The document describes several portfolio strategies offered by Hansen & Associates Financial Group. The strategies are designed to adapt to current market trends and mitigate risk through quantitative models. They include the Adaptive Asset Allocation strategy, Target Sector strategy, Core-Target Satellite strategy, and Conservative Adaptive-Core Satellite strategy. For each strategy, the document provides back-tested performance metrics compared to relevant benchmarks like the S&P 500. It shows the strategies achieved higher returns with lower risk than the benchmarks over the periods examined.
Know more on the benefits of investing in ICICI Prudential Quant Fund:
● Limited Human Intervention to avoid any biases.
● Diversification across various sectors, styles and businesses.
● Systematic approach of investing by combining investing experience and avoiding human error.
● Passive Investing through a model using a combination of factors.
● Team with prior experience in managing quantitative models for asset allocation.
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Know more on the benefits of investing in ICICI Prudential Quant Fund:
● Limited Human Intervention to avoid any biases.
● Diversification across various sectors, styles and businesses.
● Systematic approach of investing by combining investing experience and avoiding human error.
● Passive Investing through a model using a combination of factors.
● Team with prior experience in managing quantitative models for asset allocation.
Global Value Equity Portfolio (March 2011)Trading Floor
This month we have adjusted our Global Value Equity Portfolio to include the reinvestment of gross dividends and introduced dynamic weights for the constituents. This reduces transaction costs, enhances excess return and makes the portfolio easier to replicate for investors.
ICICI Prudential Mutual Fund- Valuations Perspective November 2020iciciprumf
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This weeks paper addresses steps to overcome the retirement income challenge.
For retirees, investing in fixed income simply may not fulfill income or risk management needs, while investing heavily in equities may expose these investors to untimely amounts of risk. As Americans face this retirement income challenge, it is no wonder that portfolio longevity is now of greater concern than public speaking.
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Fact sheets may 2020 pdf
1. Tactical Strategies Portfolio Suite
Target
Sector
Portfolio
Adaptive
Asset
Allocation
Core-Target
Sector
Portfolio
Adaptive-Target
Portfolio
Conservative
Adaptive-Core
Satellite
Portfolio
Adaptive-Core
Satellite
Portfolio
Our portfolio strategies are responsive and dynamic that adapt to current market trends. We eliminate human emotion from the investment process, which provides the
ability to execute quickly under any market circumstance according to our strict quantitative criteria. Each strategy is designed to mitigate risk and downturns in the stock
market. All portfolios utilize a proprietary rule-based process designed to be transparent, repeatable and reliable.
2. Adaptive Asset Allocation Portfolio
May 2020
Fund Summary
At its core, our methodology is simple: we take an actively managed approach to investing by rebalancing more frequently than traditional asset allocation models to better align
the portfolio with current market trends. Our investment model is structured to participate in a wide variety of asset classes and is enabled to quickly respond to changes in asset
class risks and relationships. This gives us the flexibility to continually adapt to market changes. By combining two different tactical approaches (momentum and risk parity) into
one algorithm, our model builds a portfolio that responds quickly to market conditions with the objective of simultaneously maximizing return while minimizing risk.
Risk/Return Metrics
1/1/2007 – 5/31/2020_________
Total Annualized Compounded Return
Adaptive S&P 500
Asset Allocation (SPY) __
11.21% 6.90%
US Market Correlation 0.56 1.00
Standard Deviation 9.23% 15.37%
Max. Drawdown -9.41% -50.08%
Worst Year (1/1/2007 – 12/31/2019) .33% * -36.81%*
Best Year (1/1/2007 – 12/31/2019) 32.52%* 32.31%*
Alpha (annualized) 8.42% 0.00%
R2 32.09% 100%
Sharpe Ratio 1.11 0.50
Sortino Ratio 1.96 0.72
Upside Capture Ratio (%) 60.51 100
Downside Capture Ratio (%) 28.76 100
Positive Periods 68.75% 65.63%
Gain/Loss Ratio 1.23 0.79
S&P 500 is used as the benchmark for calculations. Backtested chart illustrates a comparison
with the Vanguard Balanced Index Fund (VBINX) along with the S&P 500 (SPY)
Value-at-risk metrics are based on monthly values.
Performance Summary
$420,979
$281,794
$244,737
$0
$50,000
$100,000
$150,000
$200,000
$250,000
$300,000
$350,000
$400,000
$450,000
$500,000
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
ADAPTIVE ASSET ALLOCATION STRATEGY
Back tested performance January 1, 2007 – May 31,2020
The Chart below illustrates how effective the Adaptive Asset Allocation Strategy
is in managing risk and providing long term growth potential
Adaptive Allocation Portfolio S&P 500 (SPY) Vanguard Balanced Ind (VBINX)
Hansen & Associates Financial Group, Inc. is a Registered Investment Adviser. This fact sheet is solely for informational purposes and is based on the back tested results of the Adaptive Asset Allocation strategy for the time period of 1/1/2007 to 5/31/2020 and does not include
advisory fees that may apply. Past performance is no guarantee of future returns. Investing involves risk and possible loss of capital.
