Alternative Sector Rotation Strategy

Transcription

1 Alternative Sector Rotation Strategy

2 Alternative Sector Rotation Strategy INVESTMENT OBJECTIVE: Seeks long term growth of capital by investing in alternative asset classes as a way to compliment a traditional allocation and to offer diversification benefits. INVESTMENT APPROACH: A discretionary rotation strategy using ETFs that attempts to determine which segments of the alternative investment market, such as commodities, real estate, precious metals and energy are likely to outperform based on market conditions. When momentum begins to wane, positions are exited and moved into the sector that is showing the strongest potential. 2

3 Investment Process Invests only in long only ETFs in the commodities, energy and real estate sectors. Quantitative algorithmic model determines outperforming and underperforming sectors and provides investment signals. Management decision overlay conducted with fundamental analysis can override algorithmic signals and adjust sector exposure in extreme market conditions. Commodity price driven. In a strong dollar environment, commodity prices are negatively affected, but the strategy has the ability to move anywhere from 0-100% cash to hedge against downturns in the alternatives sector. Investment committee meets regularly to discuss holdings/weights and rebalancing of the portfolio. 3

4 Strategy Strengths Systematically traded to remove the emotional component from investment decisions. Invests in the best performing alternatives and is rebalanced monthly. Tactical approach to opportunistically capture return in outperforming sector. Concentrated exposure to specific industry sector to take advantage of investment opportunity. Employs technical analysis in portfolio construction with a fundamental macro overlay. Adds diversification to a balanced portfolio. Has the ability to invest anywhere from 0% to 100% cash to hedge against downturns in the alternatives sector. 4

5 Alternative Sector Rotation Strategy Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD % -3.80% -4.70% -3.21% 0.50% -2.65% -3.10% 0.00% 0.00% 0.00% % -4.03% % % 1.44% -0.04% 2.35% -3.33% 3.72% -3.09% 1.85% -1.00% -6.88% 4.00% 1.48% 7.94% % -5.94% 13.62% 6.77% -8.93% 1.36% 4.57% 1.61% -4.87% 0.46% -2.57% 2.85% 11.87% % 3.39% -3.54% 4.22% 0.43% 14.89% 14.26% % 8.63% -2.15% -6.21% -9.24% 16.31% % 1.98% 7.48% 27.50% % -5.34% 11.10% 5.26% % 22.14% 6.63% -1.73% 49.07% % 6.31% 5.06% 9.11% -5.33% 5.41% 6.58% -8.31% 16.08% 13.42% 13.53% 9.99% 78.09% % 8.04% -0.70% 0.57% 9.76% 6.54% -2.95% 15.68% 6.59% -4.30% -1.50% % 7.69% % 19.17% % -1.93% 16.47% 10.29% % 0.63% -0.12% % -8.20% 15.98% 12.58% % -2.50% 3.09% -3.96% -3.41% 1.41% 9.00% -4.70% 4.35% 7.76% -5.56% 9.63% 16.26% Given the fact that this strategy invests in alternative asset classes such as commodities and REIT, for performance comparison there is no standard benchmark. 5

6 Alternative Sector Rotation Strategy Statistics Standard Deviation (Monthly): 8.53% % of Positive Months: 55.56% Standard Deviation (Annualized): 29.56% Maximum Drawdown: % Downside Deviation (Monthly):** 5.09% Longest Winning Streak: 8 Months Downside Deviation (Annualized):** 17.64% Longest Losing Streak: 4 Months Sharpe Ratio (Monthly):** 0.16 Sharpe Ratio (Annualized):** 0.57 Net of Fee Returns Sortino Ratio (Monthly):** 0.21 December: -4.03% Sortino Ratio (Annualized):** 0.71 YTD:* % Average Monthly: 1.65% Compounded Monthly Return: 1.29% Highest Month: 27.50% Compounded Annual Return: 16.69% Lowest Month: % Cumulative Return: % *YTD Through December 2015 **Based on RFR at 3.0% 6

