Flagship
Flagship
www.qplum.co
1620 Plaza 5 Jersey City, NJ 07311 (888) QPLUM - 4U
[email protected]
(201) 604-5422
Snapshot
W ho is t his for? Families looking for consistent growth via moderate risk exposure
Ideal For Retirement, IRA accounts, Children?s Education
Risk Level Moderate
Object ive Long-Term Wealth Creation
Time Horizon Long -Term
St rat egies Trend Following, Risk Parity, Regime Switching, Mean Reversion
Invest ment t hemes
Fees
US, Europe, Real Estate, Emerging Markets
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
Flagship is our most advanced investment portfolio. It invests automatically using algorithms. It is for investors looking to create and manage wealth in the long-term. There are two themes in here - learning from data, and defense. The former is about continuous improvement and steady returns. The latter is about not losing big and being consistent. Flagship is a very well-diversified portfolio. It invests in 45+ ETFs from three essential asset classes stocks, bonds, and real estate. The stocks are diversified across sectors and market caps. The bonds portfolio has a mix of treasuries, municipal bonds, corporate bonds, MBS, etc. All three asset classes are diversified geographically across the US and International markets. If you had invested in this strategic portfolio in the last twenty years, almost never would you have lost more than 21% in a year. That?s less than half of what you would have lost with the S&P 500!
Key St at ist ics
Annualized Return Sharpe Rat io Cumulative Return Best Month
14.5% 1.9 25.0% 4.1%
Worst Month
-2.1%
Maximum Drawdown
-4.4%
Positive months
85.0%
Annualized Std Dev AUM
7.2% $24.5M
Stats shown are realized stats since inception till September-21-2017.
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 The Flagship Portfolio is a combination of multi-frequency trading strategies based on Trend-Following, Risk Parity, Machine Learning, and Global Macro. We go one step further and use machine learning of regime variables like volatility and signal strength to dynamically adjust the risk allocated to each strategy style every day. In our studies, this machine-learning step achieves significant incremental outperformance. 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.
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 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.
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
In addition to the above, we have built on our long successful track record of systematic global macro to include some investment themes for current markets. We discuss these in the next section.
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.
Macro Themes
Europe The European stocks risk parity strategy - PAR Europe - gives equity exposure to developed European markets. We think this is the best time to invest in European equities in the last ten years because: -
European stocks are at about nine tenth of the peak they reached before the financial crisis of 2008 - 2009
-
European unemployment rate is still at about 10% but it has started to drop fast
-
US was exactly at these figures in 2010 Q2, stocks at nine-tenths of the pre-financial-crisis-peak and unemployment at 9.5%. Since then US stocks have more than doubled in value
-
We think European markets are where US markets were in 2010. There is a chance that the central bank accommodation in Europe can produce great equity market returns going forward.
Real Est at e The Real-estate risk parity strategy - PAR Real estate - gives the right mix of exposure to growth in US and international real estate market. Real estate exposure is a must for any young at heart investor like Janet Yellen. We think the central banks will be the ultimate backstop for home prices for the next decade. There is a smart way to be long real estate. Risk Parity?s inbuilt dynamic risk management ensures that we can get out of real estate before it swings south.
Value in Emerging Market s The Emerging Markets Risk Parity strategy - PAR Emerging Markets - gives exposure to EM stocks and bonds. EM stocks have lagged behind developed markets since the global recession. There is strong value in these due to growth opportunity in the coming years. EM bonds have consistently done well over the last decade. They offer higher interest rate against developed markets. 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.
Backt est ed 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, Flagship would have returned a healthy 30% .
Financial Crisis (2007 May - 2009 March)
US stocks lost as much as 57% in the 2007-2009 financial crisis, Flagship would have lost less than 13%.
7 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.
Charact er of Port folio
Rising Int erest Rat es (2004 June - 2006 July)
In this time period, Flagship could have returned more than 35%.
Bull Market (2009 April - 2011 January)
In the bull market after the crisis, the Flagship could have potentially gained more than 20%.
