Strategy: αc U.S. Equities
Aggressive Long-Term Capital Appreciation
The portfolio pursues a strategy that seeks to achieve equity-like returns with lower volatility and drawdowns compared to traditional equity through active ETF selection, risk management and diversification. It is thus expected to produce higher risk-adjusted returns than market indexes.
We use a systematic approach to constructing the portfolio by ranking ETFs in the investment universe using a number of technical indicators and proprietary formulas. We then select those that rank in the top 2, weight them equally, and rebalance once a month at most. During unfavorable market conditions the portfolio invests in fixed income instruments.
The investment universe for the portfolio is comprised of U.S. equities only, mostly consisting of large-cap companies.
Period: March 1987 - March 2021.