Investment Advisor

Swan

Financial Services,Swan Asset Mgmt

Education Tuck School, Williams College
Qualifications MBA, CFA
Investment Experience 30+ Years
Founded 2000

International Hedged Equity

Exceptions
Sell Discipline
Allocation Discipline
Research
Approach
Summary

This model serves to realize the growth potential of international stocks but guard against the full impact of market losses. Equity investments are selected from companies domiciled or operating outside the U.S. International stocks trading in U.S. markets as American depositary receipts (ADR) are used to build positions and are hedged against broad market risk during volatile markets.

The model’s objective is to preserve capital and to provide returns with less risk than the market. To accomplish this goal, the model focuses on the fundamental importance of profitability and value. The model purchases profitable businesses at attractive prices with solid management and competitive advantages.

Using multiple data sources, stocks are screened for financial characteristics including various measures of value, profitability, growth, cash flow, and leverage. Companies passing this screen are ranked by profitability and value to prioritize investment candidates. To finalize the selection process, further research is conducted using corporate financial statements, Wall Street brokerage reports, and reports from independent research firms.

Too much diversification can limit a model’s performance without reducing risk. As a result, stocks are typically spread among 20 equal-weighted positions. In general, equity holdings are characterized by high returns on capital, consistent growth, reasonable valuation and diversification across six, or more, economic sectors, often with substantial income.

The sell-discipline is dictated primarily by changes in the fundamental factors that drive stock selections. If profitability is expected to become permanently impaired because of diminishing growth prospects or higher capital requirements, a position will be sold. Also, a position may be sold if the stock price has increased to a level that is no longer attractive in relation to the intrinsic value of the business.

None.

Approach Fundamental
Asset class Equity
Cap Bias Large caps
Geography Global

Replicability

100.0%

Replicable

Top 5 Holdings View all

20.8%

4.9%

4.8%

4.7%

SPXU
NGG
BTI
DEO
VOD

Model commentary

Anemic growth in the time of massive debt

22 April 2012

As it was two years ago, U.S. economic growth is still slow and the recovery has yet to show signs of self-sustaining progress.
Christian moral principle investing - with strong … 15 November 2011
By Ben Graham's valuation method, this market is … 22 September 2011
We've added these defensive stocks in the hea… 19 July 2011
Nokia scrambling for lost market share in sma… 7 July 2011

Performance detail

Manager
Dow Jones Global
S&P 500

30D 90D 365D SI

Performance

Inception July 29, 2010

as of May 23, 2012	Manager	Dow Jones Global	S&P 500	Average Subscriber
Past 30 days	-2.9%	-6.8%	-3.5%	-
Past 90 days	-4.8%	-9.4%	-3.3%	-
Past 365 days	-10.5%	-11.5%	0.2%	-
Since Inception (Annualized)	-1.0%	1.9%	10.4%	-
2012 (YTD)	-4.5%	0.3%	4.9%	-
2011	-2.1%	-9.9%	0.0%	-4.3%

Risk Metrics

Last 365 Days

as of May 23, 2012	Manager	Dow Jones Global	S&P 500
Best 30 days	3.8%	13.6%	13.6%
Worst 30 days	-5.0%	-16.3%	-16.7%
Volatility	6.3%	21.1%	23.2%
Sharpe Ratio	-1.69	-0.55	0.00
Sortino Ratio	-2.45	-0.76	0.00
Maximum Drawdown	-12.9%	-22.1%	-18.8%
Value-at-risk (95%, 1 week)	-1.5%	-4.9%	-5.4%

	vs. Dow Jones Global	vs. S&P 500
Information Ratio	0.05	-0.43
Alpha	-10.9%	-11.0%
Beta	0.02	-0.03
R-Squared	0.01	0.01

Latest transactions view all

Average trades per month 4.0

Executed	Symbol	Security	Replicable	Type	Price
02/24/12	ESV	Ensco plc		Buy	$59.56
02/24/12	RIG	Transocean Ltd		Sell	$51.15
02/08/12	VXX	iPATH S&P 500 VIX Short-Term Futures ETN		Sell	$24.38
02/08/12	SPXU	ProShares UltraPro Short S&P 500		Buy	$10.50
02/08/12	RIG	Transocean Ltd		Buy	$49.40
02/08/12	RHHBY	ROCHE HOLDINGS LTD-SPONS ADR		Buy	$44.64
02/08/12	TEVA	Teva Pharmaceutical Industries Ltd		Buy	$45.12
02/08/12	NOK	NOKIA CORP-SPON ADR		Buy	$5.22

Swan Asset Mgmt's other strategies

You might also like...

$5,000 subscription min
1.1% 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
Philadelphia Investment Management dba Swan Asset Management Form ADV II

Swan