WEEKLY ASSET ALLOCATION REPORT January 11, 2016 Stanley Yeung Quantitative Research Analyst Stanley.yeung@TrimTabs.com +1 (415) 324-5873
CONTENTS TACTICAL ASSET ALLOCATION 3 TRIMTABS ASSET ALLOCATION PORTFOLIOS 5 CURRENT ALLOCATIONS 7 LIVE PERFORMANCE 8 SPOTLIGHT ON THE AGGRESSIVE PORTFOLIO 9 LEGAL DISCLAIMER 12
TACTICAL ASSET ALLOCATION OVERVIEW TrimTabs Investment Research offers five tactical asset allocation portfolios with varying levels of risk. The Weekly Asset Allocation Report offers a one-stop solution for optimized, diversified, and dynamic asset allocation. UNIQUE SOLUTION BASED ON PROPRIETARY FUND FLOW RESEARCH The five asset allocation portfolios apply TrimTabs propriety research on mutual fund and exchange-traded fund flows. The portfolios are designed for investors with different tolerances for risk, from conservative to aggressive. Each portfolio is available in a leveraged version and an unleveraged version. The portfolios change no more often than once per week. By providing optimized combinations of equities, bonds, and commodities, the portfolios offer diversification and risk management in all market conditions.
TACTICAL ASSET ALLOCATION Liquidity Analysis Technical Analysis Alpha Portfolio Risk Adjustment for Different Investors
TRIMTABS ASSET ALLOCATION PORTFOLIOS Investor Risk Profile Benchmark Allocation Aggressive Aggressive Conservative Conservative Strategy Allocation-No Leverage Maximum Exposure 100% 100% 100% 100% 100% Minimum Exposure 100% 100% 100% 100% 100% Strategy Allocation- Leverage Maximum Exposure 150% 150% 150% 120% 120% Minimum Exposure 36% 40% 43% 47% 52% Performance Sharpe Ratio (No Leverage) 1.19 1.35 1.55 1.70 2.06 Sharpe Ratio (Leverage) 1.34 1.45 1.60 1.78 2.02 Sharpe Ratio (Benchmark) 0.73 0.82 0.94 1.12 1.44 * Based on back-tested results from 1/3/2003 through 7/18/2014.
TRIMTABS ASSET ALLOCATION PORTFOLIOS EQUITY MODEL The equity model is based on a combination of the TrimTabs Demand Index and the U.S. Equity ETF Index: The TrimTabs Demand Index is a proprietary regression model that uses fund flow and sentiment variables for intermediate-term market timing. It has been produced by TrimTabs since September 2008. The U.S. Equity ETF Index is constructed based on the flows of U.S. equity ETFs. TrimTabs tracks the flows of all U.S.-listed ETFs on a daily basis. FIXED INCOME MODEL The fixed income model is based on proprietary analysis of one-week ETF fund flows and twoweek mutual fund flows. COMMODITY MODEL The commodity model is based on the technical analysis of 1-week flow data and price action of 9 commodities related ETFs and Index.
