Fairway
Fairway
www.qplum.co
1620 Plaza 5 Jersey City, NJ 07311 (201) 377-2302
[email protected]
(201) 604-5422
Snapshot
W ho is t his for? Corporate Cash Reserves, Families, Individuals
Ideal For Corporate Cash Reserves, Emergency Funds, High-Yield Checking Account
Risk Level Very Low
Object ive Income generation with very low risk
Time Horizon Short-Term
St rat egies Risk-adjusted Yield Parity, Regime Switching, Trend Following, Risk parity, Mean Reversion
Invest ment t hemes
Fees
High Yield Bonds, High Dividend Stocks
0.50% per annum, ($50/year on $10,000)
All investments carry risk. This material is for informational purposes and should not be considered specific investment advice or recommendation to any person or organization. Past performance is not indicative of future performance. Please visit our website for full disclaimer and terms of use.
Flagship
2
2
Int roduct ion
This portfolio has one goal, which is to generate income with very low target risk. An ideal investor would be an individual who is looking for an experience similar to a liquid high-yielding checking account, but with some risks. The intended investing experience with this portfolio should be one of low but stable income, and even in the worst years for markets it should not lose more than 5%. This is a great fit for corporations who are looking to earn a good yield from their cash reserves. The portfolio invests in a blend of trend following and risk parity strategies, through some of the most liquid ETFs. These ETFs are sectorally diversified across Equities, Fixed Income, and Real Estate; and geographically diversified across US, Europe, and Major Emerging Markets.
Key St at ist ics Annualized Return Sharpe Rat io
7.87% 2.50
Cumulative Return
6.16%
Best Month
1.57%
Worst Month
-0.28%
Maximum Drawdown
-1.18%
Positive months
70.00%
Annualized Std Dev AUM
2.87% $1.64 M
Stats shown are realized stats since inception till 1-September-2017.
3 Flagship Flagshipcarry risk. This material is for informational purposes and should not be considered specific investment advice or recommendation to any person or3 All investments organization. Past performance is not indicative of future performance. Please visit our website for full disclaimer and terms of use.
Invest ment Ideas This portfolio is based on a number of consistently working ideas. Let's go through them one by one. However, before we talk about them, please remember that nothing works all the time. In fact, there are many market micro and macro structural variables that can help us understand which ideas are more likely to work now and that is where the data-driven risk allocation system (ML-CIO ) comes in. The combination of strategy styles is more robust than each of them individually.
One of the most successful strategies over all financial data is Trend-Following. It is a feedback loop from past investment performance to find winners in the future. We have seen Trend-Following a.k.a. momentum strategies work well over time. They are especially well suited to this strategy since we are trying to have a low dependence on asset prices going up, i.e. a low beta. We use Trend-Following with a low target risk in this strategy. Historically that has led to a smooth stable ride.
Risk Parity and more broadly Risk-Mitigation strategies are a set of strategies that have a nose for detecting trouble. The risk parity strategy systematically tries to stay away from danger. For negative skew asset classes like emerging markets and real estate a risk parity overlay has done really well in the past. We include the Risk Parity style in this strategy.
Two good ideas are better than one.
It pays to be quick to react to a good opportunity.
Volatility goes up fast and comes down slowly, every time!
4 All investments Lotus carry risk. This material is for informational purposes and should not be considered specific investment advice or recommendation to any person or4 organization. Past performance is not indicative of future performance. Please visit our website for full disclaimer and terms of use.
Invest ment Ideas
We seek yield in such a way that products with higher yields per unit risk get a higher allocation than the others. This enhances the portfolio's overall yield while keeping the downside fairly low. To accommodate for scenarios of sharp interest rate hikes, we implement tight instrument level stop-losses.
We have a regime-switching strategy, which looks at current market variables like interest rates, volatility levels and macroeconomic variables to compute the portfolio that is best suited to the current regime. This is very similar to how the human mind works. The brain files information with context. For instance, your mind brings up images of your favorite Chinese food restaurant, if you happen to smell Chinese food in lunch hour. Similarly, in markets, the optimal portfolio for risk-on times is very different than an optimal portfolio during risk-off times.
Compound interest is the 8th wonder of the world.
We believe in changing our approach based on changes in market seasons.
Virtually all short term strategies try to capture some sort of a reversion to the mean. It has been seen time and again that prices often shoot up and regress about the mean . Our regression and sharp dip strategies look for these opportunities to buy low and sell high. Reversion to the mean is the iron rule of the financial markets
5 All investments Lotus carry risk. This material is for informational purposes and should not be considered specific investment advice or recommendation to any person or5 organization. Past performance is not indicative of future performance. Please visit our website for full disclaimer and terms of use.
