Lighthouse Multicurrency

Lighthouse Accounts: Alternative

Summary

The Lighthouse Multi-Currency Account invests in multiple currencies through the use of short-term money market instruments; derivative instruments including and not limited to forward currency contracts, index swaps, and options; and cash deposits. The portfolio manager includes both systematic currency traders and discretionary traders.

Benchmark: Dow Jones FXCM Dollar Index

Core Facts

Asset Class Alternative
Category Multi Currency
Expense Ratio [1] 0.0%
Commissions [2] 0.0%
Fee [3] 0.30%
Minimum investment [4] $1000 US
Account number AL083
Account manager Galleon Wealth Management
Region Global
Market Developed

Current FX

Portfolio composition by security (top holdings)

Top Holdings

Company NameForward Annual Div Yield
Market Vectors Indian Rupee/USD ETN0.00%
Citigroup ETNs linked to the VelocityShares Daily 4X Long USD vs. EUR Index0.00%
Invesco DB US Dollar Index Bullish Fund2.03%
Invesco CurrencyShares Japanese Yen Trust0.00%
WisdomTree Chinese Yuan Strategy Fund2.03%
WisdomTree Emerging Currency Strategy Fund1.90%
Invesco CurrencyShares Singapore Dollar Trust0.74%
Invesco CurrencyShares Swiss Franc Trust0.00%
Invesco CurrencyShares Canadian Dollar Trust0.76%
Invesco CurrencyShares Euro Currency Trust0.00%

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 Date9/1/19
End Date12/31/19
Initial Balance$10,000
Periodic AdjustmentNone
RebalancingRebalance quarterly
Reinvest DividendsYes
BenchmarkUS Dollar Index
Portfolio Performance
MetricLighthouse MulticurrencyUS Dollar Index
Start Balance$10,000 $10,000
End Balance$10,905 $9,779
End Balance (inflation adjusted)$10,887 $9,763
Return9.05%-2.21%
Return (inflation adjusted)8.87%-2.37%
Stdev15.65%5.32%
Best Year9.05%-2.21%
Worst Year9.05%-2.21%
Max. Drawdown-1.53%-2.61%
Sharpe Ratio1.63-1.56
Sortino Ratio8.72-1.7
US Stock Market Correlation-0.520.3
Risk and Return Metrics
MetricLighthouse MulticurrencyUS Dollar Index
Arithmetic Mean (monthly)2.26%-0.55%
Arithmetic Mean (annualized)30.80%-6.40%
Geometric Mean (monthly)2.19%-0.56%
Geometric Mean (annualized)29.68%-6.50%
Volatility (monthly)4.52%1.54%
Volatility (annualized)15.65%5.32%
Downside Deviation (monthly)0.77%1.31%
Max. Drawdown-1.53%-2.61%
US Market Correlation-0.520.3
Beta (*)1.161
Alpha (annualized)34.81%0.00%
R Squared15.58%100.00%
Sharpe Ratio1.63-1.56
Sortino Ratio8.72-1.7
Treynor Ratio (%)21.9-8.31
Active Return36.18%N/A
Tracking Error14.40%N/A
Information Ratio2.51N/A
Skewness1.540.12
Excess Kurtosis2.64-4.72
Historical Value-at-Risk (5%)-1.53%-2.04%
Analytical Value-at-Risk (5%)-4.06%-3.07%
Conditional Value-at-Risk (5%)N/AN/A
Upside Capture Ratio (%)648.87100
Downside Capture Ratio (%)0.46100
Safe Withdrawal RateN/AN/A
Perpetual Withdrawal RateN/AN/A
Positive Periods3 out of 4 (75.00%)2 out of 4 (50.00%)
Gain/Loss Ratio2.30.41
(*) US Dollar Index is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.
Annual Returns
YearInflationLighthouse Multicurrency ReturnUS Dollar Index ReturnLighthouse Multicurrency BalanceUS Dollar Index BalanceLighthouse Multicurrency Income (%)Lighthouse Multicurrency Income ($)
20190.16%9.05%-2.21%$10,905 $9,779 0.54%$53.56
Annual returns for 2019 are based on partial year data
Asset Allocation for Lighthouse Multicurrency
CategoryWeight
US Stocks0.00%
Intl Stocks0.00%
US Bonds2.77%
Intl Bonds0.00%
Other0.00%
Cash97.23%
Fixed Income Credit Quality for Lighthouse Multicurrency
CategoryWeight
AAA100.00%
AA0.00%
A0.00%
BBB0.00%
Non-Investment Grade0.00%
Fixed Income Maturity for Lighthouse Multicurrency
CategoryWeight
Under 1 Year33.33%
1 - 3 Years66.67%
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 for Lighthouse Multicurrency
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Oct-19Oct-191 monthDec-192 months3 months-1.53%