What’s in your ETF Portfolio?



Astoria has invested large amounts of capital from a data, programming, and technology standpoint over the past 24 months to improve our portfolio construction process. Our newly developed Portfolio Construction Dashboard is an example of our efforts. It is stored on our website (click here; if you don’t have access please let us know and we will sign you up).


We believe we are one of the few ETF strategists who are providing this type of tool. Our goal is to be as transparent as possible with our research, investment processes, and solutions.


As a background, our Portfolio Construction Dashboard was originally created for Astoria’s Investment Committee to track and understand our portfolio risk and return. We are now making it available to our clients.


Aside from understanding our portfolio risk and return, we also provide the following:


  • Aggregate Portfolio Valuation Data: Many investors will know what the PE is for a single ETF, but do they know what the aggregate PE is for their entire portfolio? We report our portfolios’ PE, ROE, ROA, and other valuation data.


  • ETF Portfolio Tilt Tables: One of the biggest mistakes we see investors make when putting together a portfolio is the “throw spaghetti against the wall approach.” Typically, there are too many ETFs in a portfolio which leads to unintended portfolio risks.


  • ETF Portfolio Attribution: Now that you have a portfolio, do you know what is driving the performance and risk? How are all the pieces of the puzzle fitting together?


  • Macro-Economic Indicators: This is a cool new feature. We hired a quantitative analyst last year who has developed programming skills. Our analyst downloads macro-economic data from the St. Louis Fed website and creates historical timeseries to understand whether these indicators are statistically relevant. While there are literally hundreds of indicators investors can obsess over, Astoria has found that about 5-7 significantly move the needle


Below are samples of quantitative charts and tables from our Portfolio Construction Dashboard.







Source for the above pictures: BlackRock. Data as of October 31, 2020, except for the Equity Factor Box which uses data up to July 31, 2020.


Source: Vanguard. Fundamental data as of November 30, 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).


Source: Vanguard. Fundamental data as of November 30, 2020. 1. Multi-Asset Risk Strategy (US Only): 60% Russell 3000 Index (RU30INTR), 20% Bloomberg Barclays Global Aggregate Bond Index (LEGATRUU), and 20% Wilshire Liquid Alternative Multi-Strategy Index (WLIQAMST). 2. Enhanced Income Model: 100% iShares Morningstar Multi-Asset Income ETF (IYLD). 3. Ultra Conservative Model: 100% Vanguard Short-Term Bond ETF (BSV). 3. Ultra Conservative Model: 100% Vanguard Short-Term Bond ETF (BSV).


Source: Vanguard. Data as of November 30, 2020. All data shown is expressed in basis points (bps) aside from Duration.


Source: Orion, Astoria Portfolio Advisors. Data as of November 30, 2020. The performance data are calculated from the period November 1, 2020 through November 30, 2020. The performance attribution is based on the model constituents and weights as of November 30, 2020.




Source: fred.stlouisfed.org. Data retrieved by Nick Cerbone (Ncerbone@astoriaadvisors.com) on December 1, 2020.


Best,

Nick Cerbone


Astoria Portfolio Advisors Disclosure: As of the time of this writing, Astoria held positions on behalf of client accounts in the following stocks: MA, TXN, INTU, SPGI, ROST, XLNX, NKE, LRCX, AAPL, ITW, V, MSFT, CLX, LLY, EL, QCOM, AMAT, MRK, TJX, AMGN, BX, KLAC, PAYX, MO, MMM, LVS, ORCL, LOW, HSY, HON, BFB, and BFA. 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


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, Dynamic Aggressive Model,Multi-Asset Risk Strategy (US Only), Dynamic Growth Model, Dynamic Growth & Income Model, Dynamic Conservative Model, Enhanced Income 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 High Quality Portfolio, Dividend Growers Portfolio, High Dividend Yield Portfolio, High Growth Portfolio, Cyclicals Portfolio, Disruptive Growth Portfolio, Inflation Sensitive Portfolio, and 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 Dividend Growers Portfolio and High Dividend Yield Portfolio performance results shown are compared to the performance of the SPDR® S&P® Dividend ETF (SDY). The Cyclicals Portfolio, High Quality Portfolio, and Inflation Sensitive Portfolio performance results shown are compared to the performance of the SPDR® S&P 500®ETFTrust (SPY).The High GrowthPortfolio performance results shown are compared to the performance of the iShares Russell 1000 Growth ETF (IWF). The Disruptive Growth Portfolio performance results shown are compared to the performance of iShares S&P 500 Growth ETF (IVW). 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 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 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 Enhanced Income Model performance results shown are compared to the performance of 100% iShares Morningstar Multi-Asset Income ETF (IYLD). 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. Both the SPDR® S&P 500® ETF Trust (SPY) and the Russell 3000 Index were chosen as they are generally well recognized as an indicator or representation of the US stock market. The iShares Morningstar Multi-Asset Income ETF was chosen as its underlying index is generally well recognized as an indicator or representation of equity, fixed income and other income funds that collectively seek to deliver high current income while providing an opportunity for capital appreciation. The SPDR® S&P® Dividend ETF (SDY) was chosen as it is generally well recognized as an indicator or representation of US stocks with capital growth and dividend paying characteristics. Both the iShares Russell 1000 Growth ETF (IWF) and iShares S&P 500 Growth ETF (IVW) were chosen as they are generally well recognized as indicators or representations of US stocks with above average growth expectations. 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.

© Astoria Portfolio Advisors LLC.                Disclosure                 

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