Objective

This folio is designed for investors seeking absolute returns regardless of the direction of equity markets, aiming for 5% to 7% annual returns. The folio is designed to have a low correlation and low volatility versus equities and to preserve capital in times of high market volatility. In times of low or normal market volatility, the folio will be positioned for capital appreciation by investing in a series of market neutral ETFs that use the momentum, value, and size alpha premiums and the S&P 500 ETF for market beta exposure. The strategy also aims to tactically hedge or enhance its beta exposure by identifying times when the options market over or underestimates near-term volatility. To hedge beta exposure, the strategy will employ an anti-beta ETF and to enhance market exposure, the strategy will use an S&P 500 high beta ETF.

Please review the investment information at http://www.quant-shares.com/about-ffcm/ to ensure that this folio meets your investment objectives.

Strategy

The folio seeks to provide absolute returns and preserve capital in times of increased volatility by investing in ETFs that consist mainly of stocks, selected based on a proprietary system of analyzing risk and momentum in the market and among ETFs. During times of increased volatility, the folio will aim to preserve capital by moving into an allocation that is designed to minimize volatility. During more normal risk periods, the folio will incorporate momentum signals to position the strategy for capital appreciation. The folio will use market neutral- and long-only ETFs.

Last Updated: December 2, 2016

Category: Strategy
Inception Date: 2013-02-08 00:00:00.0
Date Funded: 2013-07-01*

Folio S&P 500 Total Return
One-Month 0.86% 4.75%
Three-Month -0.68% 1.09%
Year-to-Date 2.64% 9.44%
One-Year 1.5% 7.71%
Three-Year (Annualized) 0.68% 9.05%
Five-Year (Annualized) N/A 14.41%
Since Inception 1.15% N/A
Volatility 4.83% 13.86%

Past performance is no guarantee of future results.
See how returns are calculated

* Returns reflect model performance from the Inception Date to the Date Funded, and funded performance since the Date Funded, if funded. Your returns may deviate significantly from the values displayed here, due to many factors, including how long after a strategy has been updated that you place orders to update your holdings.

#SymbolCompanyWeight
(% of Folio)
1AGGishares barclays aggregate bond fund20.00%
2BTALquantshares u.s. market neutral anti-bet10.00%
3CHEPquantshares u.s. market neutral value fu10.00%
4MOMquantshares u.s. market neutral momentum10.00%
5MTUMishares msci usa momentum factor etf5.00%
6RPVguggenheim s&p 500 pure value etf10.00%
7SIZquantshares u.s. market neutral size fun20.00%
8SPLVpowershares s&p 500 low volatility portf15.00%

Steps to Create This Folio

  1. FFCM selects 5 to 10 stock based ETFs using its proprietary criteria, These currently includes four QuantShares market-neutral ETFs, an S&P 500 ETF, and an S&P 500 high-beta ETF.
  2. Short-term implied volatility is evaluated to hedge or enhance beta exposure of initial portfolio with anti-beta or high-beta ETFs.
  3. Securities then weighted by FFCM based on current market volatility and momentum signals.

Number of Holdings

There are generally between 5 and 10 diversified ETFs but the number may vary over time.

Update Frequency

FFCM ETF Absolute Return folio will be updated at the discretion of FFCM. The portfolio is generally rebalanced to the target security weights monthly. If the characteristics of the folio have changed substantially, the stocks included may change. Also, corporate actions, such as a merger, or other events, may cause the underlying holdings to change at any time. FFCM may also add or delete ETFs as new ones become available for trading.

If the characteristics of the folio have changed substantially, the securities included may change. Also, corporate actions, such as a merger, or other events may cause changes to the securities held at any time. Your returns may deviate significantly from the values displayed here, due to many factors, including how long after a folio has been updated that you place orders to update your holdings.