Global Downside Protected

Managed by Atlas Capital

-0.1% Last 30 days 6.0% Last 90 days 21.9% Last 365 days 2.62 Sharpe Ratio -2.9% Max Drawdown

Global Downside Protected

Managed by Atlas Capital

-0.1% Last 30 days 6.0% Last 90 days 21.9% Last 365 days 2.62 Sharpe Ratio -2.90 Max Drawdown
Risk score
Strategy ETFs / Funds
AUM fee 0.75%
Requirements
• Investment minimum: $20,000
• Margin account
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The Atlas Global Downside Protected (GDP) strategy is a global equity strategy benchmarked to the MSCI All-Country World Index (ACWI). GDP is designed to reduce the risk of large loss in sustained market declines, while still striving to achieve gains when stock markets are rising. The strategy does this by avoiding segments of global stock markets that have heightened risk profile; staying fully invested in “good markets” (using cash sparingly); and opportunistically managing foreign exchange rate risk. As with the other Atlas strategies, GDP uses a consistent, systematic approach with a foundation in academic and Atlas proprietary research.

Research

The firm utilizes academic research (Fama French, Carhart, and others) as well as in-house research, which is ongoing. Atlas has been running enhanced equity index strategies since 2003. Currently, the firm runs seven equity strategies. Proprietary models have been developed in Matlab. The GDP strategy has been back-tested to 2001. The test utilizes the returns of market indices (as provided by Bloomberg) for the performance of each sector/geography.

Approach

(1) Invest Globally: (i) Diversification across geographic markets provides the opportunity to benefit when there are attractive markets outside the home country. (2) Create alpha from beta management: (i) Return of any equity market index (the equity beta) can be achieved dynamically and cheaply via ETFs or futures. (ii) Additional return (alpha) can be generated from systematic beta management – informed choices about which stock markets to own-Generating alpha from beta management is often under-appreciated and under-utilized by investors. (3)Take risk only when rewarded: (i) Determine “bad neighborhoods”: Examine valuation, momentum, fundamentals, sentiment, risk and currency impacts for each market - "Water the flowers, not weeds”: Spread the risk budget to good neighborhoods only. (ii) “Correlation matters”: When too many neighborhoods turn bad, we will move assets to short-term fixed income to avoid losses for investors.

Allocation discipline

(1) Universe Selection: Forty-eight segments of global stock market, four tiers of weighting, based on market capitalization, equal weight within tiers. (2) Neighborhood Screen: Countries/sectors that exhibit bad neighborhood characteristics (bad valuation or a downward price trend in local currency) are excluded. (3) Valuation Assessment: Remaining countries/sectors are evaluated based on economic fundamentals, risk, expected return and historical valuation metrics. (4) Portfolio Weighting: Remaining countries/sectors are re-weighted based on risk and valuation outlook. If too few “good neighborhoods” some allocation to short-term fixed income. (5) Currency Management: Major currency exposures are aggregated and evaluated. The currency risk is hedged if value and trend indicate hedging desirable.

Sell discipline

Portfolios are rebalanced monthly. Quantitative screens are run based on value and momentum. Holdings are sold when value and momentum characteristics are undesirable.

Exceptions

None

All performance information on this page is based on the performance of the Portfolio Manager’s account. Client performance may differ. This information was calculated on November 17, 2017.

Daily returns
Performance
MSCI All Country World ETF
S&P 500
Manager (net of fees )
Last 30 days -0.1% 0.7% 0.4%
Last 90 days 6.0% 6.3% 6.1%
Last 365 Days 21.9% 17.9% 20.7%
Since inception (Annualized) 6.2% 9.1% 7.2%
2017 (YTD) 19.4% 15.2% 19.0%
2016 1.4% 9.5% 6.0%
Risk metrics (last 365 days)
MSCI All Country World ETF
S&P 500
Manager (net of fees )
Volatility 7.9% 6.8% 7.2%
Sharpe Ratio 2.62 2.44 2.69
Sortino Ratio 3.79 3.26 3.56
Maximum Drawdown -2.9% -2.8% -2.4%
Value-at-risk (95%, 1 week) -1.8% -1.6% -1.7%
Additional metrics (last 365 days)
vs.MSCI All Country World ETF
vs. S&P 500
Information Ratio 0.9% 0.5%
Alpha 3.93 0.41
Beta 0.97 1.03
R-Squared 0.7% 0.9%
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About Atlas Capital

