Lighthouse Bear Market

Lighthouse Accounts: Alternative

Summary

The Lighthouse Bear Market Account invests 100% in short stock positions, the goal of which is to take advantage of anticipated market or stock declines producing a net exposure to equities of less than or equal to negative 20%. The portfolio manager may invest the proceeds from short positions in low-risk assets in order to hedge against broad market rallies. In the event of a broad market rally, the account will lose money on the short positions, but experience a gain  in long positions. Short positions typically account for 60% to 85% of active exposure, but may be 100% short after excluding regulatory collateral. The account will typically exhibit a beta of less than negative 0.3 to equity indexes such as the S&P 500 or MSCI World.

Benchmark: S&P 500 Inverse

Core Facts

Asset Class Alternative
Category Bear Market
Expense Ratio [1] 0.0%
Commissions [2] 0.0%
Fee [3] 0.30%
Minimum investment [4] $25,000 US
Account number AL078
Account manager Galleon Wealth Management
Region Global
Market Developed

Capitalization

Value

Blend

Growth
LG
MD


SM


Style

Portfolio composition by security (top holdings)

Top Holdings

Company NameDiv/ShareForward Annual Div Yield
ProFunds UltraShort NASDAQ-100 Fund Investor Class0.040.36%
ProFunds Bear Fund Investor Class0.070.27%
Rydex Inverse S&P 500 Strategy Fund Investor Class0.420.86%
Grizzly Short Fund0.011.14%
Federated Prudent Bear Fund Class A Shares0.070.62%
PIMCO StocksPLUS Short Fund Institutional Class0.011.23%

Overall Risk

The risk rating is based on the account’s past performance as compared to mutual funds and/or ETFs within the same category. It represents a starting point from which investors evaluate if the core makes sense for their own risk tolerance, suitability, goals and objectives. It is not a buy or sell recommendation. There are many types of risk, including interest rate, market, political, and currency. Each type of risk can affect the value of the securities in your account.

Overview       
Start Date1/1/07
End Date12/31/19
Initial Balance$10,000
Periodic AdjustmentNone
RebalancingRebalance quarterly
Reinvest DividendsYes
BenchmarkProShares Short S&P500
Portfolio Performance
MetricLighthouse Bear MarketProShares Short S&P500
Start Balance$10,000 $10,000
End Balance$1,484 $2,407
End Balance (inflation adjusted)$1,165 $1,890
CAGR-13.65%-10.38%
CAGR (inflation adjusted)-15.24%-12.03%
Stdev17.01%14.05%
Best Year51.50%38.59%
Worst Year-35.76%-27.02%
Max. Drawdown-91.54%-85.64%
Sharpe Ratio-0.83-0.77
Sortino Ratio-1.06-1
US Stock Market Correlation-0.98-0.99
Risk and Return Metrics
MetricLighthouse Bear MarketProShares Short S&P500
Arithmetic Mean (monthly)-1.10%-0.83%
Arithmetic Mean (annualized)-12.40%-9.49%
Geometric Mean (monthly)-1.22%-0.91%
Geometric Mean (annualized)-13.65%-10.38%
Volatility (monthly)4.91%4.06%
Volatility (annualized)17.01%14.05%
Downside Deviation (monthly)3.79%3.09%
Max. Drawdown-91.54%-85.64%
US Market Correlation-0.98-0.99
Beta (*)1.191
Alpha (annualized)-1.34%0.00%
R Squared96.53%100.00%
Sharpe Ratio-0.83-0.77
Sortino Ratio-1.06-1
Treynor Ratio (%)-11.82-10.84
Calmar Ratio-0.4-0.38
Active Return-3.27%N/A
Tracking Error4.14%N/A
Information Ratio-0.79N/A
Skewness0.670.66
Excess Kurtosis1.111.09
Historical Value-at-Risk (5%)-7.93%-7.03%
Analytical Value-at-Risk (5%)-9.17%-7.50%
Conditional Value-at-Risk (5%)-10.86%-8.72%
Upside Capture Ratio (%)119.22100
Downside Capture Ratio (%)121.38100
Safe Withdrawal Rate2.32%3.12%
Perpetual Withdrawal Rate0.00%0.00%
Positive Periods50 out of 156 (32.05%)47 out of 156 (30.13%)
Gain/Loss Ratio1.21.36
(*) ProShares Short S&P500 is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.
Asset Allocation
CategoryWeight
US Stocks-61.35%
Intl Stocks-2.31%
US Bonds32.21%
Intl Bonds2.09%
Other7.04%
Cash122.32%
Equity Market Capitalization
CategoryWeight
Large Cap23.02%
Mid Cap47.53%
Small Cap29.45%
Stock Sectors
CategoryWeight
Basic Materials8.27%
Consumer Cyclical15.72%
Financial Services6.94%
Real Estate1.52%
Consumer Defensive1.09%
Healthcare12.65%
Utilities4.40%
Communication Services1.77%
Energy10.02%
Industrials12.69%
Technology24.95%
Fixed Income Maturity
CategoryWeight
Under 1 Year44.69%
1 - 3 Years28.93%
3 - 5 Years5.78%
5 - 7 Years1.64%
7 - 10 Years5.50%
10 - 15 Years0.23%
15 - 20 Years4.11%
20 - 30 Years5.66%
Over 30 Years3.46%
Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndLighthouse Bear MarketProShares Short S&P500
Subprime CrisisNov-07Mar-09-11.82%-8.96%
Drawdowns
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Mar-09Dec-1910 years 10 months-91.54%
2Mar-08May-083 monthsJun-081 month4 months-9.95%
3Mar-07Oct-078 monthsJan-083 months11 months-9.17%
4Dec-08Dec-081 monthJan-091 month2 months-3.27%
5Jul-08Aug-082 monthsSep-081 month3 months-2.93%
6Jan-07Jan-071 monthFeb-071 month2 months-1.56%
Rolling Returns
YearLighthouse Bear Market 3-year annualized returnLighthouse Bear Market 5-year annualized returnLighthouse Bear Market 7-year annualized returnLighthouse Bear Market 10-year annualized returnProShares Short S&P500 3-year annualized returnProShares Short S&P500 5-year annualized returnProShares Short S&P500 7-year annualized return
2009-1.06%N/AN/AN/A0.83%N/AN/A
2010-8.00%N/AN/AN/A-5.51%N/AN/A
2011-22.44%-6.80%N/AN/A-17.52%-4.65%N/A
2012-16.10%-10.48%N/AN/A-13.49%-8.12%N/A
2013-19.99%-23.43%-12.37%N/A-16.82%-18.92%-9.64%
2014-22.37%-19.42%-14.62%N/A-18.62%-16.15%-11.68%
2015-18.82%-16.96%-20.37%N/A-15.04%-13.80%-16.22%
2016-12.58%-17.73%-16.90%-12.43%-10.20%-14.68%-14.01%
2017-14.41%-18.45%-17.23%-14.56%-11.50%-15.00%-14.12%
2018-12.28%-12.25%-16.06%-18.03%-8.77%-8.88%-12.52%
2019-17.59%-14.73%-17.53%-17.11%-12.26%-10.74%-13.49%