May 2012 FMx Dynamic Equity ISM
Friday, May 4th, 2012
The FMx Dynamic Equity ISM seeks capital appreciation without regard to current income. The strategy primarily uses no-load institutional and exchange-traded funds. The portfolio is divided into 4 distinct segments. Each is designed to take advantage of those sectors and areas of the market that offer the best opportunities for good returns based on the [...]
Strategy Diversification
Wednesday, May 2nd, 2012
Our ten investment strategy models (ISMs), which are blended to create Optimized Portfolio Models (OPMs), provide the benefits of diversification through differing market conditions. The last year has been marked with uncertainty, and although the markets have moved upward, there have been very few periods of overly strong trends, either up or down. In fact, [...]
FMx Premier Asset Management Investment Strategy Model (ISM)
Wednesday, April 25th, 2012
The FMx Premier Asset Management Investment Strategy Model (ISM) identifies outstanding global investment managers who have a proven performance record of at least 5 years and a methodology for risk management. The month to date return is -1.09% versus -2.09% for its benchmark, the S&P Global BMI. The year to date return is 10.19 versus [...]
FMx Tax Managed OPMs
Monday, April 16th, 2012
The FMx Tax Managed Objective Portfolio Models have the objective of generating tax free income and tax managed appreciation over a long time horizon with differing degrees of portfolio risk. There are six portfolios including Aggressive, Moderately Aggressive, Moderate, Moderately Conservative, Conservative and Protective. The FMx Tax Managed Protective Model consists of approximately 90% fixed [...]
August Recap for Fixed Income Portfolio
Fixed Income markets continued to make huge advances in the first part of August, finishing the month at a 1.46% return for the BarCap US Aggregate Bond compared to -0.51% for the Fixed Income Model. We have been waiting for a couple months now for the fixed income markets to level off and return to more normalized returns. It seems like during the second half of August, it started to happen.
The pull back in the equity markets triggered more people to place dollars in fixed income and thus we saw huge returns in this space. The returns were so large that if annualized, July and August’s 2011 returns would be 19.51%. The last time the BarCap returned such a number over the course of the year was in 1995 when it was up 18.47%. We really don’t expect these types of returns to continue, however.
In fact, the second half of August already showed signs of a slowdown in the returns for the BarCap. The return of the BarCap from August 15 to the end of the month was -0.15 compared to a return of +0.18 for the Fixed Income Model.
Obviously, being on the wrong side of Treasuries the past couple months have relatively hurt our fixed income portfolio when we consider the BarCap. Over-weighted sectors such as Emerging Market have taken a bit of a hit, but, the move out of high yield saved the portfolio from experiencing a sector downturn of 3.72% (BarCap US High Yield B TR USD).
Our goal is to construct and provide a portfolio that is stable and provides returns over the course of the year in relation to the BarCap US Agg Bond Index. To provide evidence that this portfolio is reaching these goals, consider the following information:
August Data:
|
Return |
Standard Deviation |
|
| Fixed Income Model |
-0.51 |
3.39 |
| BarCap |
1.46 |
6.78 |
Trailing 12 Month Data:
|
Return |
Standard Deviation |
|
| Fixed Income Model |
4.32 |
2.00 |
| BarCap |
4.62 |
4.81 |
As you can see, the returns might deviate in the shorter term due to strategic portfolio positioning, however, we hope they will provide value over a little bit longer holding period. On a side note, the risk-adjusted return (alpha) for the trailing 12 time period was a +3.07 for the Fixed Income Model over the BarCap.
Important performance and disclaimer information about the Models and the Benchmarks is contained in the site’s Disclosures page and should be read in conjunction with the information presented above.
This article, written by Chase Weaver, Portfolio Analyst, was originally published at FolioMetrix LLC .