Sizemore Capital

Adaptive Asset Allocation

Managed by Sizemore Capital

Strategy:
ETFs / Funds
Management fee:
1.50%
Sharpe ratio:
-
Minimum investment:
$5,000
Risk score:

The Adaptive Asset Allocation 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 the weightings based on volatility. The objective is to achieve the long-term returns of the respective asset classes while minimizing portfolio drawdowns.

Research

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

Approach

The 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. 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.

Allocation discipline

The strategy encompasses the major investable asset classes, including large and mid-cap U.S. equities, fixed income, real estate and gold. The strategy primarily uses ETFs to minimize trading cost. Equities will generally comprise around 30% of the portfolio, gold and commodities will generally comprise 7.5% of the portfolio, real estate will generally comprise around 7.5% of the portfolio and fixed income and cash will comprise the remaining 55%. The portfolio will generally hold 8-10 positions. These weightings may vary over time based on changes in asset-class-specific volatility and the correlation between asset classes.

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.

  • All performance information on this page is based on the performance of the Portfolio Manager’s account, net of the current management fee. Client performance may differ. In particular, if a client invested in a prior time and a higher management fee applied at that time, they will have experienced lower returns. This information was calculated on November 25, 2020.

    Daily returns

    Performance

    Manager (net of fees) iShares Core Aggressive Allocation ETF S&P 500 ETF
    Last 30 days 2.7% 7.0% 6.9%
    Last 90 days 1.7% 5.7% 4.5%
    Last 365 Days - 12.0% 17.7%
    Since inception 3.8% 11.7% 14.2%
    2020 (YTD) - 9.2% 14.3%
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About 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.

Investment process

Sizemore Capital Management generally takes a top-down, macro approach to the investment process. I attempt to identify durable macro trends and choose attractively-priced investments that stand to benefit from those trends. I take a global approach; all international markets and industries are considered for investment.

How I got started

I am a long-time financial writer and I founded Sizemore Capital Management in 2008 to grant my readers access to my investment insights.

Important Information
  1. 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.
  2. All performance information on this page is based on the performance of the Portfolio Manager’s account, using the manager’s own funds. Portfolio Manager’s pre-Interactive Advisors performance information may include performance of non-Interactive Advisors client accounts. 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. 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".
  3. None of the performance information displayed on this page is based on the actual performance of any Interactive Advisors client account investing in this portfolio. The performance in an Interactive Advisors client account invested in this portfolio may differ (i.e., be lower or higher) from the Portfolio Manager’s account performance based on any trading restrictions imposed by the client (resulting in different account holdings), time of initial investment, amount of investment, frequency and size of cash flows in and out of the client account, applicable brokerage commissions, and different corporate actions.Clients investing in this portfolio may view the actual performance of their investment in this portfolio by logging into their Interactive Advisors account and reviewing their customized dashboard.
  4. All graph data is as of the end of day for the referenced period, unless otherwise specified. The investment minimum is the minimum investment required to follow a particular portfolio. The minimum amount is determined by Interactive Advisors, based on the characteristics of the underlying portfolio. It should not be considered as specific investment advice for your investment situation.
  5. The performance charts are provided for informational purposes only, and should not be used as the basis for making an investment decision. We rely on mathematical formulas, computer programs, and pricing information from third-party vendors to provide these returns. Neither Interactive Advisors nor any of its data or content providers shall be liable for any errors in this information or any actions taken by you in reliance upon this information.
  6. Benchmark returns displayed have been calculated by Interactive Advisors using daily adjusted close prices and include dividend income. More information here. For certain portfolios Interactive Advisors uses an index as a benchmark, while for others it uses an investable exchange traded fund (ETF) as a benchmark. Index returns do not reflect the deduction of any management fees, transaction costs or expenses. Individuals cannot invest directly in an index. Investable ETF returns reflect the deduction of (i.e., are net of) management fees, transaction costs and expenses.
  7. All Portfolio Manager information including personal data, profiles, strategies, monthly investment reports, and historical results outside of Interactive Advisors 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. Transaction history of Portfolio Managers is available upon request. Portfolio classifications are provided by Interactive Advisors, and are intended to serve as a general guide.
  8. These securities are currently held in the Portfolio Manager's brokerage account. Positions in the "Portfolio Holdings" table currently pass Interactive Advisors' trading rules, subject to individual client constraints. Eligibility for replication may change over time. Actual client investment holdings may vary.
  9. Not all transactions listed will appear in accounts due to Interactive Advisors' trading rules and individual client constraints. Eligibility of these securities is monitored periodically, and may change over time. Actual client investment holdings may vary.
  10. Real time transaction history for this portfolio is not available. Instead, the portfolio's positions are replicated daily. If you have any questions, please contact Client Services.
  11. Simulated performance of multi-manager portfolios is calculated as a weighted average daily performance of the underlying portfolios. It reflects the allocations through time of portfolios included in the multi-manager portfolio. The simulation does not include trading costs for changes to allocations, for example when the multi-manager portfolio is rebalanced. This means performance will be overstated, though not materially, relative to what a client might achieve. Fees are subtracted from the performance on a monthly basis to present the net return.
  12. This portfolio was launched on Interactive Advisors on July 15, 2020.
  13. The actual performance chart is provided for informational purposes only, and should not be used as the basis for making an investment decision. We rely on mathematical formulas, computer programs, and pricing information from third-party vendors (Refinitiv Worldscope database) to provide these returns. Neither Interactive Advisors nor any of its data or content providers shall be liable for any errors in this information or any actions taken by you in reliance upon this information.
  14. The actual performance of the manager account displayed on this page is based on the performance of an Interactive Advisors proprietary account invested using this strategy and is calculated by Interactive Advisors on a daily time-weighted basis, including cash, dividends and earnings distributions. The actual performance for this portfolio is presented “net of fees” and reflects the deduction of the Interactive Advisors advisory fee, Interactive Brokers LLC brokerage and other commissions and expenses that a client has to pay if he invests in this portfolio after the launch date.
  15. Transaction history is available upon request. Portfolio classifications are provided by Interactive Advisors, and are intended to serve as a general guide.