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Astoria’s Investment Committee ETF Portfolio Risk Analytics

Astoria’s Investment Committee recently published a report highlighting our strategic portfolio construction process, the benefits of combining factors in a multi-asset portfolio, and the overall macroeconomic environment (click here).

Below is a brief list of key takeaways from our previous report:

  • Fundamentals & corporate profits continue to get worse. The OECD Leading Indicator for the U.S. has been declining since Q1 2018. In March 2019 (click here), we highlighted that there was too large of a disconnect between the ISM Manufacturing PMI and the S&P 500 Index.

  • Astoria has been defensively positioned across asset classes and factors throughout 2019. We have also increased our exposure to alternatives.

  • The good news for risk assets is

  1. Credit spreads remain intact (they usually blow out before a recession)

  2. Lower interest rates should be supportive for stocks (they increase the present value of a firm’s cash flow)

  3. Consumer spending and the U.S. housing market remain resilient

  • We continue to have a diversified factor portfolio (quality, profitability, dividend yield, value, and a midcap tilt). We’ve strategically trimmed both our stock and bond portfolios to help fund the purchase of alternatives. Bonds have produced an incredible Sharpe Ratio this year. The probability of this continuing seems low in our eyes.

In this report, we highlight a variety of detailed portfolio risk characteristics on our strategic model portfolios. Specifically, we display our portfolios’

  • Asset Allocation Bands

  • Valuations

  • Credit Quality

  • Interest Rate Risk

  • Effective Maturity

  • Fixed Income Sectors

  • Projected Tracking Errors

  • Factor Exposures

Astoria has been very vocal about using portfolio construction tools and risk models when constructing multi-asset ETF portfolios. We also believe in being transparent with our portfolio risk characteristics. We wish more firms were as forthcoming.

Click here to read the report


Astoria Portfolio Advisors Investment Committee

For full disclosure, please refer to our website:


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