Core ETF
The Leuthold Core ETF Strategy is a tactical allocation strategy that seeks capital appreciation and income. The strategy invests in a mix of equities and fixed income, with allocations ranging from 30% to 70% for each asset class. Alternatives such as commodities, REITs, and others may also be included in the portfolio.
Portfolio Summary
Downloadable Materials
Details
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Inception:
December 2018 -
Benchmarks:
S&P 500, Bloomberg Global Agg, Morningstar TAA
Investment Vehicles
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SMA Platforms:
- Account Minimum: $50,000
- Management Fee: 50bps
- Fees negotiable > $25mm
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UMA Platforms:
- Account Minimum: Varies
- Management Fee: 35bps
Annualized Performance
| Period | CORE | Bench |
|---|---|---|
| Oct | -1.26 | -0.91 |
| Q3 | 5.14 | 5.89 |
| 2023 | 13.19 | 26.29 |
| YTD | 9.17 | 20.97 |
| 1-YR | 19.24 | 38.02 |
| 3-YR | 5.31 | 9.08 |
| 5-YR | 9.13 | 15.27 |
| 11/27/18 | 8.76 | 15.49 |
Estimated Return Statistics
| Statistic | CORE | Bench |
|---|---|---|
| Alpha | -0.14 | - |
| Beta | 0.56 | - |
| Tracking Error | 7.13 | - |
| R-squared | 0.92 | - |
| Standard Deviation | 9.70 | 17.20 |
| Sharp Ratio | 0.13 | 0.28 |
| Max Drawdown | -12.48 | -23.87 |
Strategy
Tactical Allocation: The strategy uses a top-down, quantitative approach to make asset allocation decisions. This means that the portfolio managers actively adjust the portfolio's exposure to different asset classes based on their outlook for the market.
Sector Rotation Model: This model evaluates the risk/reward potential of different equity sectors on a monthly basis. It utilizes a quantitative, top-down approach along with Leuthold's long-standing industry ratings. The model considers factors such as value, growth, profitability, technicals, and very long-term (VLT) momentum. The top-five-rated sectors are purchased via sector ETFs. A sector position is held until its ranking drops below sixth place, at which point it is replaced by the highest-rated sector not currently held. The portfolio may also purchase ETFs to gain exposure to attractive industry groups within those sectors.
Broad Fixed Income Score: The fixed income portion of the portfolio includes a wide range of securities, including U.S. and global Treasuries, corporates, and mortgage-backed securities (MBS). The strategy also considers factors such as interest rates, credit quality, sector, and foreign exchange (FX) when making fixed income investments.
Equity Hedge: The strategy may use an equity hedge to manage risk. This means that the portfolio managers may sell stocks short or use other strategies to reduce the portfolio's exposure to stock market declines.
Disciplined and Unemotional Approach: The strategy is based on a quantitative model that is designed to be objective and unemotional. This helps to avoid making investment decisions based on fear or greed.
Philosophy
The Leuthold Core ETF Strategy is based on the philosophy that purchasing a diversified collection of asset classes can provide steady growth and foster long-term investment success. By adding the element of flexibility to portfolio weightings, the strategy aims to enhance asset diversification and capitalize on market and economic opportunities that arise as business cycles evolve.
Disclosures
The Leuthold Group was founded in 1981 as an independent investment research firm. In 1987, the firm registered an RIA subsidiary with the Securities and Exchange Commission and began to direct investment portfolios based on the financial analysis of their research. Historical performance reflected is for the Leuthold Core ETF Portfolio strategies. These are asset allocation strategies and utilize quantitative analysis in order to seek capital appreciation and/or growth. “Gross” performance results reflect the deduction of all transaction costs, but do not include custodial, investment advisory fees or other expenses. “Net” performance is an estimate that reflects the de- duction of all transaction costs and investment advisory fees paid. For periods in the current quarter, net estimates are calculated based upon the highest investment advisory fee paid. The current month’s gross performance is an estimate.
Returns presented for the strategies assume reinvestment of all dividends, interest, and realized gains. Gross Returns are presented before deduction of management and custodial fees, but after trading expenses. Past performance should not be considered predictive of future performance. As with any investment, there can be no assurance that the Adviser’s investment objective will be achieved or that an investor will not lose a portion or all of his investment. The strategy composites were established on January 3, 2020.
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