Lighthouse Multi-Alternative

Lighthouse Accounts: Alternative

Summary

The Lighthouse Multialternative Account offers exposure to several different alternative investment tactics, with a majority of its assets exposed to alternative strategies. The portfolio manager utilizes different tactics that may change over time in response to market movements. The account employs both static allocations to alternative strategies and tactical allocation among alternative strategies and asset classes. The gross short exposure is greater than 20%.

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

Core Facts

Asset Class Alternative
Category Multi-Alternative
Expense Ratio [1] 0.0%
Commissions [2] 0.0%
Fee [3] 0.30%
Minimum investment [4] $1000 US
Account number AL082
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
Main Street Capital Corporation5.58%
Eaton Vance Tax-Managed Buy-Write Opportunities Fund8.81%
John Hancock Preferred Income Fund III6.80%
Golub Capital BDC, Inc.7.18%
ProShares Global Listed Private Equity ETF7.96%
Vanguard Real Estate Index Fund ETF Shares3.39%
ProShares DJ Brookfield Global Infrastructure ETF2.97%
ProShares Hedge Replication ETF1.08%
ProShares Merger ETF0.78%
ProShares RAFI Long/Short1.90%

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 Date1/1/16
End Date12/31/19
Initial Balance$10,000
Periodic AdjustmentNone
RebalancingRebalance quarterly
Reinvest DividendsYes
BenchmarkVanguard Alternative Strategies Investor
Portfolio Performance
MetricLighthouse Multi-AlternativeVanguard Alternative Strategies Investor
Start Balance$10,000 $10,000
End Balance$13,663 $11,523
End Balance (inflation adjusted)$12,576 $10,606
CAGR8.12%3.61%
CAGR (inflation adjusted)5.90%1.48%
Stdev7.37%4.01%
Best Year20.14%9.40%
Worst Year-5.26%0.35%
Max. Drawdown-8.84%-4.89%
Sharpe Ratio0.920.59
Sortino Ratio1.511.05
US Stock Market Correlation0.830.1
Risk and Return Metrics
MetricLighthouse Multi-AlternativeVanguard Alternative Strategies Investor
Arithmetic Mean (monthly)0.67%0.30%
Arithmetic Mean (annualized)8.40%3.69%
Geometric Mean (monthly)0.65%0.30%
Geometric Mean (annualized)8.12%3.61%
Volatility (monthly)2.13%1.16%
Volatility (annualized)7.37%4.01%
Downside Deviation (monthly)1.25%0.60%
Max. Drawdown-8.84%-4.89%
US Market Correlation0.830.1
Beta (*)0.511
Alpha (annualized)6.26%0.00%
R Squared7.57%100.00%
Sharpe Ratio0.920.59
Sortino Ratio1.511.05
Treynor Ratio (%)13.452.34
Calmar Ratio0.821.46
Active Return4.51%N/A
Tracking Error7.36%N/A
Information Ratio0.61N/A
Skewness0.060.34
Excess Kurtosis4.15-0.37
Historical Value-at-Risk (5%)-2.91%-1.55%
Analytical Value-at-Risk (5%)-2.80%-1.60%
Conditional Value-at-Risk (5%)-4.55%-1.63%
Upside Capture Ratio (%)94.59100
Downside Capture Ratio (%)-18100
Safe Withdrawal Rate28.41%25.27%
Perpetual Withdrawal Rate5.57%1.46%
Positive Periods35 out of 48 (72.92%)27 out of 48 (56.25%)
Gain/Loss Ratio0.91.49
(*) Vanguard Alternative Strategies Investor is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.
Portfolio Returns Based Style Analysis
Style CategoryLighthouse Multi-Alternative
Large-cap Value0.00%
Large-cap Growth3.67%
Mid-cap Value11.29%
Mid-cap Growth0.00%
Small-cap Value11.91%
Small-cap Growth0.00%
Global ex-US Developed Markets8.83%
Emerging Markets0.00%
REITs20.46%
Corporate Bonds15.71%
Long-Term Treasuries0.00%
Intermediate-Term Treasuries0.00%
Short-Term Treasuries28.14%
R Squared88.55%
Style analysis is based on monthly returns from Jan 2016 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 Stocks49.89%
Intl Stocks10.10%
US Bonds0.00%
Intl Bonds0.00%
Other1.27%
Cash18.73%
Unknown20.00%
Equity Market Capitalization
CategoryWeight
Large Cap30.20%
Mid Cap54.50%
Small Cap15.29%
Stock Sectors
CategoryWeight
Basic Materials1.18%
Consumer Cyclical2.81%
Financial Services42.74%
Real Estate18.29%
Consumer Defensive1.35%
Healthcare4.50%
Utilities6.18%
Communication Services2.07%
Energy6.87%
Industrials7.75%
Technology6.26%
Fixed Income Maturity
CategoryWeight
Under 1 Year28.85%
1 - 3 Years71.15%
3 - 5 Years0.00%
5 - 7 Years0.00%
7 - 10 Years0.00%
10 - 15 Years0.00%
15 - 20 Years0.00%
20 - 30 Years0.00%
Over 30 Years0.00%
Drawdowns
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep-18Dec-184 monthsFeb-192 months6 months-8.84%
2Jan-18Feb-182 monthsJun-184 months6 months-3.60%
3Sep-16Oct-162 monthsDec-162 months4 months-2.88%
4Jan-16Jan-161 monthMar-162 months3 months-2.74%
5May-19May-191 monthJun-191 month2 months-2.08%
6Aug-17Aug-171 monthSep-171 month2 months-0.83%
7Oct-19Oct-191 monthDec-192 months3 months-0.37%
8Oct-17Oct-171 monthNov-171 month2 months-0.18%
9May-17May-171 monthJun-171 month2 months-0.05%