The model allocates across multiple strategies representing U.S. equities, foreign equities including emerging markets, fixed-income securities, real-estate securities, and commodities. The objective is to produce maximum returns, with minimum risk and low correlation to traditional portfolios.
The strategy is designed to be a total portfolio solution and can also serve as a core within a core-satellite construction.
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.