7 Fees Elite s direct individual clients are charged 1% management fee only with no performance fee. White or private labeling fees are as follow: 1: Adhesion and Envestnet/Placemark Elite s fee schedule for White Labeled services where independent third party investment managers utilize intermediaries responsible for trading and allocations: Up to $100M = 0.30% 0.35% Annually Over $100M = Breakpoints Negotiable 2: Interactive Brokers (IB) Elite s fee schedule for White Labeled services where independent third party investment managers utilize Elite s investment platform/infrastructure through IB and Elite is responsible for trading and allocations: Up to $100M = 0.60% Annually Next $50M = 0.55% Annually Anything over $150M = 0.50% Annually 3: Strategy Licensing Agreement We provide trade signals to the RIA Up to $100M = 0.40% Annually Next $50M = 0.35% Annually Anything over $150M = 0.30% Annually 7

8 Investment Team Fariba Ronnasi - Ms. Fariba Ronnasi, president and founder of Elite Wealth Management, Inc. has headed the strategic management of numerous high net worth individuals. Prior to establishing the firm in October of 2004, Fariba worked as Managing Director for the Private Wealth Division of Columbia Management Company and was responsible for expanding the Private Portfolios Group on the West Coast. Previously, Fariba was a Business Development Manager for Citicorp in its Private Banking Division. Prior to joining Citicorp, she worked as the Senior Private Banking Manager at Keycorp and established the Technology group for the Private Bank. She has 23 years of solid experience in the field of finance and investment management. Ms. Ronnasi has a BA and MBA in Finance with a minor in Economics from Seattle University and currently holds a Series 65 license. Yinmo Wang - Yinmo Wang conducts financial analysis on the firm s trading strategies. He wrote the trading algorithm for several of the firm s strategies and implements their trading schema, including the continued evaluation of their efficacy. Mr. Wang previously designed in-house funds for clients and evaluated performance reporting for Financial Concepts Unlimited and prior to that, performed finance and accounting functions in support of the CFO at Systems Plus. Mr. Wang received a B.S. in International Finance from Fudan University in Shanghai; an MBA from Montreux Switzerland; a M.S. Finance (MSF) and a M.S. Engineering Management (MSEM) and Systems Engineering (MSSE) from the George Washington University. Yinmo Wang has over 20 years of experience in the industry and is a CFA charterholder. Kevin Lennil - Kevin Lennil manages several portfolios for the firm and has 10+ years of experience in the investment industry and high volume trading in the options market. He managed his own RIA firm, Exagroup, from before the firm was purchased by Elite Wealth Management and subsequently joined the Elite team in 2014 as a full time employee. Mr. Lennil developed the algorithm for the Tactical Long/Short strategy and currently holds a Series 65 license. 8

9 Disclosures Elite Wealth Management, LLC ( Elite Wealth Management ) is a registered investment adviser with the Securities and Exchange Commission. The firm is defined as Elite Wealth Management and includes assets managed as dual officers. Assets under management include assets managed by Elite Wealth Management officers as dual officers of Lattice Capital Management. Any client and account statistics presented include dual officer relationships. This material (or any portion thereof) may not be copied or distributed without Elite Wealth Management s prior written approval. Statements are current as of the date of the material only. The performance shown is for the stated time period only; due to market volatility, each account s performance may be different. Returns are shown net of management fees, trading costs, and other direct expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns shown assume the reinvestment of dividends and other income. In the case of projected performance and cash flows, it is presented in response to client s request. Performance is expressed in U.S. dollars unless noted otherwise. Performance results for one year and less are not annualized. Past results are not necessarily indicative of future performance and are no guarantee that losses will not occur in the future. Future returns are not guaranteed and a loss of principal may occur. The standard deviations and information ratios may be higher or lower at any time. There is no guarantee that these measurements will be achieved. These results are based on model or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown. This presentation does not constitute an offer or solicitation to any person in any jurisdiction in which such offer or solicitation is not authorized or to any person to whom it would be unlawful to make such offer or solicitation. The information provided in this presentation should not be considered a recommendation to purchase or sell a particular security. Any specific securities identified do not represent all of the securities purchased, sold or recommended for advisory clients, and may be only a small percentage of the entire portfolio and may not remain in the portfolio at the time you receive this report. You should not assume that investment decisions we make in the future will be profitable or will equal the investment performance of the past. The following provides a simplified example of the cumulative effect of management fees on investment performance: An annual management fee of 0.80% applied over a five-year period to a $100 million portfolio with an annualized gross return of 10% would reduce the value of the portfolio from $161,051,000 to $154,783,041. The actual management fee that applies to a client s portfolio will vary and performance fees may be available. The standard fee schedules for Elite Wealth Management s strategies are shown in Part II of Elite Wealth Management s Form ADV. Please note that this presentation does not comply with all of the disclosure requirements for an ERISA section 404(c) plan, as described in the Department of Labor regulations under section 404(c). Plan sponsors intending to comply with those regulations will need to provide the plan participants with additional information. The information provided in this presentation does not constitute individual investment advice for a participant or investor, is only informational in nature and should not be used by a participant or investor as a primary basis for making an investment decision. 9

