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.
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: April 23, 2018
Inception Date: 2013-02-08 00:00:00.0
Date Funded: 2013-07-01*
|Year to Date||-0.32%||0.45%|
|1 Year Volatility||4.41%||12.11%|
* 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.
(% of Folio)
|1||AGG||ishares barclays aggregate bond fund||20.00%|
|2||BTAL||quantshares u.s. market neutral anti-bet||10.00%|
|3||CHEP||quantshares u.s. market neutral value fu||10.00%|
|4||MOM||quantshares u.s. market neutral momentum||10.00%|
|5||MTUM||ishares msci usa momentum factor etf||5.00%|
|6||RPV||guggenheim s&p 500 pure value etf||10.00%|
|7||SIZ||quantshares u.s. market neutral size fun||20.00%|
|8||SPLV||powershares s&p 500 low volatility portf||15.00%|
There are generally between 5 and 10 diversified ETFs but the number may vary over time.
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.