Lighthouse Market Neutral

Lighthouse Accounts: Alternative

Summary

The Lighthouse Market Neutral Account attempts to reduce systematic risk created by factors such as exposures to sectors, market-cap ranges, investment styles, currencies, and/or countries. The portfolio manager achieves this goal by matching short positions within each area against long positions. The account adheres to strategies that are often managed as beta-neutral, dollar-neutral, or sector-neutral. A distinguishing feature this account is that they typically has low beta exposures (< 0.3 in absolute value) to market indexes such as MSCI World. In attempting to reduce systematic risk, it places the emphasis on issue selection, with profits dependent on their ability to sell short and buy long the correct securities.

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

Core Facts

Asset Class Alternative
Category Market Neutral
Expense Ratio [1] 0.0%
Commissions [2] 0.0%
Fee [3] 0.30%
Minimum investment [4] $1000 US
Account number AL081
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
iShares Core MSCI Pacific ETF3.36%
iShares MSCI All Country Asia ex Japan ETF1.83%
Vanguard FTSE All-World ex-US Small-Cap Index Fund ETF Shares3.25%
iShares iBoxx $ Investment Grade Corporate Bond ETF3.30%
Invesco Senior Loan ETF5.17%
iShares MBS ETF2.76%
iShares Floating Rate Bond ETF2.78%
iShares Short Treasury Bond ETF2.19%
SPDR Bloomberg Barclays 1-3 Month T-Bill ETF2.05%
Goldman Sachs Access Treasury 0-1 Year ETF2.20%

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 Date1/1/17
End Date12/31/19
Initial Balance$10,000
Periodic AdjustmentNone
RebalancingRebalance quarterly
Reinvest DividendsYes
BenchmarkVanguard Market Neutral Inv
Portfolio Performance
MetricLighthouse Market NeutralVanguard Market Neutral Inv
Start Balance$10,000 $10,000
End Balance$11,658 $8,652
End Balance (inflation adjusted)$10,953 $8,129
CAGR5.25%-4.71%
CAGR (inflation adjusted)3.08%-6.67%
Stdev4.10%4.66%
Best Year10.73%0.59%
Worst Year-4.48%-9.57%
Max. Drawdown-5.97%-14.46%
Sharpe Ratio0.87-1.35
Sortino Ratio1.31-1.41
US Stock Market Correlation0.83-0.13
Risk and Return Metrics
MetricLighthouse Market NeutralVanguard Market Neutral Inv
Arithmetic Mean (monthly)0.43%-0.39%
Arithmetic Mean (annualized)5.33%-4.61%
Geometric Mean (monthly)0.43%-0.40%
Geometric Mean (annualized)5.25%-4.71%
Volatility (monthly)1.18%1.34%
Volatility (annualized)4.10%4.66%
Downside Deviation (monthly)0.72%1.20%
Max. Drawdown-5.97%-14.46%
US Market Correlation0.83-0.13
Beta (*)-0.241
Alpha (annualized)4.09%0.00%
R Squared7.20%100.00%
Sharpe Ratio0.87-1.35
Sortino Ratio1.31-1.41
Treynor Ratio (%)-15.19-6.33
Calmar Ratio0.88-0.33
Active Return9.96%N/A
Tracking Error6.98%N/A
Information Ratio1.43N/A
Skewness-0.74-0.21
Excess Kurtosis2.04-0.41
Historical Value-at-Risk (5%)-1.91%-2.52%
Analytical Value-at-Risk (5%)-1.49%-2.60%
Conditional Value-at-Risk (5%)-3.19%-3.63%
Upside Capture Ratio (%)-0.01100
Downside Capture Ratio (%)-60.61100
Safe Withdrawal Rate35.48%29.48%
Perpetual Withdrawal Rate2.99%0.00%
Positive Periods26 out of 36 (72.22%)15 out of 36 (41.67%)
Gain/Loss Ratio0.980.66
(*) Vanguard Market Neutral Inv is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.
Portfolio Returns Based Style Analysis
Style CategoryLighthouse Market Neutral
Large-cap Value0.00%
Large-cap Growth0.72%
Mid-cap Value2.89%
Mid-cap Growth4.34%
Small-cap Value0.00%
Small-cap Growth0.00%
Global ex-US Developed Markets16.12%
Emerging Markets11.85%
REITs0.00%
Corporate Bonds0.73%
Long-Term Treasuries2.27%
Intermediate-Term Treasuries0.00%
Short-Term Treasuries61.08%
R Squared97.81%
Style analysis is based on monthly returns from Jan 2017 to Dec 2019 and uses total portfolio return with monthly rebalancing. Returns based style analysis aims to explain the portfolio returns based on asset class exposures, it does not identify the actual portfolio holdings.
Asset Allocation
CategoryWeight
US Stocks0.14%
Intl Stocks29.15%
US Bonds41.34%
Intl Bonds8.60%
Other0.64%
Cash20.13%
Equity Market Capitalization
CategoryWeight
Large Cap56.85%
Mid Cap23.79%
Small Cap19.36%
Stock Sectors
CategoryWeight
Basic Materials6.96%
Consumer Cyclical13.41%
Financial Services16.98%
Real Estate8.35%
Consumer Defensive5.77%
Healthcare6.15%
Utilities2.85%
Communication Services7.43%
Energy3.25%
Industrials15.11%
Technology13.75%
Fixed Income Credit Quality
CategoryWeight
AAA53.00%
AA4.55%
A14.51%
BBB14.05%
Non-Investment Grade13.55%
Not Rated0.35%
Fixed Income Maturity
CategoryWeight
Under 1 Year45.46%
1 - 3 Years9.79%
3 - 5 Years10.73%
5 - 7 Years10.25%
7 - 10 Years3.64%
10 - 15 Years1.94%
15 - 20 Years1.83%
20 - 30 Years16.06%
Over 30 Years0.30%
Drawdowns
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb-18Dec-1811 monthsSep-199 months1 year 8 months-5.97%