Lighthouse Single Currency

Lighthouse Accounts: Alternative

Summary

The Lighthouse Single-Currency Account invests in a single currency 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.

Benchmark: S&P U.S. Dollar Futures Index (ER)

Core Facts

Asset Class Alternative
Category Single Currency
Expense Ratio [1] 0.0%
Commissions [2] 0.0%
Fee [3] 0.30%
Minimum investment [4] $1000 US
Account number AL085
Account manager Galleon Wealth Management
Region Global
Market Developed

Current FX

Portfolio composition by security (top holdings)

Top Holdings

Company NameForward Annual Div Yield
RiverFront Dynamic Unconstrained Income ETF-
WisdomTree Bloomberg U.S. Dollar Bullish Fund-
Invesco DB US Dollar Index Bullish Fund-

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
BenchmarkUS Dollar Index
Portfolio Performance
MetricLighthouse Single CurrencyUS Dollar Index
Start Balance$10,000 $10,000
End Balance$10,501 $9,488
End Balance (inflation adjusted)$9,865 $8,914
CAGR1.64%-1.74%
CAGR (inflation adjusted)-0.45%-3.76%
Stdev3.46%4.98%
Best Year5.98%4.94%
Worst Year-3.61%-8.62%
Max. Drawdown-5.84%-11.35%
Sharpe Ratio0.02-0.66
Sortino Ratio0.03-0.77
US Stock Market Correlation0.05-0.3
Risk and Return Metrics
MetricLighthouse Single CurrencyUS Dollar Index
Arithmetic Mean (monthly)0.14%-0.14%
Arithmetic Mean (annualized)1.70%-1.62%
Geometric Mean (monthly)0.14%-0.15%
Geometric Mean (annualized)1.64%-1.74%
Volatility (monthly)1.00%1.44%
Volatility (annualized)3.46%4.98%
Downside Deviation (monthly)0.66%1.15%
Max. Drawdown-5.84%-11.35%
US Market Correlation0.05-0.3
Beta (*)0.591
Alpha (annualized)2.65%0.00%
R Squared72.09%100.00%
Sharpe Ratio0.02-0.66
Sortino Ratio0.03-0.77
Treynor Ratio (%)0.11-3.25
Calmar Ratio0.28-0.15
Active Return3.38%N/A
Tracking Error2.74%N/A
Information Ratio1.23N/A
Skewness-0.42-0.44
Excess Kurtosis-0.59-0.75
Historical Value-at-Risk (5%)-1.58%-2.98%
Analytical Value-at-Risk (5%)-1.48%-2.50%
Conditional Value-at-Risk (5%)-2.31%-2.99%
Upside Capture Ratio (%)86.54100
Downside Capture Ratio (%)47.78100
Safe Withdrawal Rate32.02%30.08%
Perpetual Withdrawal Rate0.00%0.00%
Positive Periods20 out of 36 (55.56%)18 out of 36 (50.00%)
Gain/Loss Ratio1.110.79
(*) US Dollar Index is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.
Asset Allocation
CategoryWeight
US Stocks0.00%
Intl Stocks0.00%
US Bonds35.50%
Intl Bonds2.23%
Other0.19%
Cash62.07%
Fixed Income Credit Quality
CategoryWeight
AAA100.00%
AA0.00%
A0.00%
BBB0.00%
Non-Investment Grade0.00%
Fixed Income Maturity
CategoryWeight
Under 1 Year33.57%
1 - 3 Years40.33%
3 - 5 Years11.37%
5 - 7 Years10.61%
7 - 10 Years3.85%
10 - 15 Years0.00%
15 - 20 Years0.00%
20 - 30 Years0.00%
Over 30 Years0.27%
Drawdowns
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan-17Jan-181 year 1 monthOct-189 months1 year 10 months-5.84%
2Nov-18Dec-182 monthsFeb-192 months4 months-1.35%
3Oct-19Oct-191 month-1.14%
4May-19Jun-192 monthsJul-191 month3 months-0.13%