Sizemore Capital

Adaptive Asset Allocation

Sizemore Capital
Adaptive asset allocation

The Adaptive Asset Allocation portfolio seeks to profit from a dynamic, rules-based asset allocation that adapts to changing market conditions by investing across minimally-correlated asset classes and adjusting asset class weightings based on volatility. The objective is to achieve the long-term returns of the respective asset classes while minimizing portfolio drawdowns.

Portfolio risk score
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Strategy

ETFs / Funds

Management fee

0.75%

Min investment

$5,000

Performance Chart

Metrics

Last 30 days 0.8%
Last 90 days 4.2%
Last 365 days 7.7%
Since inception (Jul 16, 2020) 6.8%
Since inception (annualized) 1.8%
2024 (YTD) 0.7%
2023 7.7%
2022 -14.2%
2021 8.6%
Volatility
The standard deviation of portfolio returns; a measure of risk.
7.2%
Sharpe ratio
A measure of risk-adjusted portfolio return.
0.31
Sortino ratio
A measure of portfolio return adjusted for down-side volatility.
0.51
Maximum drawdown
Maximum value lost from peak to trough over the last year.
-5.8%
Value-at-risk (95%, 1 week)
Estimates the potential loss of a portfolio with a specified confidence level and time horizon.
-1.7%
Investment (below min)
Annual costs

Portfolio information

Research

The Adaptive Asset Allocation portfolio is based on decades of research on the construction of efficient portfolios and on extensive back testing and modeling. It builds on the principles of risk parity and the permanent portfolio with a goal of generating superior risk-adjusted returns.

Approach

The portfolio manager seeks to profit from a dynamic, rules-based asset allocation that adapts to changing market conditions. Using the principles of risk parity and the "permanent portfolio," the strategy encompasses the major investable asset classes, including large and mid-cap U.S. equities, fixed income, real estate and gold. The portfolio is rebalanced based on market and asset-class-specific volatility, changing correlations between asset classes, and relative performance and weightings of the respective asset classes. The manager may additionally incorporate a proprietary market risk model to manage market exposure and further reduce risk. The strategy is generally implemented via liquid, traded ETFs, though excess liquidity may be invested in U.S. Treasuries or other investment-grade-rated fixed-income securities.

Sell discipline

Rebalancing is a critical aspect of the strategy. The portfolio will be rebalanced at a minimum annually and will be rebalanced more frequently when asset classes drift outside of our tolerance bands. Outside of regular rebalancing, securities may be sold or replaced when a superior security covering the same asset class is found or if, due to our risk management process, we make a tactical decision to exit an asset class.

Exceptions

We do not expect to make exceptions to our investment process or rebalancing discipline, though we understand that all models should be regularly reviewed for improvement. Risk management is only effective when it is actually followed.

Portfolio updates

Manager

Sizemore Capital

Sizemore Capital

Sizemore Capital Management LLC is a registered investment advisory firm located in Dallas, Texas.

Charles Lewis Sizemore, CFA is the founder and Chief Investment Officer of the firm.

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Disclosures

Past performance is no guarantee of future results, and all investments, including those in this portfolio, involve the risk of loss, including loss of principal and a reduction in earnings.

This portfolio was launched on Interactive Advisors on July 16, 2020, when clients were able to start investing in it. All performance information on this page is actual performance of the Portfolio Manager’s account and presented “net of fees”. The actual performance chart is provided for informational purposes only, and should not be used as the basis for making an investment decision. Actual client returns will differ. All Portfolio Manager information including personal data, profiles, and strategies has been provided by the Portfolio Manager. Interactive Advisors makes no representation or warranty of its accuracy, completeness or relevance and it does not represent the opinions of Interactive Advisors.

All performance information on this page is based on the performance of the Portfolio Manager’s account, using the manager’s own funds. Performance of the Portfolio Manager's account is calculated by Interactive Advisors on a daily time-weighted basis, including cash, dividends and earnings distributions and reflects the deduction of broker commissions (when commissions were charged). Manager returns include trades and positions that fail Interactive Advisors' trading rules, as a result, actual client returns will differ. Interactive Advisors’ advisory fees are simulated and applied retroactively to present the portfolio return “net-of-fees”.

In addition to Interactive Advisors’ management fees, clients will also be charged management fees and other expenses (custodian fees, brokerage commissions, and legal and accounting fees) by ETF issuers if the portfolio contains ETFs.