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Introducing Astoria’s Portfolio Construction Dashboard



Every month, Astoria produces a Portfolio Construction Dashboard to review our risk characteristics, performance, factor loadings, strategic tilts, and attribution across all of our Core Risk Based ETF Portfolios and our Satellite Solutions. Moreover, we update the Macro Economic Indicators that we track and analyze any visible trends they suggest. Below is a quick summary of our dashboard.

Model Performance (1)


  • In this section of the dashboard, we show both the month to date and year to date net performance of our portfolios versus their benchmarks. See important Performance Disclaimers and other disclosures at the end of this blog.


ETF Portfolio Valuation Data (2-4)


  • Here we display the Asset Allocation Bands, PE Ratios, ROE and ROA, Credit Quality, Effective Maturity, Average Weighted Coupon, and Fixed Income Sectors across all our portfolios and their benchmarks.


ETF Portfolio Tilt Tables (5-6)


  • In this sheet, we display our Country/Regional tilts, US Factor Exposure, Fixed Income tilts, and Duration of our portfolios versus their benchmarks.


ETF Portfolio Factor Tables (7-8)


  • The tables below denote the Equity Factor Loadings (Market, Size, Value, Profitability, and Investment) and Fixed Income Factor Loadings (Intermediate Term Rate Risk, Long Term Rate Risk, Credit Risk, and High Yield Credit Risk) across our portfolios.


ETF Portfolio Attribution (9)


  • To understand what is driving the returns of our models, we calculate the performance attribution of each ETF on a monthly basis. The chart below is an example of the Performance Attribution of our Dynamic Aggressive Model for the month of August. BTAL was the biggest negative contributor to return and DGRW was the biggest positive contributor to return.


Macroeconomic Indicators (10)


  • Astoria tracks over 70 Macro Economic Indicators. In this sheet, we categorize each indicator and display a historical time series of how they have progressed over time. Below we display some of the well-known indicators (Retail, OECD, Money Supply, Inflation, Housing, and Credit). We also run statistical analyses on each of these indicators versus the US stock market to determine which are most relevant.


Best,

Nick Cerbone


Astoria Portfolio Advisors Disclosure: As of the time of this writing and interview, Astoria held positions on behalf of client accounts in the following ETFs: DGRW, GDX, XLV, QUAL, USMF, MNA, BTAL, VTI, IEFA, SPEM, BCI, EES, MCHI, IHDG, VMBS, GLDM, DGRE, JQUA, QVAL, IVE, SPAB, KBWB, MTUM, USMV, XLC, XLK, QLTA, LQD, VTIP, PFF, XLE, XLI, BSV, MINT, VT, and BND. Note that this is not an exhaustive list of our holdings. Our holdings will vary depending on risk tolerances, tracking error bands, and client mandates. For full disclosure, please refer to our website.


Photo Source: Astoria Portfolio Advisors


1. Information presented herein is for educational purposes only and does not intend to make an offer or solicitation for the sale or purchase of any specific securities, investments, or investment strategies. Investments involve risk and unless otherwise stated, are not guaranteed. Readers of the information contained on this Performance Summary, should be aware that any action taken by the viewer/reader based on this information is taken at their own risk. This information does not address individual situations and should not be construed or viewed as any typed of individual or group recommendation. The model delivery performance shown represents only the results of Astoria Portfolio Advisors model portfolios for the relevant time period and do not represent the results of actual trading of investor assets unless otherwise indicated. Model portfolio performance is the result of the application of the Astoria Portfolio Advisors proprietary investment process. Model performance has inherent limitations. The results are theoretical and do not reflect any investor’s actual experience with owning, trading or managing an actual investment account. Thus, the performance shown does not reflect the impact that material economic and market factors had or might have had on decision making if actual investor money had been managed. Indices are typically not available for direct investment, are unmanaged, and do not incur fees or expenses.


Model portfolio performance for the US Thematic Equity Model, Retirement Asset Allocation Strategy, Dynamic Aggressive Model, Custodial Model, Multi-Asset Risk Strategy (US Only), Dynamic Growth Model, Dynamic Growth & Income Model, Dynamic Conservative Model, Risk Managed Dynamic Income Model, and Ultra Conservative Model is shown net of the model advisory fee of 0.15% charged by Astoria Portfolio Advisors and does not include trading costs. Astoria’s Multi-Asset Risk Strategy performance is shown net of advisory fee of 0.50% charged by Astoria Portfolio Advisors and reflects the deduction of trading costs. The Company’s track record for the Multi-Asset Risk Strategy prior to June 9, 2017 includes the performance record established by the Portfolio Manager while affiliated with a prior firm. The model delivery performance results are net of Astoria Portfolio Advisors’ fee and does not include any additional advisory fees charged by advisors employing Astoria’s models. Any additional fees charged by an advisor will reduce an investor’s return. Performance results shown include the reinvestment of dividends and interest on cash balances where applicable. The data used to calculate the model performance was obtained from sources deemed reliable and then organized and presented by Astoria Portfolio Advisors. The performance calculations have not been audited by any third party. Actual performance of client portfolios may differ materially due to the timing related to additional client deposits or withdrawals and the actual deployment and investment of a client portfolio, the reinvestment of dividends, the length of time various positions are held, the client’s objectives and restrictions, and fees and expenses incurred by any specific individual portfolio.