CURRENT ASSET ALLOCATION PORTFOLIO ALLOCATIONS Current Portfolio Allocations (No Leverage) 1/8/2016 Aggressive Aggressive Conservative Conservative Benchmark Current Benchmark Current Benchmark Current Benchmark Current Benchmark Current Equity 59% 88.5% 50% 75.0% 41% 41.0% 31% 37.2% 18% 21.6% Fixed Income 36% 9.0% 46% 23.0% 55% 56.9% 65% 60.8% 78% 75.6% Commodity 5% 2.5% 4% 2.0% 4% 2.1% 4% 2.0% 4% 2.8% Current Portfolio Allocations 1/8/2016 Aggressive Aggressive Conservative Conservative Benchmark Current Benchmark Current Benchmark Current Benchmark Current Benchmark Current Equity 59% 88.5% 50% 75.0% 41% 61.5% 31% 37.2% 18% 21.6% Fixed Income 36% 54.0% 46% 69.0% 55% 82.5% 65% 78.0% 78% 93.6% Commodity 5% 2.5% 4% 2.0% 4% 2.0% 4% 2.0% 4% 2.0% Current Exposure Maximum Exposure - 145% - 146% - 146% - 117% - 117% - 150% - 150% - 150% - 120% - 120%
LIVE PERFORMANCE TrimTabs Weekly Asset Allocation Models As of December 31, 2015 Inception Date for Leveraged Portfolios: 08/22/2014 Inception Date for Unleveraged Portfolios: 10/31/2014 % Change Aggressive Bench mark Aggressive Bench mark Bench mark Conservative Bench mark Conservative Bench mark Lev UnLev Lev UnLev Lev UnLev Lev UnLev Lev UnLev 2014 3.8 2.2 1.5 3.7 2.1 1.7 3.3 1.9 1.4 2.1 1.2 1.2 1.6 1.0 0.8 2015 1.1 2.9 0.2 1.3 2.8 0.3 1.1 2.6 0.2 0.0 0.8-0.2 0.1 0.6-0.3 Dec-14 0.0 0.1-0.6 0.1 0.2-0.4 0.1 0.3-0.4 0.0 0.0-0.4 0.0 0.1-0.3 Jan-15-1.0-1.3-1.3-0.3-0.7-0.8 0.2-0.2-0.3 0.6 0.4 0.2 1.2 1.0 0.8 Feb-15 4.8 5.3 3.2 3.9 4.3 2.6 3.0 3.4 2.0 1.6 1.8 1.3 0.6 0.7 0.5 Mar-15-1.5-1.7-1.1-1.3-1.3-0.9-1.0-1.1-0.7-0.5-0.6-0.5-0.2-0.3-0.2 Apr-15 1.0 1.0 0.8 0.7 0.8 0.6 0.6 0.7 0.5 0.3 0.3 0.4 0.1 0.1 0.2 May-15 0.7 0.4 1.0 0.5 0.3 0.8 0.3 0.2 0.6 0.0 0.0 0.2-0.3-0.2-0.1 Jun-15-2.1-1.8-1.5-1.9-1.7-1.4-1.7-1.5-1.4-1.3-1.3-1.3-1.1-1.2-1.1 Jul-15 0.3 1.6 1.0 0.5 1.5 1.0 0.5 1.3 0.9 0.6 1.0 0.7 0.8 0.8 0.6 Aug-15-4.0-4.6-3.3-3.4-4.0-2.9-2.8-3.0-2.4-2.2-2.1-1.9-1.4-1.3-1.3 Sep-15-1.9-1.0-1.5-1.5-0.7-1.2-1.2-0.5-1.0-0.9-0.3-0.7-0.4 0.0-0.3 Oct-15 7.2 6.9 4.8 6.2 5.9 4.1 5.2 4.3 3.4 3.2 2.8 2.7 2.1 2.0 1.8 Nov-15 0.3 0.5 0.0 0.1 0.4 0.0 0.0 0.6-0.1-0.2-0.1-0.3-0.5-0.3-0.4 Dec-15-2.2-2.1-1.6-1.9-1.7-1.4-1.6-1.3-1.2-1.0-1.0-1.0-0.7-0.7-0.7 2015 YTD 1.1 2.9 0.2 1.3 2.8 0.3 1.1 2.6 0.2 0.0 0.8-0.2 0.1 0.6-0.3 Since Inception 5.0 5.2 1.7 5.0 4.9 2.0 4.4 4.6 1.6 2.1 2.0 1.0 1.7 1.6 0.5
SPOTLIGHT ON THE AGGRESSIVE PORTFOLIO NO LEVERAGE The aggressive portfolio is designed for investors seeking substantial capital appreciation and limited current income. The benchmark allocation is 36% in fixed income, 59% in equities, and 5% in commodities. INVESTMENT UNIVERSE: SPY (SPDR S&P 500) ETF, AGG (ishares Barclays Aggregate Bond) ETF, and DBC (PowerShares DB Commodity) ETF. EQUITY ALLOCATION: Based on the equity model, equity exposure ranges from 11.8% to 88.5%. FIXED INCOME ALLOCATION: Based on the fixed income model, fixed income exposure ranges from 4% to 85.7%. COMMODITY ALLOCATION: Based on the commodity model, commodities exposure ranges from 2.5% to 7.5%. REBALANCING FREQUENCY: Weekly.
