodity Fund

Top 5 securities

53.8%
45.7%
View all

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Important Information

  1. Past performance is no guarantee of future results.
  2. Performance of the Portfolio Manager's account is calculated by Covestor on a daily time-weighted basis, including cash, dividends and earnings distributions and reflects the deduction of broker commissions. Manager returns include trades and positions that fail Covestor's trading rules, as a result, actual client returns will differ. Covestor advisory fees are simulated and applied retroactively to present the portfolio return "net-of-fees".
  3. Average client returns are calculated by Covestor and are composed of the asset-weighted daily average returns of all active client investments (some of which may contain investment restrictions) to the underlying portfolio. These daily average returns are then linked together for the timeframe presented. These returns include cash, dividends, and earnings distributions, and reflect the deduction of Covestor advisory fees, brokerage and other commissions and expenses actually paid by clients.
  4. 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.
  5. The 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 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. More information here.
  7. Leverage indicates the level of margin utilized and is calculated by dividing gross exposure by portfolio net liquidation value.
  8. All Portfolio Manager information including personal data, profiles, strategies, monthly investment reports, and historical results outside of Covestor has been provided by the Portfolio Manager. Covestor makes no representation or warranty of its accuracy, completeness or relevance and it does not represent the opinions of Covestor. Transaction history of Portfolio Managers is available upon request. Portfolio classifications are provided by Covestor, and are intended to serve as a general guide.
  9. 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.
  10. Index returns do not reflect any management fees, transaction costs or expenses. Individuals cannot invest directly in an Index. For certain portfolios we use an investable ETF as a benchmark, in these cases returns exclude or are net of management fees, transaction costs and expenses.
  11. This portfolio uses short selling. Short selling is more complex than simply owning securities, involves a high degree of risk, is highly speculative, and is not suitable for all investors. The risk of loss associated with short selling is virtually unlimited. Short selling may also involve additional expenses and risks, including hard-to-borrow stock charges and buy-in risk. You should only select a portfolio using short selling if you are comfortable with the level of risk involved in short selling.
  12. This portfolio uses borrowed funds or leverage to fund investments. Leverage involves a high degree of risk, is highly speculative, and is not suitable for all investors. Leverage increases both the amount you may lose and the amount you may make in a portfolio, leading to higher returns in the case of favorable market movements but also larger losses under adverse market conditions. You may also incur additional expenses associated with borrowing funds. You should only select a portfolio using leverage if you are comfortable with the level of risk involved in using leverage.