A Story About Astoria
​Background
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An NYC-based, employee-owned investment management company.
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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.
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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.
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Astoria places particular emphasis on providing clients with long-term, research-driven investment solutions with an emphasis on thematic and secular investment trends.
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$1.4 bln in assets under management/advisement as of March 31, 2023.
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6 Investment Committee members, 1 PHD, and 2 CFAs.
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GIPS audited and verified by Alpha Verification Services.
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Multi-Asset Risk Strategy (MARS) verified returns since 2010
​Astoria's CIO John Davi
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Award-winning ETF, macro, and derivatives research strategist; 8 years Institutional Investor top-ranked analyst.
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Over two decades of portfolio construction and investment management experience advising many of the world’s largest asset managers and hedge funds.
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Published hundreds of institutional research reports in his career.
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Frequently appears on CNBC, on Bloomberg, and speaks at industry conferences. Advisory board member of Inside ETFs Conference.
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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​
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Blend active and passive investment strategies utilizing 1-2% active risk.
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Benchmark: A combination of MSCI ACWI & Bloomberg Aggregate Bond Index.
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The goal is to produce attractive risk-adjusted returns over varying economic cycles to participate in upside markets while hedging our downside risk.
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3 main components of our asset allocation discipline
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Macroeconomic policy
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Earnings & Valuation catalysts
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Portfolio risk mitigation via alternatives that are inversely correlated to stocks
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Thematic Investment Strategies
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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.
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Stock portfolios consist of 30-40 stocks, rebalanced annually, and are equally weighted for risk mitigation.
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Examples of solutions include:
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Inflation Sensitive Portfolio: stocks, bonds, commodities, and commodity equities expected to benefit from a rise in inflation.
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Cyclicals Portfolio: 30 high quality equities with above-average ROE, ROA, and earnings growth within their sector cohorts.
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Dividend Growers Portfolio: 30 stocks that have raised their dividends for 25 consecutive years, with above-average ROE/ROA metrics.
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Renaissance Risk Managed Rotation Portfolio: Captures the most relevant macroeconomic portfolio tilts via ETFs while targeting an S&P 500 standard deviation.
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We Utilize the following portfolio construction tools​​
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FactSet: provides valuations, performance attribution, and historical time-series for macro and economic indicators.
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BlackRock Portfolio Construction Tool: provides analytics on factor, country, sector, and stock risks.
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Portfolio Visualizer: Monte Carlo simulation, optimizer, tools for exploring factor regressions, correlations, and efficient frontiers.
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ETF Action: Quantitative filter overlays to understand “what’s under the hood for our ETFs?”
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WisdomTree’s Digital Portfolio Developer: Quantitatively screens various ETF and factor strategies.
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Orion Portfolio Solutions: Performance reporting capabilities, inputs for GIPS auditor, front end/back end operations, and trading.
Sample of Macroeconomic Indicators
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We utilize macroeconomic models to determine where we are in the economic cycle and determine asset class overweight/underweight
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Earnings growth, earnings revision, & relative valuations to determine allocations on a country, region, and sector basis.
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Factor tilts to outperform our benchmark.
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Interest rate and Central Bank policy to determine where we should deploy currency hedging.
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Alternatives that are inversely correlated to stocks to provide downside protection.
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Inflation models to determine usage of inflation hedges.
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Credit Spreads to determine value of credit products.
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Libor-OIS spreads to analyze potential liquidity problems
Research products offered to existing clients
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Portfolio Construction Dashboards: highlight performance, asset allocation/factor tilts
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Portfolio Diagnostics: deep-dive analysis into prospective client’s portfolio, tax management oversight
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Periodic commentaries on factors and macroeconomic landscape.
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Forward-looking Monthly Commentary Reports.
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Quarterly Investment Committee Outlook reports.
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CIO Thoughts: Provides forward-looking commentary on markets.
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OCIO conference calls with RIAs, family offices, and advisors on the macroeconomic landscape.