tactical money management-- strategy overviews and forecasting … · •global policy divergence,...
TRANSCRIPT
2015 Strategy Performance
A YEAR IN TRANSITION
• The end of QE in the U.S. First Interest Rate Hike
in 8 Years.
• Late economic cycle slowing.
• Global Policy Divergence, Global Currency Wars.
• Crashing commodity prices: Oil signaling deflation.
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Innovative-Liquid Alternative
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Quantitative Risk Models For More
RESILIENT PORTFOLIO OUTCOMES
SEC Registered Investment Advisor founded in 1996.
Two Decades of Experience in Researching,
Developing and Executing Tactical Risk Management
Dedicated Focus on Index based trading strategies
to help improve traditional risk/return expectations.
Innovative, Liquid Alternative Investment Strategies
with a Proven History of Success.
How We Invest
ASYMETRIC RETURNS
• Absolute Returns: Going beyond defensive cash: Returns
• Long / Short / Hedged: Institutional management, available
to retail level
• Investing for Outcomes: Pension / Endowment portfolio
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Understanding Markets
Bull vs Bear
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Bull Market Trends Bear Market Trends
High Daily Volatility Low Daily Volatility
Born in confidence Born in skepticism
Large Moves Persistent small gains
How We Invest
3 Factor Models
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LONG TERM TREND
LONG/SHORT
INTERMIDEIATE
TERM TREND
LONG/SHORT
SHORT TERM
VOLATILITY
Strategy Performance
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STRATEGY PERFORMANCE 1.20.2016 YTD
Tactical High Yield 0.48%
Long-Short Fixed Income +1.50%
Tactical Muni 0.39%
Long-Short Equity (1.80%)
INDEX COMPARISON:
Merrill Lynch HY Index (4.09%)
S&P Municipal Bond Index 0.99%
S&P 500 Index (9.03%)
Strategy Performance
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STRATEGY PERFORMANCE YTD 3YR 5YR INCEP
Tactical High Yield 0.48% 9.20% 7.88% 12.21%
Tactical Muni 0.39% 4.10% 4.74% 6.60%
Long-Short Equity (1.80%) 6.60% 4.14% 9.93%
INDEX COMPARISON:
Merrill Lynch HY Index (4.09%) 1.69% 5.04% 6.43%
S&P Municipal Bond Index 0.99% 3.23% 5.51% 4.59%
S&P 500 Index (9.03%) 15.13% 12.57% 7.09%
Strategy Risk
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STRATEGY DRAWDOWN MAX DRAWDOWN
Tactical High Yield (10.63%)
Tactical Muni (6.37%)
Long-Short Equity (19.41%)
INDEX COMPARISON:
Merrill Lynch HY Index (33.31%)
S&P Municipal Bond Index (6.97%)
S&P 500 Index (50.95%)
Strategy Correlation
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STRATEGY CORRELATION R2
Tactical High Yield 0.31
Tactical Muni 0.68
Long-Short Equity 0.24
INDEX COMPARISON:
Merrill Lynch HY Index 1.0
S&P Municipal Bond Index 1.0
S&P 500 Index 1.0
Federal Reserve Forecast
December 2015
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The Federal Reserve Open Market Committee is forecasting accelerating economic growth through 2018
Federal Reserve Forecast
December 2015
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The Federal Reserve Open Market Committee is forecasting accelerating economic growth through 2018
Federal Reserve Forecast
December 2015
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Despite enduring more than 20 recessions over the past 200 years, The Federal
Reserve has never forecast a recession. Ever.
Federal Reserve “DOT PLOT”
2016 Themes
Gravity should take hold
• Recession/Slowdown; Inverted Yield Curve
• Currency Wars will accelerate
• Credit default cycle is just beginning: 2nd
Inning
• Expect Volatility and Liquidity sell-offs
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