A Superior All Weather Strategy – AWF Overview and Performance (Part 1 of 2)

Alphalytics All Weather Fund Context

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Alphalytics All Weather Fund investment objectives

• 15 percent annualized returns;
• 1.5 Sharpe Ratio;
• 10 percent maximum daily drawdown;
• 65 percent positive months per year; and
• Positive, absolute return year-on-year independent of market conditions.

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Key value proposition

For investors seeking capital preservation and growth independent of market cycles, AWF is better than most all weather funds because it invests in multiple strategies and assets; and navigates volatility responsibly.

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Why you should trust Alphalytics

• Live, auditable track record;
• Quantifiable results that outperform leading all weather funds; and
• AWF is roughly a 60/40 split between smart beta (all weather design) and alpha (seeks excess returns).

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Who is Alphalytics All Weather Fund for

• Accredited individual investors (HNWIs); and
• Accredited institutions seeking a balance of long-range capital preservation and equity-like growth.

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What Alphalytics All Weather Fund is not

• For investors with a short investment horizon (less than 2-3 years);
• A beta or simple leveraged strategy;
• A buy-and-hold strategy;
• A fixed income, dividend-yielding strategy;
• Fundamentals driven or discretionary strategy; nor
• Thematic or factor based.

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Alphalytics All Weather Fund value creation

The impetus of AWF is investors seeking capital preservation and a portfolio that can last the next 20 years. In order to design a strategy that is attractive, AWF has to create superior value for investors relative to:

• A balanced 60/40 fund. e.g. Vanguard Balanced Index Fund (VBINX);
• Leading all weather funds. e.g. Ray Dalio All Weather portfolio;
• Equities: Seek higher returns than the S&P 500 which achieved 13.5 percent CAGR (past 11 years);
• Bonds: Deliver higher risk-adjusted returns compared to a bond portfolio. e.g. US Aggregate Bond ETF (AGG) has a 1.11 Sharpe Ratio (past 11 years); and
• Offers comparable value-at-risk (a lower drawdown) relative to a bond portfolio. e.g. AGG delivered a 9.6 percent maximum daily drawdown (past 11 years).

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Alphalytics All Weather Fund performance

Relative to a balanced fund (VBINX) and the Dalio All Weather (DAW) portfolio, AWF seeks a higher CAGR, lower drawdown, and a higher Sharpe Ratio.

Source: ACM Research, Bloomberg BPF0008, and Vanguard VBINX

In particular, AWF performed better during the Coronavirus market crash of 2020.

Source: ACM Research, Bloomberg BPF0008, and Vanguard VBINX

Relative to the S&P 500 and an aggregate bond portfolio (AGG), AWF targets a higher CAGR (than equities), comparable drawdown (with bonds), and a higher Sharpe Ratio (than bonds).

Source: ACM Research, S&P 500, and iShares AGG

In terms of both returns and value-at-risk, AWF also outperformed both equities and bonds in 2020.

Source: ACM Research, S&P 500, and iShares AGG

Across key measures, AWF aims for best-of-both-worlds value creation: Higher return than equities and lower risk than bonds.

Source: ACM Research, S&P 500, and iShares AGG

Another benefit to investors is that AWF has a low correlation to all major asset classes and seeks absolute return each year.

Source: ACM Research

In addition, AWF has an attractive drawdown profile. i.e. Relative to the S&P 500 and AGG, AWF seeks a higher return for every unit of drawdown risk.

Source: ACM Research, S&P 500, and iShares AGG

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