Keystone

Keystone

Keystone

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.

Total Portfolio Solution

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.

 

 

The model can be fully invested in up to 14 ETFs when market conditions are favorable but also has the flexibility to be fully invested in cash or short-term securities during down markets by using our “downside risk protector” strategy.  It is rebalanced monthly.

Morningstar Classification: TACTICAL ALLOCATION

Definitions

Sharpe Ratio – the average return earned in excess of the risk-free rate.  A higher Sharpe Ration is better

Risk-Free Rate – represents the interest an investor would expect from an absolutely risk-free investment over a specified period of time.

Sortino Ratio – another measure of risk that takes into account the downside deviation of the asset.  A higher Sortino Ratio is better.

What is Drawdown?

Drawdown is the measure from the highest high to the lowest low or peak to trough during a specific time period.  It is an important measurement of risk.  A larger drawdown requires a more significant increase in the security to recover.

Volatility measures the change in the price of an investment.  The higher the volatility, the higher the difference between the high and the low of an investment’s price.

The 12 Month Rolling ROR is the compound rate of return for the last 12 months.  The rate of return is the gain or loss on an investment over a specified time period, expressed as a percentage of the investment’s cost.