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Astoria’s Investment Committee ETF Risk Analytics

One of Astoria’s unique value propositions is our vast ETF product expertise. Before deciding to invest in a particular ETF, we stress test each one through a variety of portfolio construction tools and risk models.

In this new report, we provide a variety of risk characteristics on our ETF holdings. The table below is an example of the type of analysis we examine. Using Bloomberg’s portfolio risk model, we identify various factor exposures where Astoria’s ETF holdings are tilted towards or away from their comparable market cap weighted ETFs.

Source: Bloomberg. Astoria’s ETF holdings as of July 25, 2019.

For instance, on a relative basis to SPY, DGRW is tilted more towards the following factors

  1. US Dividend Yield

  2. US Profit

  3. US Value

Meanwhile, DGRW is tilted away from the following factors

  1. US Growth

  2. US Earnings

  3. US Trade Activity

Our goal is to be the leader in constructing multi-asset ETF portfolios with a dynamic overlay. We believe in being transparent with our aggregate portfolio risk characteristics and factor exposures.

In July, we published a detailed summary of our portfolios (click here). We aren’t aware of any other ETF strategist putting out a 101-page report on their portfolio characteristics.

We thank Bryan Singh for his contributions to this report.

Click here to read Astoria’s Investment Committee ETF Risk Analytics


Astoria Portfolio Advisors Investment Committee

For full disclosure, please refer to our website:


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