High Yielding Inst rument s
High Yielding Bonds -
iShares iBoxx $ High Yield Corporate Bond ETF (HYG)
-
Vanguard Emerging Markets Government Bond Market ETF (VWOB)
-
Vanguard Long-Term Bond ETF (BLV)
-
iShares Investment Grade Corporation World Bond Market ETF (LQD)
-
SPDR Bloomberg Barclays Convertible Securities ETF (CWB)
High-Dividend St ocks -
iShares U.S. Preferred Stock ETF (PFF)
-
Vanguard US Utilities ETF (VPU)
-
Vanguard FTSE Europe ETF (VGK)
-
Vanguard US High Dividend Yield ETF (VYM)
-
Vanguard US Telecom ETF (VOX)
Real Est at e -
iShares Mortgage Real Estate Capped ETF (REM)
-
Vanguard REIT Index Fund (VNQ)
-
Vanguard Global ex-U.S. Real Estate ETF (VNQI)
6 Flagship Flagship All investments Flagshipcarry risk. This material is for informational purposes and should not be considered specific investment advice or recommendation to any person or6 organization. Past performance is not indicative of future performance. Please visit our website for full disclaimer and terms of use.
Port folio Performance Here, we will discuss backtested performance of this portfolio to highlight how this portfolio would have performed in different market seasons
Flat Int erest Rat es (2012 July - 2016 Oct ober)
In the last 4 years, Fairway gave 18% return, which is great considering its risk level.
Financial Crisis (2007 May - 2009 March)
In the 2007-2009 financial crisis, Fairway lost just 4%, thanks to the tight risk-manager.
All investments carry risk. This material is for informational purposes and should not be considered specific investment advice or recommendation to any person or organization. Past performance is not indicative of future performance. Please visit our website for full disclaimer and terms of use.
7
Charact er of Port folio Rising Int erest Rat es (2004 June - 2006 July)
In this time period, Fairway returned a healthy 13%. This is remarkable, considering the allocation to fixed income.
Bull Market (2009 April - 2011 January)
In the bull market after the crisis, Fairway gained nearly 13%.
Disclosures: All investments carry risk. This material is for informational purposes and should not be considered specific investment advice or recommendation to any person or organization. Past performance is not indicative of future performance. Please visit our website for full disclaimer and terms of use.
8 All investments carry risk. This material is for informational purposes and should not be considered specific investment advice or recommendation to any person or organization. Past performance is not indicative of future performance. Please visit our website for full disclaimer and terms of use.
www.qplum.co
1620 Plaza 5 Jersey City, NJ 07311 (201) 377-2302
[email protected]
(201) 604-5422
Snapshot
W ho is t his for? Corporate Cash Reserves, Families, Individuals
Ideal For Corporate Cash Reserves, Emergency Funds, High-Yield Checking Account
Risk Level Very Low
Object ive Income generation with very low risk
Time Horizon Short-Term
St rat egies Risk-adjusted Yield Parity, Regime Switching, Trend Following, Risk parity, Mean Reversion
Invest ment t hemes
Fees
High Yield Bonds, High Dividend Stocks
0.50% per annum, ($50/year on $10,000)
All investments carry risk. This material is for informational purposes and should not be considered specific investment advice or recommendation to any person or organization. Past performance is not indicative of future performance. Please visit our website for full disclaimer and terms of use.
Flagship
2
2
Int roduct ion
This portfolio has one goal, which is to generate income with very low target risk. An ideal investor would be an individual who is looking for an experience similar to a liquid high-yielding checking account, but with some risks. The intended investing experience with this portfolio should be one of low but stable income, and even in the worst years for markets it should not lose more than 5%. This is a great fit for corporations who are looking to earn a good yield from their cash reserves. The portfolio invests in a blend of trend following and risk parity strategies, through some of the most liquid ETFs. These ETFs are sectorally diversified across Equities, Fixed Income, and Real Estate; and geographically diversified across US, Europe, and Major Emerging Markets.
Key St at ist ics Annualized Return Sharpe Rat io
7.87% 2.50
Cumulative Return
6.16%
Best Month
1.57%
Worst Month
-0.28%
Maximum Drawdown
-1.18%
Positive months
70.00%
Annualized Std Dev AUM
2.87% $1.64 M
Stats shown are realized stats since inception till 1-September-2017.
3 Flagship Flagshipcarry risk. This material is for informational purposes and should not be considered specific investment advice or recommendation to any person or3 All investments organization. Past performance is not indicative of future performance. Please visit our website for full disclaimer and terms of use.
Invest ment Ideas This portfolio is based on a number of consistently working ideas. Let's go through them one by one. However, before we talk about them, please remember that nothing works all the time. In fact, there are many market micro and macro structural variables that can help us understand which ideas are more likely to work now and that is where the data-driven risk allocation system (ML-CIO ) comes in. The combination of strategy styles is more robust than each of them individually.
