Objective

The CONSERVATIVE GLOBAL ETF PORTFOLIO seeks to provide capital preservation and attempts to outperform the benchmark on both a risk-adjusted and total return basis.

Investment Strategy

Using the Multi-Factor Ranking System, the top two ranked fixed income segments are identified and traded on a monthly basis. Other positions in the Portfolio are chosen by the Investments Committee to provide diversification, and to help guard against reversals in momentum. The Portfolio can also invest completely in cash when appropriate.

Portfolio Details

Inception: January 1, 2015
Benchmark: Barclays US Aggregate
Bond Index

Portfolio Statistics

Alpha: 2.34
Beta: 0.71
Upside Capture: 104.62
Downside Capture: 37.95
Standard Deviation: 3.63
Sharpe Ratio: 0.99

Portfolio Statistics are based on a 3 year rolling time-frame, and are calculated using monthly return data relative to the portfolio benchmark. Source: Morningstar Direct.

Conservative Global ETF portfolio

Multi-Factor Ranking System

Research-based model utilizing a combination of specific price momentum and risk factors to improve total returns for a portfolio of fixed income investments.

“Glass Box” Portfolio Construction

Fully transparent process that quantitatively invests 70% of assets based on the Multi-Factor Ranking System and quantitatively allocates 30% of the assets towards current market opportunities.

Actively-Managed Passive Investments

Portfolio actively invests among a carefully defined list of ETFs, including domestic and international fixed income sectors, in an effort to eliminate manager tracking error and minimize trading costs.

Trailing Returns as of 12/31/2017* Gross Return Net Return Benchmark Return
1 Month 1.34% 1.34% 0.46%
3 Month 1.48% 1.26% 0.39%
6 Month 3.21% 2.75% 1.24%
YTD 8.03% 7.08% 3.54%
 1 Year  8.03%  7.08% 3.54%
 3 Year  4.05%  3.20% 2.24%
 Inception  4.05%  3.20% 2.24%

Investment Growth

1/1/2015 to 12/31/2017

*Gross Returns are presented before management fees, but after all trading expenses and all expenses charged by the underlying funds and investment vehicles. Net Returns are based on gross returns and are calculated by deducting the management fee charged both by Fund Architects, LLC., and any introducing advisor if applicable. Returns shown over one year are annualized. See below for additional disclosures.
Standard Deviation – Standard deviation is a statistical measurement of dispersion about an average, which, for an investment, depicts how widely the returns varied over the time period indicated. Morningstar computes standard deviation using the trailing monthly total returns for the time period. All of the monthly standard deviations are then annualized.
Alpha – Alpha measures the difference between an investment’s actual returns and its expected performance, given its level of risk as measured by beta. A positive alpha figure indicates the investment has performed better than its beta would predict. In contrast, a negative alpha indicates that the investment underperformed, given the expectations established by its beta. Alpha is often seen as a measure of the value added or subtracted by a portfolio manager.
Beta – Beta is a measure of an investment’s sensitivity to movements in a benchmark. A portfolio with a beta greater than one is more volatile than the benchmark, and a portfolio with a beta less than one is less volatile than the benchmark.
Sharpe Ratio – Sharpe ratio is calculated by taking the investment’s average monthly excess return over the user-defined risk-free rate and dividing by the monthly standard deviation of excess returns to determine reward per unit of risk. A higher Sharpe ratio reflects better historical risk-adjusted performance.
Up/Down Percentage Ratio – Up/Down percentage ratio is a measure of the number of periods that the investment outperformed/underperformed the benchmark when the benchmark had positive/negative returns. A larger/smaller ratio is better.
Currency – The currency used for data in the report is US Dollar (USD).
Benchmark – Barclays US Aggregate Bond Index is a market value-weighted index that tracks the daily price, coupon, pay-downs, and total return performance of fixed-rate, publicly placed, dollar-denominated, and nonconvertible investment grade debt issues with at least $250 million par amount outstanding and with at least one year to final maturity. An investment cannot be made directly in an index.

Top Constituents

Weightings %
First Trust Preferred Securities 35.00%
iShares 10-20 Year Treasury Bond 35.00%
VelocityShares Daily Inverse VIX Medium Term 10.00%
Guggenheim BulletShrs 2021 HY CorpBd ETF 6.00%
Guggenheim BulletShrs 2020 HY CorpBd ETF 6.00%
Guggenheim BulletShrs 2019 HY CorpBd ETF 6.00%

Credit Rating Breakdown

Portfolio % Benchmark %
AAA 65.93% 72.24%
AA 0.00% 3.34%
A 0.00% 10.54%
BBB 1.69% 13.87%
BB 17.01% 0.00%
B or below B 15.38% 0.00%
Not Rated 0.00% 0.00%

Fixed Income Sector Breakdown

Portfolio % Benchmark %
Government 39.48% 39.24%
Municipal 0.00% 0.57%
Corporate 58.07% 23.37%
Securitized 0.00% 19.36%
Cash & Cash Equivalents 2.45% 17.19%
Derivative 0.00% 0.00%

Fixed Income Style

Portfolio % Benchmark %
Avg Eff Duration 7.56% 5.71%
Avg Eff Maturity 9.97% 7.88%
Avg Credit Quality BB AA
Avg Wtd Coupon 5.87% 3.19%
Avg Wtd Price 104.82%

Source: Morningstar Direct, as-of dates shown above. Top Constituents and portfolio data changes frequently; current data is most likely different. This information is intended only for illustration purposes only. Contact Fund Architects directly at 866-539-4186 for updated information. 

Conservative Global ETF Assets

1/1/2015 to 12/31/2017

Conservative Global ETF Fixed

12/31/2014 to 6/30/2017

The Asset Allocation and Fixed Income Sectors charts above are calculated internally using Morningstar Direct software, and utilizes historical data for trades placed in the model portfolio.
The performance data shown was calculated internally using Morningstar Direct performance software, and utilizes historical return data for trades placed in the model portfolio It includes the reinvestment of dividends and income.
This data has not been audited by an independent third-party source. No representation is made that the above
performance is indicative of the experience of any one client.
Performance data may not be representative of any individual client account as actual client account results may be lower or higher due to account specific activity The performance data shown represents past performance, which is not a guarantee of future results Investment returns and principal value will fluctuate, so that investors’ shares, when sold, may be worth more or less than their original cost.
All investment strategies have the potential for profit or loss Changes in investment strategies, contributions or withdrawals, and economic conditions may materially alter the performance of your portfolio.
Different types of investments involve varying degrees of risk, and there can be no assurance that any specific investment or strategy will be suitable or profitable for a client’s investment portfolio.
Historical performance results for investment indexes and/or categories, generally do not reflect the deduction of transaction and/or custodial charges or the deduction of an investment management fee, the incurrence of which
would have the effect of decreasing historical performance results Depending upon the holdings in your portfolio, your investment objectives, and your risk temperament, it may be more appropriate to measure performance against a different benchmark There are no assurances that a portfolio will match or outperform any particular benchmark.
Fund Architects, LLC, is registered as an investment advisor with the SEC and only transacts business in states where it is properly registered, or is excluded or exempted from registration requirements SEC registration does not constitute and endorsement of the firm by the Commission nor does it indicate that the advisor has attained a particular level of skill or ability.