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A Story About Astoria

​Background

  • An NYC-based, employee-owned investment management company.

  • The partners each have decades worth of experience at large-scale institutions including Bank of America Merrill Lynch, Morgan Stanley, WisdomTree, iShares, & JPMorgan. Their roles ranged from portfolio construction and research, ETF sales management, product development, and executive management.

  • The firm is macro and quantitatively focused with solutions ranging from Core Risk Based ETF Portfolios, Thematic ETF and Stock Portfolios, and quantitative Factor US Stock Portfolios.

  • Astoria places particular emphasis on providing clients with long-term, research-driven investment solutions with an emphasis on thematic and secular investment trends.

  • $1.4 bln in assets under management/advisement as of March 31, 2023.

  • 6 Investment Committee members, 1 PHD, and 2 CFAs.

  • GIPS audited and verified by Alpha Verification Services.

  • Multi-Asset Risk Strategy (MARS) verified returns since 2010

​Astoria's CIO John Davi

  • Award-winning ETF, macro, and derivatives research strategist; 8 years Institutional Investor top-ranked analyst.

  • Over two decades of portfolio construction and investment management experience advising many of the world’s largest asset managers and hedge funds.

  • Published hundreds of institutional research reports in his career.

  • Frequently appears on CNBC, on Bloomberg, and speaks at industry conferences. Advisory board member of Inside ETFs Conference.

  • Developed ETF access and hedging solutions dating back to 2002 for institutional and retail clients where billions of dollars were raised and executed.

​Astoria's ETF Solutions​

  • Blend active and passive investment strategies utilizing 1-2% active risk.

  • Benchmark: A combination of MSCI ACWI & Bloomberg Aggregate Bond Index.

  • The goal is to produce attractive risk-adjusted returns over varying economic cycles to participate in upside markets while hedging our downside risk.

  • 3 main components of our asset allocation discipline

    • Macroeconomic policy

    • Earnings & Valuation catalysts

    • Portfolio risk mitigation via alternatives that are inversely correlated to stocks

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Thematic Investment Strategies

  • Goal is to outperform our benchmark by deploying quantitative stock selection techniques using metrics such as variability of earnings growth, ROE, ROA, free cash flow, debt to equity, etc.

  • Stock portfolios consist of 30-40 stocks, rebalanced annually, and are equally weighted for risk mitigation.

  • Examples of solutions include:

    • Inflation Sensitive Portfolio: stocks, bonds, commodities, and commodity equities expected to benefit from a rise in inflation.

    • Cyclicals Portfolio: 30 high quality equities with above-average ROE, ROA, and earnings growth within their sector cohorts.

    • Dividend Growers Portfolio: 30 stocks that have raised their dividends for 25 consecutive years, with above-average ROE/ROA metrics.

    • Renaissance Risk Managed Rotation Portfolio:  Captures the most relevant macroeconomic portfolio tilts via ETFs while targeting an S&P 500 standard deviation.

We Utilize the following portfolio construction tools​​

  • FactSet: provides valuations, performance attribution, and historical time-series for macro and economic indicators.

  • BlackRock Portfolio Construction Tool: provides analytics on factor, country, sector, and stock risks.  

  • Portfolio Visualizer: Monte Carlo simulation, optimizer, tools for exploring factor regressions, correlations, and efficient frontiers.

  • ETF Action: Quantitative filter overlays to understand “what’s under the hood for our ETFs?”

  • WisdomTree’s Digital Portfolio Developer: Quantitatively screens various ETF and factor strategies.

  • Orion Portfolio Solutions: Performance reporting capabilities, inputs for GIPS auditor, front end/back end operations, and trading. 

Sample of Macroeconomic Indicators

  • We utilize macroeconomic models to determine where we are in the economic cycle and determine asset class overweight/underweight

  • Earnings growth, earnings revision, & relative valuations to determine allocations on a country, region, and sector basis. 

  • Factor tilts to outperform our benchmark.

  • Interest rate and Central Bank policy to determine where we should deploy currency hedging.

  • Alternatives that are inversely correlated to stocks to provide downside protection.

  • Inflation models to determine usage of inflation hedges.

  • Credit Spreads to determine value of credit products.

  • Libor-OIS spreads to analyze potential liquidity problems

Research products offered to existing clients

  • Portfolio Construction Dashboards: highlight performance, asset allocation/factor tilts

  • Portfolio Diagnostics: deep-dive analysis into prospective client’s portfolio, tax management oversight

  • Periodic commentaries on factors and macroeconomic landscape.

  • Forward-looking Monthly Commentary Reports.

  • Quarterly Investment Committee Outlook reports.

  • CIO Thoughts: Provides forward-looking commentary on markets.

  • OCIO conference calls with RIAs, family offices, and advisors on the macroeconomic landscape.

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