INVESTMENT STRATEGY

Our Market Anomaly Program (The MAP)

Our MAP Strategy, implemented as an SMA, is a style-agnostic, absolute return strategy that seeks low-risk opportunities by utilizing our proprietary algorithm.  The strategy's objective is to generate profits for our clients regardless of what the stock market or interest rates are doing.   Our multi-strat approach is unrestrained and can go anywhere, anytime to find securities at attractive prices.    In addition, we have considerable exposure to inflation themes thus hedging increases in your cost of living.  

When implementing our strategy, we abide by 4 steadfast rules that dictate everything we do in our clients' accounts:

  • Rule #1:  Don't Lose Money:  We have stop-loss exits on every single position.
  • Rule #2:  Buy Low:  Our algorithm specializes in identifying moments of capitulation.
  • Rule #3:  Sell High:  Our model excels at taking profits so we can readily compound gains for you.  
  • Rule #4:  To quote Jim Rogers, "When there is a pile of money sitting in the corner, go pick it up."

You can read more about our approach on our Investment Philosophy page.  Ultimately, the results speak for themselves.  Below are performance specifics for our strategy.  We measure our success by the three "P's":  Protect, Participate and Perform.  We would appreciate the opportunity to discuss our strategy with you and see how it may fit into your portfolio.  You can fill out the Contact Us form below or call our office at 512 | 553-5151.   

MAP Performance

Report Card

B
Protect
MAPSA provides good risk protection. It generates 1.9% returns above inflation with 6.1% downside volatility and 6.2% Ulcer Index. These downside risk measures rank in the top 40% of all funds that generate real returns.

B+
Perform
MAPSA provides good risk-adjusted returns. It has generated 6.0% annual returns over the last three years which ranks better than 60% of all funds. It has a 0.7 Sortino ratio and 0.7 UPI, ranking in the top 40% of all competing funds for risk-adjusted returns.

B+
Participate
MAPSA provides good diversification of the S&P 500. Optimal diversification reduces downside risk by 37.0% while only reducing annual returns by 9.7% compared to SPY alone. Overall MAPSA diversification improves the risk-adjusted performance of the S&P 500 by 39.1% with a 1.0 UPI, ranking in the top 40% of all competing diversifiers.

Key Performance Metrics

Protect

We measure a funds ability to protect on against stock market declines by comparing various downside specific risk measures. Max drawdown is the largest decline for the security while the Ulcer Index quantifies both the depth and breath of all drawdowns. We also look at downside volatility and beta, both of which are measured relative to the S&P 500.
Statistic1 Year3 Years5 Years
Max Drawdown-17.74%-17.74%NA
Recovery TimeOngoingOngoingNA
Ulcer Index8.96%6.22%NA
Downside Volatility8.41%6.07%NA
Downside Beta0.280.14NA

Perform

We measure a securities ability to Perform by comparing net annual returns relative to our benchmarks. To measure absolute performance, we use the well-known Sharpe and Sortino ratios but prefer a risk-adjusted ratio such as Jenson's Alpha. Ultimately, performance is the most critical variable in fund selection so we take a much deeper dive into this measure.
Statistic1 Year3 Years5 Years
Annual Returns-8.83%5.97%NA
UPI-0.990.68NA
Sortino Ratio-1.060.70NA
Sharpe Ratio-0.840.37NA
Jensen's Alpha-5.63%2.34%NA

Participate

Participate measures the ability of a security to improve the effecient frontier of a stock portfolio. If the letter grade for this fund is an F, the fund does not provide any diversification or participation benefit. The Statistics presented are calculated using an either an optimal mix of MAPSA or, if no participation benefit exists, a 60% S&P 500 and 40% MAPSA.
Statistic1 Year3 Years5 Years
Ulcer Index8.96%5.67%NA
Downside Volatility8.41%9.01%NA
Annual Returns-8.83%7.31%NA
UPI-0.990.99NA
Sortino Ratio-1.060.62NA

Comparison

Returns
Ulcer impact
StatisticMAPSAVBINX AOM
Value Per 10K$11,900$11,010$9,896
Total Returns19.00%10.10%-1.04%
Annual Returns5.97%3.26%-0.35%
Standard Deviation 11.41%13.88%9.75%
Downside Deviation 6.07%9.84%7.51%
Max Drawdown -17.74%-22.78%-19.22%
Recovery Time Ongoing152 daysOngoing
Ulcer Index 6.22%7.10%6.03%
Sharpe Ratio 0.370.11-0.21
Sortino Ratio 0.700.16-0.27
Ulcer Perf. Index 0.680.22-0.34
Beta 0.300.680.46
Downside Beta 0.140.740.53
Treynor Ratio 0.140.02-0.04
Jensen's Alpha 2.34%-2.77%-5.01%
Mac's Alpha 3.38%-3.19%-5.45%

The following is additional information on our MAP strategy:

  • Our strategy is implemented in a separately managed account, owned and controlled by our clients.  
  • There is no lock-up period or penalty of any kind for terminating our strategy.  
  • Our universe of securities includes over 100 names, the majority of which are components of the S&P 500.  In addition, we have numerous alternative securities and international names for the purpose of diversification.  
  • Typically, we only have exposure at any given time to a handful of names in our security universe.  Our average exposure is between 10 to 15 positions.  Our market exposure will vary significantly. 
  • Our strategy is nearly 100% mechanical with very little subjectively factoring into trading decisions.
  • We have a target percentage loss for every position in our clients' accounts so that no single position is going to sink our strategy.     
  • Our system takes a proactive approach to taking profits.   We use a methodology for creating trailing stops which means we are consistently compounding gains for our clients' benefit.  
  • We serve all our clients as a fee-only fiduciary, so, the better you do, the better we do.   

Market Anomaly Program Separately Managed Account

We would appreciate the opportunity to discuss how our MAP absolute return strategy can serve as way to diversify your investment portfolio in addition to hedging inflation and higher interest rates.

We are a fee-only investment adviser serving all our clients as a fiduciary. The better you do, the better we do.

To talk to one of our analysts, fill out the form and we’ll contact you at our earliest availability or you can call our office directly at 830 | 460 2050