Strategy Description
The classic 60-40 portfolio has long been a staple of investors seeking a presumed balanced approach to investing. Traditionally, 60% has been constructed using the U.S. Total market or S&P 500 and 40% has been constructed using intermediate U.S. Treasuries
The Drawbridge Balanced strategy is a new twist on this classic strategy. Rather than hold the entire stock market, the strategy takes advantage of both U.S. style rotation as well as international stocks. In a similar fashion, the strategy selects among the best fixed-income opportunities by rotating among treasuries and high-yield bonds.
The strategy uses Drawbridge’s Downside Risk Protector© in an effort to protect capital during periods of market weakness.
Definitions
Sharpe Ratio – the average return earned in excess of the risk-free rate. A higher Sharpe Ratio 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.
