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

Annualized Return
As of: 05/31/2018
Keystone All World 60/40
YTD-0.35%-0.46%
1 YR 8.25%5.74%
3 YR8.18% 4.79%
5 YR7.69%6.30%
10 YR11.18% 5.54%
since inception12.62%5.96%

Risk MetricsKeystoneAll World 60/40
Correlation0.69
STD DEV11.23%7.65%
Beta (1-year rolling) 0.7303
MDD%-4.93%-32.22%
Positive Months %70.07%62.77%
Sortino Ratio0.66-0.25
Sharpe Ratio1.240.71
Median monthly return (3-year rolling)0.56%0.63%
Alpha4.82%

 

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 May 31) -0.35%-0.92%

-0.46%
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%
Historical holdings

As of Date
ETF NameSymbol Type Current Allocation %
04/01/2018PowerShares Aerospace & DefensePPAEquity- Sector4.16%
04/01/2018U.S. Consumer Discret Sector SPDRXLYEquity - Sector 4.16%
04/01/2018First Trust DJ Internet IndexFDNEquity - Sector 4.16%
04/01/2018iShares Russell Midcap GrowthIWPEquity - Style 6.25%
04/01/2018PowerShares Nasdaq-100 IndexQQQEquity - Style 6.25%
04/01/2018iShares MSCI New Zealand Investable MarketENZLEquity - MSCI Dev. Mkts. 6.25%
04/01/2018iShares MSCI EAFE Minimum VolatilityEFAVEquity - MSCI Dev. Mkts. 6.25%
04/01/2018Market Vectors Egypt IndexEGPTEquity - MSCI Emerging Markets 6.25%
04/01/2018iShares MSCI Malaysia Index FundEWMEquity - MSCI Emerging Markets 6.25%
04/01/2018SPDR Barcap Global Ex-U.S. Bond (6-7yr)BWXDefensive6.25%
04/01/2018WisdomTree Asia-Pacific Local Debt (3-4yr)ALDDefensive6.25%
04/01/2018iShares Barclays TIPSTIPCredit 12.50%
04/01/2018Cash or Cash Equivalents $CASHCash 25.02%

Current Holdings
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