SPOTLIGHT ON THE AGGRESSIVE PORTFOLIO Annual Performance 40% 30% 20% 10% 0% -10% -20% -30% 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 Jan-Jun Strategy (No Leverage) Strategy (Leverage) Benchmark Strategy (No Leverage) Strategy (Leverage) Benchmark Annualized Returns 13.88% 14.74% 7.84% Annualized Volatility 11.68% 11.03% 10.73% Ratio 1.19 1.34 0.73
SPOTLIGHT ON THE AGGRESSIVE PORTFOLIO $5,500 Growth of $1,000 $5,000 $4,500 $4,000 $3,500 $3,000 $2,500 $2,000 $1,500 $1,000 $500 $0 Strategy (No Leverage) Strategy (Leverage) Benchmark
LEGAL DISCLAIMER THE TRIMTABS FAMILY OF PRODUCTS Weekly Liquidity Review (Mon) Weekly Asset Allocation Report (Mon) Daily Liquidity Report (Mon-Fri) Overnight Liquidity Update (Mon-Thurs) Weekly International Liquidity Review (Tues) Weekly Flow Report (Wed) LEGAL DISCLAIMER The data and analysis in this document are provided as is and without warranty of any kind, either expressed or implied. All investment strategies have the potential for profit or loss. There can be no assurance that any strategy will match or outperform any particular benchmark. TrimTabs Investment Research, Inc. (TTIR), any of its employees and affiliates, and any third party data providers shall not have any liability for any loss sustained by anyone who has relied on the information contained in this document or any other TTIR publication. All of the data contained in this document was obtained from sources believed to be reliable, but no guarantee is given to its accuracy and completeness. TTIR is under no obligation to update, modify or amend the information. All of the opinions expressed in this document are subject to change without notice. TTIR uses various methods to evaluate investments, which may, at times, produce contradictory recommendations with respect to the same securities. When evaluating the results of previous TTIR recommendations, TTIR may modify the methods it uses to evaluate investment opportunities from time to time. For this reason and for many other reasons, the performance of TTIR s past recommendations is not a guarantee of future results. The securities mentioned in this document may not be eligible for sale in some states or countries or be suitable for all types of investors, and their value and the income they produce may fluctuate and be adversely affected by exchange rates, interest rates, and other factors. TTIR is not authorized or regulated by the Financial Conduct Authority (FCA). This document is intended for distribution in the United Kingdom and is provided for information purposes only. It has not been approved for the purposes of section 21(2) of the Financial Services and Markets Act 2000 of the United Kingdom, and it has not been prepared in accordance with the legal requirements designed to promote the independence of investment research. Nothing in this document should be construed as investment, tax, financial, or other advice and should not be relied upon. Investors should always obtain current information and perform due diligence before investing. Reliance on this information for the purpose of engaging in any investment activity may expose an individual to a significant risk of losing all of the assets invested. If you are in any doubt about the action you should take regarding to this document and the information in it, you should contact an independent financial adviser or other professional adviser authorized by the FCA. TTIR is not subject to any prohibition on dealing ahead of the dissemination of investment research. The officers, directors, shareholders, employees, and affiliates of TTIR may have long or short positions in the securities discussed in this document and may buy or sell such securities without notice. This document or any of its content must not be distributed or passed on, directly or indirectly, to any other person without the express written consent of TTIR. Copyright 2016 TrimTabs Investment Research. All rights reserved.