Atlas Capital Advisors, LLC. is a San Francisco based registered investment adviser serving ultra-high-net-worth individuals. Jonathan Tunney is the Founder and Chief Investment Officer. Prior to founding Atlas, he was responsible for worldwide currency risk management for Hewlett Packard, managing the firm’s exposure to billions of dollars in foreign currency exchange.

Important Information

  1. Past performance is no guarantee of future results, and all investments, including those in this portfolio, involve the risk of loss, including loss of principal and a reduction in earnings.  
  2. All performance information on this page is based on the performance of the Portfolio Manager’s account, using the manager’s own funds. Portfolio Manager’s pre-IB Asset Management performance information may include performance of non-IB Asset Management client accounts. Performance of the Portfolio Manager's account is calculated by IB Asset Management on a daily time-weighted basis, including cash, dividends and earnings distributions and reflects the deduction of broker commissions. Manager returns include trades and positions that fail IB Asset Management's trading rules, as a result, actual client returns will differ. IB Asset Management advisory fees are simulated and applied retroactively to present the portfolio return "net-of-fees".
  3. None of the performance information displayed on this page is based on the actual performance of any IB Asset Management client account investing in this portfolio. The performance in an IB Asset Management client account invested in this portfolio may differ (i.e., be lower or higher) from the Portfolio Manager’s account performance based on any trading restrictions imposed by the client (resulting in different account holdings), time of initial investment, amount of investment, frequency and size of cash flows in and out of the client account, applicable brokerage commissions, and different corporate actions. Clients investing in this portfolio may view the actual performance of their investment in this portfolio by logging into their IB Asset Management account and reviewing their customized dashboard.
  4. All graph data is as of the end of day for the referenced period, unless otherwise specified. The investment minimum is the minimum investment required to follow a particular portfolio. The minimum amount is determined by IB Asset Management, based on the characteristics of the underlying portfolio. It should not be considered as specific investment advice for your investment situation.
  5. The performance charts are provided for informational purposes only, and should not be used as the basis for making an investment decision. We rely on mathematical formulas, computer programs, and pricing information from third-party vendors to provide these returns. Neither IB Asset Management nor any of its data or content providers shall be liable for any errors in this information or any actions taken by you in reliance upon this information.
  6. Benchmark returns displayed have been calculated by IB Asset Management using daily benchmark prices and do not include dividend income. More information here. For certain portfolios IB Asset Management uses an index as a benchmark, while for others it uses an investable exchange traded fund (ETF) as a benchmark. Index returns do not reflect the deduction of any management fees, transaction costs or expenses. Individuals cannot invest directly in an index. Investable ETF returns reflect the deduction of (i.e., are net of) management fees, transaction costs and expenses.
  7. All Portfolio Manager information including personal data, profiles, strategies, monthly investment reports, and historical results outside of IB Asset Management has been provided by the Portfolio Manager. IB Asset Management makes no representation or warranty of its accuracy, completeness or relevance and it does not represent the opinions of IB Asset Management. Transaction history of Portfolio Managers is available upon request. Portfolio classifications are provided by IB Asset Management, and are intended to serve as a general guide.
  8. Not all transactions listed will appear in accounts due to IB Asset Management's trading rules and individual client constraints. Eligibility of these securities is monitored periodically, and may change over time. Actual client investment holdings may vary.
  9. This portfolio was launched on IB Asset Management on July 29, 2015.