Lighthouse Long-Short Credit

Lighthouse Accounts: Alternative

Summary

The Lighthouse Long-Short Credit Account seeks to profit from changes in the credit conditions of individual bond issuers and credit markets segments represented by credit indexes. The portfolio manager purchases bonds, or sells credit default swaps, with the expectation of profiting from narrowing credit spreads. Conversely, the manager may sell bonds, or purchase credit default swaps, with the expectation of profiting from the deteriorating credit of the underlying issuer. The account utilizes credit derivatives to hedge systematic risk of credit markets to isolate credit selection returns. It frequently uses derivatives to hedge interest rate risk.

Benchmark: Dow Jones U.S. Thematic Market Neutral Low Beta Index

Core Facts

Asset Class Alternative International
Category Long-Short Credit
Expense Ratio [1] 0.0%
Commissions [2] 0.0%
Fee [3] 0.30%
Minimum investment [4] $25,000 US
Account number AL079
Account manager Galleon Wealth Management
Region Global
Market Developed

Credit Quality

Ltd

Mod

Ext
High


Med

Low

Interest Rate Sensitivity

Portfolio composition by security (top holdings)

Top Holdings

Company NameDiv/ShareForward Annual Div Yield
Dunham Long/Short Credit Fund Class A0.002.11%
PIMCO Credit Opportunities Bond Fund Class A0.093.64%
Goldman Sachs Long Short Credit Strategies Fund Institutional Shares0.024.67%
Brandywine GLOBAL - Alternative Credit Fund Class A0.163.10%
BlackRock Global Long/Short Credit Fund Institutional Shares0.373.75%

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 Date1/1/14
End Date12/31/19
Initial Balance$10,000
Periodic AdjustmentNone
RebalancingRebalance quarterly
Reinvest DividendsYes
BenchmarkPIMCO Credit Opportunities Bond A
Portfolio Performance
MetricLighthouse Long-Short CreditPIMCO Credit Opportunities Bond A
Start Balance$10,000 $10,000
End Balance$11,921 $12,120
End Balance (inflation adjusted)$10,811 $10,991
CAGR2.97%3.26%
CAGR (inflation adjusted)1.31%1.59%
Stdev2.87%2.81%
Best Year7.26%8.13%
Worst Year-2.49%-2.83%
Max. Drawdown-7.80%-7.37%
Sharpe Ratio0.730.85
Sortino Ratio1.171.36
US Stock Market Correlation0.680.66
Risk and Return Metrics
MetricLighthouse Long-Short CreditPIMCO Credit Opportunities Bond A
Arithmetic Mean (monthly)0.25%0.27%
Arithmetic Mean (annualized)3.01%3.30%
Geometric Mean (monthly)0.24%0.27%
Geometric Mean (annualized)2.97%3.26%
Volatility (monthly)0.83%0.81%
Volatility (annualized)2.87%2.81%
Downside Deviation (monthly)0.50%0.48%
Max. Drawdown-7.80%-7.37%
US Market Correlation0.680.66
Beta (*)0.891
Alpha (annualized)0.08%0.00%
R Squared76.34%100.00%
Sharpe Ratio0.730.85
Sortino Ratio1.171.36
Treynor Ratio (%)2.352.37
Calmar Ratio2.132.26
Active Return-0.28%N/A
Tracking Error1.43%N/A
Information Ratio-0.2N/A
Skewness-0.44-0.43
Excess Kurtosis1.070.9
Historical Value-at-Risk (5%)-1.17%-1.33%
Analytical Value-at-Risk (5%)-1.11%-1.06%
Conditional Value-at-Risk (5%)-1.97%-1.67%
Upside Capture Ratio (%)89.35100
Downside Capture Ratio (%)83.93100
Safe Withdrawal Rate17.17%17.27%
Perpetual Withdrawal Rate1.29%1.57%
Positive Periods50 out of 72 (69.44%)51 out of 72 (70.83%)
Gain/Loss Ratio0.960.92
(*) PIMCO Credit Opportunities Bond A is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.
Asset Allocation
CategoryWeight
US Stocks0.13%
Intl Stocks-0.04%
US Bonds50.82%
Intl Bonds21.26%
Other-1.43%
Cash29.26%
Fixed Income Credit Quality
CategoryWeight
AAA20.97%
AA9.69%
A17.48%
BBB15.00%
Non-Investment Grade20.37%
Not Rated16.49%
Fixed Income Maturity
CategoryWeight
Under 1 Year3.76%
1 - 3 Years7.61%
3 - 5 Years19.28%
5 - 7 Years18.07%
7 - 10 Years14.76%
10 - 15 Years7.88%
15 - 20 Years3.20%
20 - 30 Years16.99%
Over 30 Years8.45%
Drawdowns
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun-15Feb-169 monthsJan-1711 months1 year 8 months-7.80%
2Oct-18Dec-183 monthsFeb-192 months5 months-2.08%
3Sep-14Dec-144 monthsFeb-152 months6 months-1.82%
4Jul-14Jul-141 monthAug-141 month2 months-0.79%
5Feb-18Apr-183 monthsJul-183 months6 months-0.66%
6Aug-17Aug-171 monthSep-171 month2 months-0.20%
Rolling Returns
YearLighthouse Long-Short Credit 3-year annualized returnLighthouse Long-Short Credit 5-year annualized returnPIMCO Credit Opportunities Bond A 3-year annualized returnPIMCO Credit Opportunities Bond A 5-year annualized return
20161.54%N/A2.14%N/A
20172.73%N/A3.69%N/A
20183.48%2.14%4.25%2.31%
20194.43%2.99%4.39%3.55%