Tactical Money Management-- Strategy Overviews and Forecasting … · •Global Policy Divergence,...
25
1 Tactical Money Management-- Strategy Overviews and Forecasting 2016
Transcript of Tactical Money Management-- Strategy Overviews and Forecasting … · •Global Policy Divergence,...
1
Tactical Money
Management--
Strategy Overviews
and Forecasting 2016
2015 Strategy Performance
A YEAR IN TRANSITION
• The end of QE in the U.S. First Interest Rate Hike
in 8 Years.
• Late economic cycle slowing.
• Global Policy Divergence, Global Currency Wars.
• Crashing commodity prices: Oil signaling deflation.
2
Innovative-Liquid Alternative
3
Quantitative Risk Models For More
RESILIENT PORTFOLIO OUTCOMES
SEC Registered Investment Advisor founded in 1996.
Two Decades of Experience in Researching,
Developing and Executing Tactical Risk Management
Dedicated Focus on Index based trading strategies
to help improve traditional risk/return expectations.
Innovative, Liquid Alternative Investment Strategies
with a Proven History of Success.
How We Invest
ASYMETRIC RETURNS
• Absolute Returns: Going beyond defensive cash: Returns
• Long / Short / Hedged: Institutional management, available
to retail level
• Investing for Outcomes: Pension / Endowment portfolio
4
Understanding Markets
Bull vs Bear
5
Bull Market Trends Bear Market Trends
High Daily Volatility Low Daily Volatility
Born in confidence Born in skepticism
Large Moves Persistent small gains
How We Invest
3 Factor Models
6
LONG TERM TREND
LONG/SHORT
INTERMIDEIATE
TERM TREND
LONG/SHORT
SHORT TERM
VOLATILITY
Types of Strategies
7
TACTICAL BOND
TACTICAL MUNI
LONG-SHORT EQUITY
Strategy Performance
8
STRATEGY PERFORMANCE 1.20.2016 YTD
Tactical High Yield 0.48%
Long-Short Fixed Income +1.50%
Tactical Muni 0.39%
Long-Short Equity (1.80%)
INDEX COMPARISON:
Merrill Lynch HY Index (4.09%)
S&P Municipal Bond Index 0.99%
S&P 500 Index (9.03%)
Strategy Performance
9
STRATEGY PERFORMANCE YTD 3YR 5YR INCEP
Tactical High Yield 0.48% 9.20% 7.88% 12.21%
Tactical Muni 0.39% 4.10% 4.74% 6.60%
Long-Short Equity (1.80%) 6.60% 4.14% 9.93%
INDEX COMPARISON:
Merrill Lynch HY Index (4.09%) 1.69% 5.04% 6.43%
S&P Municipal Bond Index 0.99% 3.23% 5.51% 4.59%
S&P 500 Index (9.03%) 15.13% 12.57% 7.09%
Strategy Risk
10
STRATEGY DRAWDOWN MAX DRAWDOWN
Tactical High Yield (10.63%)
Tactical Muni (6.37%)
Long-Short Equity (19.41%)
INDEX COMPARISON:
Merrill Lynch HY Index (33.31%)
S&P Municipal Bond Index (6.97%)
S&P 500 Index (50.95%)
Strategy Correlation
11
STRATEGY CORRELATION R2
Tactical High Yield 0.31
Tactical Muni 0.68
Long-Short Equity 0.24
INDEX COMPARISON:
Merrill Lynch HY Index 1.0
S&P Municipal Bond Index 1.0
S&P 500 Index 1.0
Blue Skies and Unicorns
• The Federal Reserve Forecast
12
Federal Reserve Forecast
December 2015
13
The Federal Reserve Open Market Committee is forecasting accelerating economic growth through 2018
Federal Reserve Forecast
December 2015
14
The Federal Reserve Open Market Committee is forecasting accelerating economic growth through 2018
Federal Reserve Forecast
December 2015
15
Despite enduring more than 20 recessions over the past 200 years, The Federal
Reserve has never forecast a recession. Ever.
Federal Reserve “DOT PLOT”
Federal Reserve Forecast
December 2015
• All negative data is just…
“transitory?”
16
Recession Watch: Manufacturing
First Back to Back Slowdown in December since 2009
17
Recession Watch: Manufacturing
First Back to Back Slowdown in December since 2009
18
Recession Watch: Services slowdown not just a
manufacturing slowdown
19
Recession Watch: Corporate Profits
S&P 500 Revenue and Earnings Losing Momentum
20
Peak Leverage
The end of life support
• The QE Exit
21
Peak Leverage ZIRP and QE have
delivered record debt
22
Risk Mitigation--Declines from 2015
Highs to first week of 2016
23
2016 Themes
Gravity should take hold
• Recession/Slowdown; Inverted Yield Curve
• Currency Wars will accelerate
• Credit default cycle is just beginning: 2nd
Inning
• Expect Volatility and Liquidity sell-offs
24
