Keystone

Total Portfolio Solution

The Keystone model is Portfolio Cafe’s flagship model.  It is designed to be the core holding within many types of portfolios and should fulfill the needs of many different types of investors.

Morningstar Classification:  Global All-Asset

Our goal:  To create a single model that would be ideal for retirement planning and long-term financial planning and serve as the foundation or cornerstone to a diversified portfolio.

The research:Risk Premia Harvesting Through Momentum”, by Gary Antonnaci.

The factors:

  • absolute momentum
  • dual momentum
  • volatility

The process:  Combine eight separate rules-based systems representing sectors, styles, developed countries, emerging markets, credit markets, real estate, and commodities.

The result:  A dynamic, diversified portfolio, measured by low volatility and remarkably high growth suitable for the “core” component of almost any portfolio.

 

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Total Return
Performance Summary

Data as of 08/31/2018Keystone All World 60/40
Last Month 2.01%0.76%
YTD2.38%1.76%
3 month ROR2.74%2.23%
12 month ROR8.25%5.66%
36 month ROR34.37% 23.05%
Total Return since inception271.31%88.05%
Compound ROR11.90%6.30%
Winning Months (%)70.71% 62.59%

Risk MetricsKeystoneAll World 60/40
Sharpe Ratio1.470.64
Sortino Ratio2.900.86
MDD%-5.80%-32.23%
Correlation vs. SP5000.490.91
STD DEV (monthly) 2.28%2.67%
Downside Deviation (monthly) 1.13%1.83%
Beta0.270.59
Average Winning Month2.05%1.99%
Average Losing Month -1.64%-2.01%

 

Annual Returns
YEARKeystone PortfolioVanguard 60/40All World 60/40
2003 (9/30 to 12/31)11.15%7.2%-
200417.45%9.30%11.2%
200510.35%4.68%7.1%
200611.66%10.58%13.2%
200716.69%6.13%9.0%
20088.89%-23.86%-19.5%
200929.49%19.37%13.7%
201015.32%13.10%12.3%
20118.68%4.10%2.9%
2012 9.76%11.30%12.3%
201310.80%18.00%
13.0%
2014 7.53%9.80%5.4%
2015-0.31%0.37%0.7%
2016
12.56%8.63%4.8%
201717.69%13.75%14.54%
2018 (As of August 31) 2.38%5.7%

1.76%
Monthly Returns

 

 

 JanFebMarAprMayJunJulAugSeptOctNovDec
20033.70%2.41%5.04%
2004
0.94%3.08%1.43%-4.24%0.87%1.09%-0.10%2.31%2.56%2.87%4.47%2.18%
2005-1.68%3.34%-0.89%-2.36%1.47%1.98%2.14%2.37%3.60%-3.42%2.02%1.77%
20065.13%-3.40%1.67%1.73%-3.12%0.04%0.78%1.50%1.39%3.04%2.75%0.15%
20072.15%-0.60%1.79%2.44%2.14%-0.30%0.57%0.02%4.47%6.94%-4.46%1.51%
20081.84%1.39%-1.50%0.33%2.64%-2.58%-1.60%0.09%2.25%1.75%1.70%2.58%
20090.15%0.11%-0.47%1.34%7.98%-0.44%6.89%2.96%6.26%-1.98%5.04%1.66%
2010-3.80%3.04%4.27%1.30%-4.59%-1.26%3.05%1.21%5.27%4.11%-2.36%5.10%
20111.08%3.65%1.31%4.37%-1.68%-1.15%-0.18%1.33%-1.52%0.42%0.49%0.56%
20120.70%1.63%0.82%0.50%-3.70%2.23%3.11%0.03%2.98%-1.39%0.34%2.50%
20132.40%0.21%2.75%1.91%-2.77%-0.60%3.09%-1.01%1.05%2.52%0.12%1.13%
2014-2.49%3.64%0.66%1.56%0.61%2.89%-2.53%2.07%-3.87%1.32%1.64%-0.45%
20151.94%-1.14%-0.17%2.66%-0.49%-0.57%-0.04%-2.63%0.32%0.55%-0.81%0.08%
2016-1.13%1.83%4.07%2.88%
-1.19%3.34%1.70%-1.71%0.88%-1.36%1.65%1.13%
20171.08%1.98%1.15%1.64%2.13%
-1.04%3.30%2.17%0.24%2.34%.38%1.37%
20184.64%-3.93%-.62%-0.43%0.18%
1.22%-.50%2.01%
Historical holdings

As of Date
ETF NameSymbol Type Current Allocation %
06/01/2018PowerShares Aerospace & DefensePPAEquity- Sector4.16%
06/01/2018U.S. Consumer Discret Sector SPDRXLYEquity - Sector 4.16%
06/01/2018First Trust DJ Internet IndexFDNEquity - Sector 4.16%
06/01/2018iShares Russell 2000 ValueIWNEquity - Style 6.25%
06/01/2018iShares Russell 2000 GrowthIWOEquity - Style 6.25%
06/01/2018iShares MSCI United Kingdom IndexEWUEquity - MSCI Dev. Mkts. 6.25%
06/01/2018iShares MSCI EAFE Minimum VolatilityEFAVEquity - MSCI Dev. Mkts. 6.25%
06/01/2018-1x ProShares Short MSCI Emerging MarketsEUMEquity - MSCI Emerging Markets 6.25%
06/01/2018iShares FTSE NAREIT Residential IndexREZReal Estate12.50%
06/01/2018PowerShares DB Energy FundDBECommodities 12.50%
06/01/2018Cash or Cash Equivalents $CASHCash 31.25%

Current Holdings
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