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 (888) QPLUM - 4U
[email protected]
(201) 604-5422
Snapshot
W ho is t his for? Families looking for consistent growth via moderate risk exposure
Ideal For Retirement, IRA accounts, Children?s Education
Risk Level Moderate
Object ive Long-Term Wealth Creation
Time Horizon Long -Term
St rat egies Trend Following, Risk Parity, Regime Switching, Mean Reversion
Invest ment t hemes
Fees
US, Europe, Real Estate, Emerging Markets
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
Flagship is our most advanced investment portfolio. It invests automatically using algorithms. It is for investors looking to create and manage wealth in the long-term. There are two themes in here - learning from data, and defense. The former is about continuous improvement and steady returns. The latter is about not losing big and being consistent. Flagship is a very well-diversified portfolio. It invests in 45+ ETFs from three essential asset classes stocks, bonds, and real estate. The stocks are diversified across sectors and market caps. The bonds portfolio has a mix of treasuries, municipal bonds, corporate bonds, MBS, etc. All three asset classes are diversified geographically across the US and International markets. If you had invested in this strategic portfolio in the last twenty years, almost never would you have lost more than 21% in a year. That?s less than half of what you would have lost with the S&P 500!
Key St at ist ics
Annualized Return Sharpe Rat io Cumulative Return Best Month
14.5% 1.9 25.0% 4.1%
Worst Month
-2.1%
Maximum Drawdown
-4.4%
Positive months
85.0%
Annualized Std Dev AUM
7.2% $24.5M
Stats shown are realized stats since inception till September-21-2017.
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 The Flagship Portfolio is a combination of multi-frequency trading strategies based on Trend-Following, Risk Parity, Machine Learning, and Global Macro. We go one step further and use machine learning of regime variables like volatility and signal strength to dynamically adjust the risk allocated to each strategy style every day. In our studies, this machine-learning step achieves significant incremental outperformance. 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.
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 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.
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
In addition to the above, we have built on our long successful track record of systematic global macro to include some investment themes for current markets. We discuss these in the next section.
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.
Macro Themes
Europe The European stocks risk parity strategy - PAR Europe - gives equity exposure to developed European markets. We think this is the best time to invest in European equities in the last ten years because: -
European stocks are at about nine tenth of the peak they reached before the financial crisis of 2008 - 2009
-
European unemployment rate is still at about 10% but it has started to drop fast
-
US was exactly at these figures in 2010 Q2, stocks at nine-tenths of the pre-financial-crisis-peak and unemployment at 9.5%. Since then US stocks have more than doubled in value
-
We think European markets are where US markets were in 2010. There is a chance that the central bank accommodation in Europe can produce great equity market returns going forward.
Real Est at e The Real-estate risk parity strategy - PAR Real estate - gives the right mix of exposure to growth in US and international real estate market. Real estate exposure is a must for any young at heart investor like Janet Yellen. We think the central banks will be the ultimate backstop for home prices for the next decade. There is a smart way to be long real estate. Risk Parity?s inbuilt dynamic risk management ensures that we can get out of real estate before it swings south.
Value in Emerging Market s The Emerging Markets Risk Parity strategy - PAR Emerging Markets - gives exposure to EM stocks and bonds. EM stocks have lagged behind developed markets since the global recession. There is strong value in these due to growth opportunity in the coming years. EM bonds have consistently done well over the last decade. They offer higher interest rate against developed markets. 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.
Backt est ed 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, Flagship would have returned a healthy 30% .
Financial Crisis (2007 May - 2009 March)
US stocks lost as much as 57% in the 2007-2009 financial crisis, Flagship would have lost less than 13%.
7 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.
Charact er of Port folio
Rising Int erest Rat es (2004 June - 2006 July)
In this time period, Flagship could have returned more than 35%.
Bull Market (2009 April - 2011 January)
In the bull market after the crisis, the Flagship could have potentially gained more than 20%.
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.