Benchmarks: The US Thematic Equity Model performance results shown are compared to the performance of 80% Russell 3000 Index (RU30INTR) and 20% Wilshire Liquid Alternative Multi-Strategy Index (WLIQAMST). The index results do not reflect fees and expenses and you typically cannot invest in an index. The Retirement Asset Allocation Strategy performance results shown are compared to the performance of 80% MSCI All Country World Index (NDUEACWF), 15% Bloomberg Barclays Global Aggregate Bond Index (LEGATRUU), and 5% Wilshire Liquid Alternative Multi-Strategy Index (WLIQAMST). The index results do not reflect fees and expenses and you typically cannot invest in an index. The Dynamic Aggressive Model performance results shown are compared to the performance of 70% MSCI All Country World Index (NDUEACWF), 15% Bloomberg Barclays Global Aggregate Bond Index (LEGATRUU), and 15% Wilshire Liquid Alternative Multi-Strategy Index (WLIQAMST). The index results do not reflect fees and expenses and you typically cannot invest in an index. The Custodial Model performance results shown are compared to the performance of 75% MSCI All Country World Index (NDUEACWF), 20% Bloomberg Barclays Global Aggregate Bond Index (LEGATRUU), and 5% Wilshire Liquid Alternative Multi-Strategy Index (WLIQAMST). The index results do not reflect fees and expenses and you typically cannot invest in an index. The Multi-Asset Risk Strategy (US Only) performance results shown are compared to the performance of 60% Russell 3000 Index (RU30INTR), 20% Bloomberg Barclays Global Aggregate Bond Index (LEGATRUU), and 20% Wilshire Liquid Alternative Multi-Strategy Index (WLIQAMST). The index results do not reflect fees and expenses and you typically cannot invest in an index. The Dynamic Growth Model performance results shown are compared to the performance of 60% MSCI All Country World Index (NDUEACWF), 25% Bloomberg Barclays Global Aggregate Bond Index (LEGATRUU), and 15% Wilshire Liquid Alternative Multi-Strategy Index (WLIQAMST). The index results do not reflect fees and expenses and you typically cannot invest in an index. The Multi-Asset Risk Strategy performance results shown are compared to the performance of 50% MSCI All Country World Index (NDUEACWF), 30% Bloomberg Barclays Global Aggregate Bond Index (LEGATRUU), and 20% Wilshire Liquid Alternative Multi-Strategy Index (WLIQAMST). The index results do not reflect fees and expenses and you typically cannot invest in an index. The Dynamic Growth & Income Model performance results shown are compared to the performance of 50% MSCI All Country World Index (NDUEACWF), 35% Bloomberg Barclays Global Aggregate Bond Index (LEGATRUU), and 15% Wilshire Liquid Alternative Multi-Strategy Index (WLIQAMST). The index results do not reflect fees and expenses and you typically cannot invest in an index. The Dynamic Conservative Model performance results shown are compared to the performance of 30% MSCI All Country World Index (NDUEACWF), 55% Bloomberg Barclays Global Aggregate Bond Index (LEGATRUU), and 15% Wilshire Liquid Alternative Multi-Strategy Index (WLIQAMST). The index results do not reflect fees and expenses and you typically cannot invest in an index. The Risk Managed Dynamic Income Model performance results shown are compared to the performance of 15% MSCI All Country World Index (NDUEACWF), 80% Bloomberg Barclays Global Aggregate Bond Index (LEGATRUU), 5% Wilshire Liquid Alternative Multi-Strategy Index (WLIQAMST). The index results do not reflect fees and expenses and you typically cannot invest in an index. The Ultra Conservative Model performance results shown are compared to the performance of 100% Vanguard Short-Term Bond ETF (BSV).


