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Tactical Asset Allocation

Utilize fundamental and quantitative tools that have been refined and expanded over 30+ years of managing tactical asset allocation (TAA) portfolios.

Portfolio Summary

As of Jul 31, 2019
Downloadable Materials
Details
  • Inception:
    December 2016
  • Benchmark:
    60% ACWI/40% BB Bar. U.S. Agg.
  • Vehicle:
    Separate Account, UMA
To invest in this strategy, please Contact Us

Annualized Performance

As of Aug 31, 2019 (gross of fees)
Period GTAA Bench
Aug -0.47 -0.37
YTD 9.73 12.04
2018 -5.80 -5.55
1-YR 1.95 4.02
3-YR - -
5-YR - -
12/31/16 7.82 7.79

Estimated Return Statistics

As of Aug 31, 2019
Statistic GTAA Bench
Alpha 0.00 -
Beta 1.00 -
Tracking Error 0.51 -
R-squared 0.96 -
Standard Deviation 7.20 7.08
Sharp Ratio 0.79 0.80
Max Drawdown -9.33 -8.19
GTAA = Global Tactical Asset Allocation Bench = 60% ACWI/40% BB Bar. U.S. Agg.

Investment Process

Major Trend Index

Our Major Trend Index is utilized to set the portfolio’s net equity exposure (20%-80% range). When the MTI composite reading (ratio of positive to negative points from five categories of factors) is above 1.05, it is deemed “Positive” toward stocks, while a ratio below 0.95 is considered “Negative.” Readings between 0.95-1.05 are neutral. This index is designed to recognize major market trends combining over 130 individual components. The five factor categories include:

  1. INTRINSIC VALUE
  2. SUPPLY/DEMAND
  3. TECHNICAL MARKET
  4. ATTITUDINAL
  5. ECONOMIC/INTEREST RATES/INFLATION

Equity Disciplines

Valuation

Monitor historical and relative valuation using fundamental metrics such as free cash flow yield, normalized earnings yield, and intrinsic value.

Growth

Measure fundamental growth rates including sales growth, EPS growth, and earnings revisions.

Technical

Evaluate technical strength or weakness using proprietary Chart Score algorithm.

Leadership

Identify market leadership trends using proprietary Reverse-Adjusted Momentum, VLT relative strength, and VLT momentum models.

Fixed Income Disciplines

Risk Allocation Model

Evaluate the relative attractiveness of Treasuries versus Credits.

Inflation Allocation Model

Assess the relative attractiveness of nominal vs. inflation-protected assets.

Credit Allocation Model

Measure the risk/return trade-offs across credit ratings.

FX Overlay

Consider currency’s impact on the risk and return of foreign bonds.

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 a composite of all fully discretionary, fee-paying institutional and private accounts, managed as Leuthold Global Tactical ETF Portfolio accounts. “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 deduction 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.

  • MSCI ACWI is designed to measure global equity market performance of Developed and Emerging Markets. Performance is net of foreign tax withholding.
  • Bloomberg Barclays U.S. Aggregate provides a broad-based measure of U.S. investment grade fixed-rate debt markets.
  • MSCI ACWI and Bloomberg Barclays U.S. Aggregate are indexes and cannot be invested in directly.

Returns presented for Leuthold Global Tactical ETF Portfolio assume reinvestment of all dividends, interest, and realized gains. Past performance should not be considered predictive of future performance. As with any investment, there can be no assurance that the investment objective will be achieved or that an investor will not lose a portion or all of his investment. The Leuthold Global Tactical ETF Portfolio composite was established on December 31, 2016.

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