Investment Advisor

Sizemore Capital

Sizemore Capital

Education Texas Christian University, B.A. Phi Beta Kappa; London School of Economics, Master's in finance and accounting
Founded 2008

Tactical ETF

Exceptions
Sell Discipline
Allocation Discipline
Research
Approach
Summary

The Sizemore Capital Tactical ETF Portfolio is a Global Macro ETF model with a strong contrarian value focus. The model will utilize all major asset classes -- including U.S. and global equities, emerging market equities, bonds, currencies and commodities -- as market conditions warrant. The model will attempt to generate returns with less volatility by allocating to those asset classes the manager believes to be undervalued while avoiding or selling those asset classes deemed to be overvalued.

While this model does not intend to trade on margin (i.e. trade with borrowed money), having a margin account enables it to act quickly when opportunities arise rather than wait for funds to officially settle.

Sizemore Capital identifies the powerful macro trends driving the global economy and makes investments to profit from those trends by taking advantage of short-term mispricings to generate higher returns with less risk. Like Warren Buffett, we attempt to be greedy when others are fearful and fearful when others are greedy. And like legendary speculator George Soros, we attempt to identify the trend whose premise is false and bet against it.

In taking a "Big Picture" approach to portfolio management, Sizemore Capital will augment its traditional investment analysis by considering such factors as geopolitical developments, historical precedents and demographic trends.

Sizemore Capital will utilize various data sources, including but not limited to company financial statements, research reports, financial periodicals, academic papers, and security screeners and databases.

Though the Tactical ETF Portfolio may have concentrated allocations to stock market sectors, countries, currencies, or commodities, the manager will always keep the portfolio prudently diversified. Only under very rare circumstances would the portfolio have more than 10% of its assets targeted to any single non-diversified position. Well-diversified positions (i.e. those that cover a broad segment of the market) could have higher allocations. The portfolio will generally hold 7-10 positions.

Generally, Sizemore Capital will use stop loss orders or trailing stops as a risk management technique, though other methods may also be used. (Note: the Covestor replication process does not consider stop loss orders.)

The sell discipline will vary from position to position based on the risks and characteristics of the investment (i.e. certain investments may have wider stops than others). Sizemore Capital will take profits on successful investments when it believes its investments are fairly valued or it sees better opportunities elsewhere.

Given the portfolio's global macro mandate, Sizemore Capital will change the focus of the Tactical ETF Portfolio's investments as conditions warrant and new opportunities present themselves. The asset mix will potentially vary substantially from year to year, but the basic risk profile of the portfolio should remain unchanged.

Approach Macro
Asset class Multi Asset Class
Geography Global

Replicability

100.0%

Replicable

Top 5 Holdings View all

24.7%

21.3%

13.8%

11.8%

9.5%

Model commentary

The pain in Spain is a buying opportunity

22 May 2012

The prices in Madrid’s stock market are downright extraordinary.
The real lesson of the 2010 flash crash 17 May 2012
Why we changed the lineup on our ETF models 13 May 2012
Here's why the big money likes stocks 4 May 2012
How Peruvian horses show us the way in this market 27 April 2012

Performance detail

Manager
Dow Jones Aggressive
S&P 500

30D 90D 365D SI

Performance

Inception June 19, 2011

as of May 23, 2012	Manager	Dow Jones Aggressive	S&P 500	Average Subscriber
Past 30 days	-4.9%	-5.5%	-3.5%	-
Past 90 days	-7.1%	-7.2%	-3.3%	-
Since Inception	-2.5%	-3.2%	3.7%	-
2012 (YTD)	-0.3%	3.2%	4.9%	-

Risk Metrics

Since Inception

as of May 23, 2012	Manager	Dow Jones Aggressive	S&P 500
Best 30 days	10.7%	14.4%	13.6%
Worst 30 days	-14.5%	-18.0%	-16.7%
Volatility	21.6%	22.8%	23.6%
Sharpe Ratio	-0.13	-0.16	0.16
Sortino Ratio	-0.18	-0.21	0.21
Maximum Drawdown	-15.7%	-22.3%	-18.8%
Value-at-risk (95%, 1 week)	-5.0%	-5.3%	-5.5%

	vs. Dow Jones Aggressive	vs. S&P 500
Information Ratio	0.11	-1.29
Alpha	0.3%	-6.4%
Beta	0.91	0.89
R-Squared	0.91	0.95

Latest transactions view all

Average trades per month 1.5

Executed	Symbol	Security	Replicable	Type	Price
05/02/12	EWP	ISHARES MSCI SPAIN INDEX FD		Buy	$25.18
05/02/12	VIG	VANGUARD DIVIDEND APPRECIATION		Buy	$58.53
05/02/12	IVV	ISHARES S&P 500 INDEX FUND		Sell	$140.71
03/05/12	XLK	TECHNOLOGY SELECT SECT SPDR		Buy	$28.89
03/05/12	IXP	ISHARES S&P GLBL TELECOMM SE		Sell	$56.28
02/02/12	EWP	ISHARES MSCI SPAIN INDEX FD		Buy	$31.86
02/02/12	EWG	ISHARES MSCI GERMANY INDEX		Buy	$21.98
02/02/12	IYH	ISHARES DJ US HEALTHCARE SEC		Sell	$74.93

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$5,000 subscription min
margin account required
1.5% 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
Sizemore Form ADV II

Sizemore Capital