Lighthouse Long-Short Equity

Lighthouse Accounts: Alternative

Summary

The Lighthouse Long-Short Equity Account holds both long and short positions equities and related derivatives. The portfolio manager shifts its exposure to long and short positions depending on their macro outlook or the opportunities they uncover through bottom-up research. The account may hedge long stock positions through exchange-traded funds or derivatives. At least 75% of the assets are in equity securities or derivatives.

Benchmark: Dow Jones U.S. Thematic Market Neutral Momentum Index

Core Facts

Asset Class Alternative International Equity
Category Long-Short Equity
Expense Ratio [1] 0.0%
Commissions [2] 0.0%
Fee [3] 0.30%
Minimum investment [4] $20,000 US
Account number AL080
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 NameForward Annual Div Yield
Diamond Hill Long Short Fund Class A0.62%
Weitz Partners III Opportunity Fund Institutional Class0.00%
Toews Tactical Monument Fund1.20%
Toews Tactical Defensive Alpha Fund1.95%
Invenomic Fund Institutional Class shares0.00%

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 Date1/1/18
End Date12/31/19
Initial Balance$10,000
Periodic AdjustmentNone
RebalancingRebalance quarterly
Reinvest DividendsYes
BenchmarkFirst Trust Long/Short Equity ETF
Portfolio Performance
MetricLighthouse Long-Short EquityFirst Trust Long/Short Equity ETF
Start Balance$10,000 $10,000
End Balance$11,712 $11,057
End Balance (inflation adjusted)$11,235 $10,608
CAGR8.22%5.15%
CAGR (inflation adjusted)6.00%2.99%
Stdev10.14%8.53%
Best Year21.97%16.16%
Worst Year-3.98%-4.81%
Max. Drawdown-7.63%-8.33%
Sharpe Ratio0.630.4
Sortino Ratio1.010.56
US Stock Market Correlation0.960.96
Risk and Return Metrics
MetricLighthouse Long-Short EquityFirst Trust Long/Short Equity ETF
Arithmetic Mean (monthly)0.70%0.45%
Arithmetic Mean (annualized)8.75%5.52%
Geometric Mean (monthly)0.66%0.42%
Geometric Mean (annualized)8.22%5.15%
Volatility (monthly)2.93%2.46%
Volatility (annualized)10.14%8.53%
Downside Deviation (monthly)1.76%1.66%
Max. Drawdown-7.63%-8.33%
US Market Correlation0.960.96
Beta (*)1.091
Alpha (annualized)2.54%0.00%
R Squared84.35%100.00%
Sharpe Ratio0.630.4
Sortino Ratio1.010.56
Treynor Ratio (%)5.893.39
Active Return3.07%N/A
Tracking Error4.08%N/A
Information Ratio0.75N/A
Skewness-0.15-0.65
Excess Kurtosis0.040.01
Historical Value-at-Risk (5%)-4.52%-4.74%
Analytical Value-at-Risk (5%)-4.01%-3.60%
Conditional Value-at-Risk (5%)-4.54%-4.96%
Upside Capture Ratio (%)121.6100
Downside Capture Ratio (%)100.75100
Safe Withdrawal Rate51.25%49.67%
Perpetual Withdrawal Rate5.65%2.91%
Positive Periods17 out of 24 (70.83%)15 out of 24 (62.50%)
Gain/Loss Ratio0.750.93
(*) First Trust Long/Short Equity ETF is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.
Asset Allocation
CategoryWeight
US Stocks28.64%
Intl Stocks3.98%
US Bonds28.31%
Intl Bonds3.39%
Other0.21%
Cash35.47%
Equity Market Capitalization
CategoryWeight
Large Cap56.44%
Mid Cap21.91%
Small Cap21.65%
Stock Sectors
CategoryWeight
Basic Materials11.06%
Consumer Cyclical5.25%
Financial Services28.52%
Real Estate0.14%
Consumer Defensive-2.89%
Healthcare6.58%
Utilities-0.57%
Communication Services15.81%
Energy4.07%
Industrials8.06%
Technology23.97%
Fixed Income Credit Quality
CategoryWeight
AAA55.09%
AA4.63%
A14.70%
BBB19.93%
Non-Investment Grade3.82%
Not Rated1.84%
Fixed Income Maturity
CategoryWeight
Under 1 Year2.72%
1 - 3 Years41.00%
3 - 5 Years34.21%
5 - 7 Years7.81%
7 - 10 Years2.65%
10 - 15 Years3.49%
15 - 20 Years4.40%
20 - 30 Years2.85%
Over 30 Years0.85%
Drawdowns
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb-18Dec-1811 monthsFeb-192 months1 year 1 month-7.63%
2May-19May-191 monthJun-191 month2 months-4.54%
3Aug-19Aug-191 monthNov-193 months4 months-1.83%