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 [...]
November 2011 Fixed Income Portfolio Review
For the month of November 2011, the Fixed Income FolioModel returned -0.71% compared to-0.09% of the BarCap US Agg Bond TR. Much of this underperformance comes from the allocations in the Global-All Cap and Opportunistic segments, which were heavily weighted in either high yield or emerging markets. The standard deviation for this period was 1.95 for the Fixed Income FolioModel and 3.86 for the BarCap US Agg Bond TR. The model was about half as volatile over the month based on daily returns.
The Fixed Income FolioModel has been playing a balancing act with trying to mitigate any decline in domestic fixed income markets while also trying to participate in any upside of the riskier high yield and emerging market classes that tend to be much more correlated with equity markets. On the other hand, the fixed income markets have been more negatively correlated with those same equity markets. As a result, there has been a bit of a bifurcation in the way the portfolio is behaving. We would like to see equities start to gain strength putting pressure on the relatively high returns experienced in the fixed income markets (the FolioModel is protected against any large relative downsides in the fixed income markets because of the quality and duration in the domestic Core segment of our portfolio), while trying to take advantage of a rally with the Opportunistic segment of the portfolio that is positioned to take advantage of the momentum in the aforementioned riskier classes.
The extreme volatility in those higher risk classes has caused a whipsaw effect, creating a larger allocation to the much shorter term securities in the Core segment of the Fixed Income FolioModel. If the Opportunistic segment is on the wrong side of the trade, the losses of the portfolio are mitigated.
With that being said, over the course of the past 12 months, the Fixed Income FolioModel has returned 2.04%, while the BarCap US Agg Bond TR has returned 5.52%. The divergence is a result of the standard deviation of the model being only 40% of BarCap’s standard deviation. This has created a positive 12 month alpha of just under 1.00%.
This article, written by Chase Weaver, Portfolio Analyst, was originally published at FolioMetrix LLC .