*calendar year returns
3. Target Sector Portfolio
May 2020
Performance Summary
The Target Sector portfolio seeks to target sectors with high growth potential and consists of 10 sector ETF’s representing some of the most innovative companies in the stock
market. Big data, analytics, medicine, computer networks, environmental systems, solar energy development, cleantech and medical devices are some of the fields represented
its holdings. These companies bring exponential technologies that traditionally displace older technologies and have the potential to effect significant economic impacts. The
portfolio is a quantitative, momentum-based strategy that is rebalanced monthly to invest in the top 6 best performing categories within its universe.
Risk/Return Metrics
1/1/2013 – 5/31/2020_________________
Compounded Annual Growth Rate
Target Sector S&P 500
Portfolio__ (SPY) ____
21.39% 12.96%
US Market Correlation 0.86 1.00
Standard Deviation 18.30% 13.14%
Max. Drawdown -18.96% -19.43%
Worst Year (1/1/2013 – 12/31/2019)* -.40% -4.56%
Best Year (1/1/2013 – 12/31/2019)* 56.45% 32.31%
Alpha (annualized) 5.65% 0.00%
R2 69.63% 100%
Sharpe Ratio 1.12 0.94
Sortino Ratio 1.88 1.45
Upside Capture Ratio (%) 134.4 100
Downside Capture Ratio (%) 99.15 100
Positive Periods 65.17% 73.03%
Gain/Loss Ratio 1.31 0.79
The S&P 500 index (SPY) is used as the benchmark for calculations.
Value-at-risk metrics are based on monthly values.
$0
$50,000
$100,000
$150,000
$200,000
$250,000
$300,000
$350,000
$400,000
$450,000
2013 2014 2015 2016 2017 2018 2019 2020
Tactical Sector Portfolio
1/1/2013 – 5/31/2020 *
Tactical Sector S&P 500
$246,847
$420,979
Hansen & Associates Financial Group, Inc. is a Registered Investment Adviser. This fact sheet is solely for informational purposes and is based on the back tested results of the Tactical Sector Portfolio for the time period of 1/1/2013 to 5/31/2020 and does not include advisory
fees that may apply. Past performance is no guarantee of future returns. Investing involves risk and possible loss of principal capital.
*calendar year returns
16.67%
16.67%
16.67%16.67%
16.67%
16.67%
Target Sector 1 Target Sector 2 Target Sector 3
Target Sector 4 Target Sector 5 Target Sector 6
4. Core-Target Satellite Portfolio
April 2020
Performance Summary
The Core-Target Satellite portfolio seeks to maintain a lucrative risk profile while capturing maximum alpha. Its primary goal is to achieve high capital gain utilizing a select group of ETF’s that are
expected to grow at a faster rate relative to the overall stock market, while offsetting the higher risk profile with a mix of diversified equities and fixed income at its core. The Core represents 70%
portfolio weighting and 30% in the Adaptive Asset Allocation The portfolio is actively managed using a proprietary quantitative model that rebalances positions monthly.
7%
18%
10%
35%
5%
5%
5%
5%
5%
5%
Dow Ind. (DIA) S&P 500 (SPY)
Nasdaq (QQQ) 20yr Treasury (TLT)
Sector 1 Sector 2
Sector 3 Sector 4
Sector 5 Sector 6
$0
$50,000
$100,000
$150,000
$200,000
$250,000
$300,000
2013 2014 2015 2016 2017 2018 2019 2020
Core/Target Satellite (70/30) vs
Vanguard Balance
1/1/2013 – 5/31/2020 (back tested performance)
Core/Target Satellite Vanguard Balanced (VBINX)
Risk/Return Metrics
1/1/2013 – 5/31/2020_________________
Compounded Annual Growth Rate
Core-Target Balanced Index
Satellite Portfolio_ (VBINX)_ __
12.84% 8.50%
US Market Correlation 0.81 .99
Standard Deviation 8.57% 8.22%
Max. Drawdown -7.64% -12.34%
Worst Year (1/1/2013 -12/31/2019)* -1.15% -2.97%
Best Year (1/1/2013 – 12/31/2019)* 24.13% 21.67%
Alpha (annualized) 6.03% 0.00%
R2 45.26% 100%
Sharpe Ratio 1.35 0.94
Sortino Ratio 2.57 1.46
Upside Capture Ratio (%) 102.53 100
Downside Capture Ratio (%) 50.26 100
Positive Periods 68.18% 73.86%
Gain/Loss Ratio 1.37 0.79
The Vanguard Balanced Index (VBINX) is used as the benchmark for calculations.
Value-at-risk metrics are based on monthly values.
Hansen & Associates Financial Group, Inc. is a Registered Investment Adviser. This fact sheet is solely for informational purposes and is based on the back tested results of the Core-Target Satellite strategy for the time period of 1/1/2007 to 5/31/2020 and does not include
advisory fees that may apply. Past performance is no guarantee of future returns. Investing involves risk and possible loss of principal capital.