One of the most successful strategies over all financial data is Trend-Following. It is a feedback loop from past investment performance to find winners in the future. We have seen Trend-Following a.k.a. momentum strategies work well over time. They are especially well suited to this strategy since we are trying to have a low dependence on asset prices going up, i.e. a low beta. We use Trend-Following with a low target risk in this strategy. Historically that has led to a smooth stable ride.
Risk Parity and more broadly Risk-Mitigation strategies are a set of strategies that have a nose for detecting trouble. The risk parity strategy systematically tries to stay away from danger. For negative skew asset classes like emerging markets and real estate a risk parity overlay has done really well in the past. We include the Risk Parity style in this strategy.
Two good ideas are better than one.
It pays to be quick to react to a good opportunity.
Volatility goes up fast and comes down slowly, every time!
4 All investments Lotus carry risk. This material is for informational purposes and should not be considered specific investment advice or recommendation to any person or4 organization. Past performance is not indicative of future performance. Please visit our website for full disclaimer and terms of use.
Invest ment Ideas
We seek yield in such a way that products with higher yields per unit risk get a higher allocation than the others. This enhances the portfolio's overall yield while keeping the downside fairly low. To accommodate for scenarios of sharp interest rate hikes, we implement tight instrument level stop-losses.
We have a regime-switching strategy, which looks at current market variables like interest rates, volatility levels and macroeconomic variables to compute the portfolio that is best suited to the current regime. This is very similar to how the human mind works. The brain files information with context. For instance, your mind brings up images of your favorite Chinese food restaurant, if you happen to smell Chinese food in lunch hour. Similarly, in markets, the optimal portfolio for risk-on times is very different than an optimal portfolio during risk-off times.
Compound interest is the 8th wonder of the world.
We believe in changing our approach based on changes in market seasons.
Virtually all short term strategies try to capture some sort of a reversion to the mean. It has been seen time and again that prices often shoot up and regress about the mean . Our regression and sharp dip strategies look for these opportunities to buy low and sell high. Reversion to the mean is the iron rule of the financial markets
5 All investments Lotus carry risk. This material is for informational purposes and should not be considered specific investment advice or recommendation to any person or5 organization. Past performance is not indicative of future performance. Please visit our website for full disclaimer and terms of use.
High Yielding Inst rument s
High Yielding Bonds -
iShares iBoxx $ High Yield Corporate Bond ETF (HYG)
-
Vanguard Emerging Markets Government Bond Market ETF (VWOB)
-
Vanguard Long-Term Bond ETF (BLV)
-
iShares Investment Grade Corporation World Bond Market ETF (LQD)
-
SPDR Bloomberg Barclays Convertible Securities ETF (CWB)
High-Dividend St ocks -
iShares U.S. Preferred Stock ETF (PFF)
-
Vanguard US Utilities ETF (VPU)
-
Vanguard FTSE Europe ETF (VGK)
-
Vanguard US High Dividend Yield ETF (VYM)
-
Vanguard US Telecom ETF (VOX)
Real Est at e -
iShares Mortgage Real Estate Capped ETF (REM)
-
Vanguard REIT Index Fund (VNQ)
-
Vanguard Global ex-U.S. Real Estate ETF (VNQI)
6 Flagship Flagship All investments Flagshipcarry risk. This material is for informational purposes and should not be considered specific investment advice or recommendation to any person or6 organization. Past performance is not indicative of future performance. Please visit our website for full disclaimer and terms of use.
Port folio Performance Here, we will discuss backtested performance of this portfolio to highlight how this portfolio would have performed in different market seasons
Flat Int erest Rat es (2012 July - 2016 Oct ober)
In the last 4 years, Fairway gave 18% return, which is great considering its risk level.
Financial Crisis (2007 May - 2009 March)
In the 2007-2009 financial crisis, Fairway lost just 4%, thanks to the tight risk-manager.
All investments carry risk. This material is for informational purposes and should not be considered specific investment advice or recommendation to any person or organization. Past performance is not indicative of future performance. Please visit our website for full disclaimer and terms of use.
7
Charact er of Port folio Rising Int erest Rat es (2004 June - 2006 July)
In this time period, Fairway returned a healthy 13%. This is remarkable, considering the allocation to fixed income.
Bull Market (2009 April - 2011 January)
In the bull market after the crisis, Fairway gained nearly 13%.
Disclosures: All investments carry risk. This material is for informational purposes and should not be considered specific investment advice or recommendation to any person or organization. Past performance is not indicative of future performance. Please visit our website for full disclaimer and terms of use.
8 All investments carry risk. This material is for informational purposes and should not be considered specific investment advice or recommendation to any person or organization. Past performance is not indicative of future performance. Please visit our website for full disclaimer and terms of use.
