US All Cap Fundamentals and Sentiment Blended Portfolio

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19.94% Average Annual Return

Investment Goal

The portfolio seeks to select US Large and Mid-Cap equities that are accompanied by accelerating growth, rising earnings expectations, constructive valuations and favorable StockSnips Sentiment signal. The portfolio is actively managed with the goal of selecting the best investment opportunities while limiting volatility.

Model Description

Cirrus’ quantitative modeling identifies stocks that are likely to outperform based on fundamental variables such as growth, earnings expectations and valuations. Specifically, four stock selection pillars comprise the various Cirrus models, with the Aggressive Growth model allocating more exposure to Price and Business Momentum, and placing less emphasis on the Valuation and Quality pillars. These weights are adjusted based on KPIs that are monitored by Cirrus and will mitigate risks when market regimes change.

The portfolio takes Cirrus’ quantitative modeling one step further by combining with the alpha generating ability of AI/Big data on sentiment. Stocksnips leverages advanced Natural Language and Machine Learning algorithms to transform unstructured textual data to quantified real-time sentiment signal using news articles from established sources and asserts the sentiment of each financially “oriented” sentence within an article. These snippet level assertions are aggregated at the ticker level and is a measure of investor sentiment. Removal or reduction of a position in the portfolio is considered when any of the selection criteria deteriorates.

Model Performance

The model portfolio (Blue Line) has outperformed the S&P 500 index (Orange line) for the full period shown at a lower Beta of 0.8. The portfolio is rebalanced monthly based on the ranking of the factors Growth, Value, Quality and News Sentiment. The chart below shows the index price for the Capital Appreciation Portfolio (Blue line) for the period December 31, 2019 – December 9, 2020 as calculated by Bloomberg.

The Portfolio outperformed the S&P 500 in live trading consistent with model performance.
The chart below shows the performance in a seed account that was set up and has been rebalanced on a quarterly basis with protective sells on a monthly basis based on selection criteria deterioration.

Disclosures

Information presented 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. Be sure to first consult with a qualified financial adviser and/or tax professional before implementing any strategy discussed herein. Past performance is not indicative of future performance. It is important to remember that there are risks inherent in any investment and that there is no assurance that any money manager, fund, asset class, style, index or strategy will provide positive performance over time. Diversification and strategic asset allocation do not guarantee a profit nor protect against a loss in declining markets. All investments are subject to risk, including the loss of principal. The information contained herein is based upon the data available as of the date of this document and is subject to change at any time without notice.