*calendar year returns
5. Adaptive-Core Satellite Portfolio
May 2020
Performance Summary
The Adaptive-Core Satellite strategy seeks to capture the versatility of tactical management but with a higher emphasis on a balanced core. The portfolio utilizes a 70% portfolio weighting
in the Adaptive Asset Allocation strategy, which designed to follow the trends of the markets to mitigate risk exposure to weak asset classes and seek asset classes that are exhibiting near
term momentum. The remaining 30% portfolio weighting is invested in a moderate based fixed allocation of 50% equities/50% 20-year treasuries. Assets in the Adaptive Allocation
component are rebalanced monthly using a proprietary quantitative model.
Risk/Return Metrics
1/1/2007 – 5/31/2020_________________
Compounded Annual Growth Rate
Adaptive-Core Balanced Index
Satellite Portfolio_ (VBINX)_ __
10.78% 6.90%
US Market Correlation 0.50 .99
Standard Deviation 8.07% 9.65%
Max. Drawdown -6.80% -32.57
Worst Year (1/1/2007-12/31/2019)* -1.26% -22.21%
Best Year (1/1/2007-12/31/2019)* 19.64% 21.67%
Alpha (annualized) 7.48% 0.00%
R2 45.79% 100%
Sharpe Ratio 1.25 0.65
Sortino Ratio 2.29 0.94
Upside Capture Ratio (%) 78.89 100
Downside Capture Ratio (%) 30.08 100
Positive Periods 70.81% 68.32%
Gain/Loss Ratio 1.18 0.82
The Vanguard Balanced Index (VBINX) is used as the benchmark for calculations.
Value-at-risk metrics are based on monthly values.
1.5% 4.5%
70.0%
21.0%
3.0%
Dow Ind. (DIA) S&P 500 (SPY)
Adaptive Asset Allocation 20yr Treasury (TLT)
NASDAQ (QQQ)
$0
$50,000
$100,000
$150,000
$200,000
$250,000
$300,000
$350,000
$400,000
$450,000
Jan
-07
8 9 10 11 12 13 14 15 16 17 18 19 20
Adpative-Core Balanced Index Fund (VBINX)
$394,227
$236,565
Hansen & Associates Financial Group, Inc. is a Registered Investment Adviser. This fact sheet is solely for informational purposes and is based on the back tested results of the Adaptive-Core Satellite portfolio for the time period of 1/1/2007 to 5/31/2020 and does not include
advisory fees that may apply. Past performance is no guarantee of future returns. Investing involves risk and possible loss of principal capital.
6. Conservative Adaptive-Core Satellite Portfolio
May 2020
Performance Summary
Risk/Return Metrics
1/1/2007 – 5/31/2020_________________
Compounded Annual Growth Rate
Conservative
Adaptive-Core Balanced Index
Satellite Portfolio_ (VBINX)_ __
8.67% 6.90%
US Market Correlation 0.26 .99
Standard Deviation 6.08% 9.65%
Max. Drawdown -5.44% -32.57
Worst Year .13% -22.21%
Best Year 16.65% 21.67%
Alpha (annualized) 7.02% 0.00%
R2 11.11% 100%
Sharpe Ratio 1.25 0.65
Sortino Ratio 2.45 0.94
Upside Capture Ratio (%) 50.69 100
Downside Capture Ratio (%) 2.72 100
Positive Periods 65.22% 68.32%
Gain/Loss Ratio 1.54 0.82
The Vanguard Balanced Index (VBINX) is used as the benchmark for calculations.
Value-at-risk metrics are based on monthly values.
$0
$50,000
$100,000
$150,000
$200,000
$250,000
$300,000
$350,000
Jan
-07
8 9 10 11 12 13 14 15 16 17 18 19 20
Conservative Adpative-Core Balanced Index Fund (VBINX)
$306,029
$236,565
Hansen & Associates Financial Group, Inc. is a Registered Investment Adviser. This fact sheet is solely for informational purposes and is based on the back tested results of the Adaptive-Core Satellite portfolio for the time period of 1/1/2007 to 5/31/2020 and does not include
advisory fees that may apply. Past performance is no guarantee of future returns. Investing involves risk and possible loss of principal capital.
The model results are based on a core-satellite model, where the long-term strategic core allocation is combined with a tactical asset allocation model based satellite portfolio. 45% of assets are allocated to the
core portfolio with 2 asset(s) and 55% of assets are allocated to the satellite portfolio. Tactical asset allocation model results from Jan 2007 to Apr 2020 are based on adaptive allocation model holding the top 5
best performing assets. The model uses a single performance window of 5 calendar month(s). Volatility based risk adjustments are done based on daily volatility over the past 3 calendar months. Risk parity
weights based on the volatility window are used to set asset weights for each lookback period. Tactical asset allocation model trades are executed using the end of month close price each month based on the
end of month signals.
55%
22.5%
22.5%
Adaptive Asset Allocation
20yr Treasury (TLT)
1-3 Year Treasury Bond ETF (SHY)