Every month, Astoria produces a Portfolio Construction Dashboard to review our risk characteristics, 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.
ETF Portfolio Valuation Data (1-3)
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 (4-5)
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 (6-7)
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 (8)
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 (9)
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. 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).
2-3. 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).
4-5. Source: Vanguard, Astoria Portfolio Advisors. Data as of August 31, 2020. All data shown is expressed in basis points (bps) aside from Duration.
6-7. Source: Portfolio Visualizer, Astoria Portfolio Advisors. Data as of June 30, 2020.
8. 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.
9. Source: fred.stlouisfed.org. Data retrieved by Nick Cerbone (Ncerbone@astoriaadvisors.com) on August 26, 2020.