10 Disclosures The performance shown is compared to several indexes shown herein. Broad-based securities indices are unmanaged and are not subject to fees and expenses typically associated with managed accounts or investment funds. The number and types of securities found in the index can differ greatly from that of the accounts held in the strategy shown. Investments cannot be made directly in an index. Standard & Poor s, S&P, S&P 500 Index, Standard & Poor s 500, and S&P Mid Cap 400 Index are trademarks of McGraw-Hill, Inc., and have been licensed for use by Elite Wealth Management. The Products mentioned are not sponsored, endorsed, sold, or promoted by Standard & Poor s, and Standard & Poor s makes no representation regarding the advisability of investing in the Products. Most of the performance presented in this presentation occurred prior to inception of the option strategy now being managed by Lattice Capital Management and the portability of this track record was lifted out of previous accounts managed in a substantially similar manner by prior Firm(s). The performance for the period September 2011 through January 2014 was achieved while Mr. Lennil was the Chief Investment Officer ( CIO ) with his prior firm, Exagroup, Inc. ( Exagroup ). While Mr. Lennil, was not affiliated with Lattice Wealth Management or Lattice Capital Management during that time period, the accounts that comprise the performance of the DOS Composite were all managed on behalf of clients of Elite Wealth Management or Lattice Capital Management. The performance achieved for the period January 2014 to present was achieved while Mr. Lennil was affiliated with Lattice Capital Management, as he continues to make all investment decisions for all client accounts managed with Lattice as he did while employed at Exagroup. Lattice Capital Management LLC ( Lattice ) is a registered investment adviser with the Securities and Exchange Commission. We have provided this information regarding your account(s) based on sources we believe to be accurate. To ensure accuracy, you are encouraged to compare account information detailed on this statement with the information contained on the statement from the corresponding time period from the custodian of your account. Please contact us or the account custodian with any questions you may have. Also, please notify us promptly if you do not receive statements on all accounts from the custodian on at least a quarterly basis. This material (or any portion thereof) may not be copied or distributed without Lattice s prior written approval. Statements are current as of the date of the material only. This presentation does not constitute an offer or solicitation to any person in any jurisdiction in which such offer or solicitation is not authorized or to any person to whom it would be unlawful to make such offer or solicitation. The information provided in this presentation should not be considered a recommendation to purchase or sell a particular security. The standard fee schedules for Lattice s strategies are shown in the firm s Form ADV Part 2. Lattice and its affiliates do not provide tax advice. Accordingly, any discussion of U.S. tax matters contained herein (including any attachments) is not intended or written to be used, and cannot be used, in connection with the promotion, marketing or recommendation by anyone unaffiliated with Lattice of any of the matters addressed herein or for the purpose of avoiding U.S. tax-related penalties. The performance shown is for the stated time period only; due to market volatility, each account s performance may be different. Returns are shown net of a 1% management fees, 15% performance fee, trading costs, and other direct expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns shown assume the reinvestment of dividends and other income. In the case of projected performance and cash flows, it is presented in response to client s request. Performance is expressed in U.S. dollars unless noted otherwise. Performance results for one year and less are not annualized. Past results are not necessarily indicative of future performance and are no guarantee that losses will not occur in the future. principal may occur. There is no guarantee that these measurements will be achieved. Future returns are not guaranteed and a loss of This presentation does not constitute an offer or solicitation to any person in any jurisdiction in which such offer or solicitation is not authorized or to any person to whom it would be unlawful to make such offer or solicitation. The information provided in this presentation should not be considered a recommendation to purchase or sell a particular security. Any specific securities identified do not represent all of the securities purchased, sold or recommended for advisory clients, and may be only a small percentage of the entire portfolio and may not remain in the portfolio at the time you receive this report. You should not assume that investment decisions we make in the future will be profitable or will equal the investment performance of the past. 10