Return Comparison: Both the MSCI All Country World Index and the Bloomberg Global Aggregate Bond Index were chosen as they are generally well recognized as an indicator or representation of the stock and bond market and include a cross section of holdings. The Russell 3000 Index was chosen as it is generally well recognized as an indicator or representation of the US stock market. The Vanguard Short-Term Bond ETF was chosen as its underlying index is generally well recognized as an indicator or representation of a market-weighted bond index that covers investment-grade bonds with a dollar-weighted average maturity of 1 to 5 years. Also, the Wilshire Liquid Alternative MultiStrategy Index was chosen as it is generally well recognized as an indicator or representation of liquid alternative holdings. Indices are typically not available for direct investment, are unmanaged and do not incur fees or expenses. The results do not represent actual trading and actual results may significantly differ from the theoretical results presented.


2. Source: Vanguard, Astoria Portfolio Advisors. ETF holdings and weights as of September 10, 2020. 1. Dynamic Aggressive Model: 70% MSCI All Country World Index (NDUEACWF), 15% Bloomberg Barclays Global Aggregate Bond Index (LEGATRUU), and 15% Wilshire Liquid Alternative Multi-Strategy Index (WLIQAMST). 2. Dynamic Growth Model: 60% MSCI All Country World Index (NDUEACWF), 25% Bloomberg Barclays Global Aggregate Bond Index (LEGATRUU), and 15% Wilshire Liquid Alternative Multi-Strategy Index (WLIQAMST). 3. Multi-Asset Risk Strategy: 50% MSCI All Country World Index (NDUEACWF), 30% Bloomberg Barclays Global Aggregate Bond Index (LEGATRUU), and 20% Wilshire Liquid Alternative Multi-Strategy Index (WLIQAMST). 4. Dynamic Growth & Income Model: 50% MSCI All Country World Index (NDUEACWF), 35% Bloomberg Barclays Global Aggregate Bond Index (LEGATRUU), and 15% Wilshire Liquid Alternative Multi-Strategy Index (WLIQAMST). 5. Dynamic Conservative Model: 30% MSCI All Country World Index (NDUEACWF), 55% Bloomberg Barclays Global Aggregate Bond Index (LEGATRUU), and 15% Wilshire Liquid Alternative Multi-Strategy Index (WLIQAMST). 6. Risk Managed Dynamic Income Model: 15% MSCI All Country World Index (NDUEACWF), 80% Bloomberg Barclays Global Aggregate Bond Index (LEGATRUU), and 5% Wilshire Liquid Alternative Multi-Strategy Index (WLIQAMST).


3-4. Source: Vanguard, Astoria Portfolio Advisors. Fundamental data as of August 31, 2020. 1. Dynamic Aggressive Model: 70% MSCI All Country World Index (NDUEACWF), 15% Bloomberg Barclays Global Aggregate Bond Index (LEGATRUU), and 15% Wilshire Liquid Alternative Multi-Strategy Index (WLIQAMST). 2. Dynamic Growth Model: 60% MSCI All Country World Index (NDUEACWF), 25% Bloomberg Barclays Global Aggregate Bond Index (LEGATRUU), and 15% Wilshire Liquid Alternative Multi-Strategy Index (WLIQAMST). 3. Multi-Asset Risk Strategy: 50% MSCI All Country World Index (NDUEACWF), 30% Bloomberg Barclays Global Aggregate Bond Index (LEGATRUU), and 20% Wilshire Liquid Alternative Multi-Strategy Index (WLIQAMST). 4. Dynamic Growth & Income Model: 50% MSCI All Country World Index (NDUEACWF), 35% Bloomberg Barclays Global Aggregate Bond Index (LEGATRUU), and 15% Wilshire Liquid Alternative Multi-Strategy Index (WLIQAMST). 5. Dynamic Conservative Model: 30% MSCI All Country World Index (NDUEACWF), 55% Bloomberg Barclays Global Aggregate Bond Index (LEGATRUU), and 15% Wilshire Liquid Alternative Multi-Strategy Index (WLIQAMST). 6. Risk Managed Dynamic Income Model: 15% MSCI All Country World Index (NDUEACWF), 80% Bloomberg Barclays Global Aggregate Bond Index (LEGATRUU), and 5% Wilshire Liquid Alternative Multi-Strategy Index (WLIQAMST).

5-6. Source: Vanguard, Astoria Portfolio Advisors. Data as of August 31, 2020. All data shown is expressed in basis points (bps) aside from Duration.


7-8. Source: Portfolio Visualizer, Astoria Portfolio Advisors. Data as of June 30, 2020.


9. Source: Orion, Astoria Portfolio Advisors. Data as of August 31, 2020. The performance data are calculated from the period August 1, 2020 through August 31, 2020.


10. Source: fred.stlouisfed.org. Data retrieved by Nick Cerbone (Ncerbone@astoriaadvisors.com) on August 26, 2020.

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