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Factor Tilt

Diversified across key factors with moderate tilts to take advantage of macro economic, market, and current factor conditions.

Portfolio Summary

As of Mar 31, 2023
Downloadable Materials
Details
  • Inception:
    December 2017
  • Benchmark:
    S&P 500
Investment Vehicles
  • SMA Platforms:
    • Account Minimum: $50,000
    • Management Fee: 50bps
    • Fees negotiable > $25mm
  • UMA Platforms:
    • Account Minimum: Varies
    • Management Fee: 35bps
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Annualized Performance

As of Oct 31, 2024 (gross of fees)
Period FT Bench
Oct -1.10 -0.91
Q3 6.82 5.89
2023 17.87 26.29
YTD 18.79 20.97
1-YR 35.64 38.02
3-YR 8.64 9.08
5-YR 13.75 15.27
12/31/17 12.11 13.65

Estimated Return Statistics

As of Oct 31, 2024
Statistic FT Bench
Alpha 0.00 -
Beta 0.94 -
Tracking Error 8.20 -
R-squared 0.95 -
Standard Deviation 15.82 17.20
Sharp Ratio 0.28 0.28
Max Drawdown -19.65 -23.87
FT = Factor Tilt Bench = S&P 500

Philosophy

Factors are investment characteristics that have historically produced excess risk-adjusted returns. Cyclicality results in factors experiencing periods of outperformance as well as underperformance, while low correlation means that diversification and portfolio design can be optimized to achieve superior risk-adjusted returns. Through an analysis of forward returns using market cycles, factor signal strength, and factor relative valuation, we seek to identify the most promising factors for a given market environment.

Strategy

The Leuthold Factor Tilt strategy endeavors to tilt toward factors most likely to thrive under prevailing market conditions and under- weight factors of which conditions are less supportive. The strategy is designed for those who believe factor alphas will be positive over time and wish to capture excess returns.

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 Sector Rotation Strategy, Leuthold Enhanced Sector Rotation Strategy, and Leuthold Factor Tilt Strategy. These are equity styles that are flexible and utilize quantitative analysis in order to seek capital appreciation; they will remain fully invested at all times. The current month’s 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 Sector Rotation and Enhanced Sector Rotation Strategy composites were established on May 10, 2016. The Factor Tilt Strategy composite was established on December 28, 2017.

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