Risk Profile Comparison Timeframe: September 29, 2017 to ...
Transcript of Risk Profile Comparison Timeframe: September 29, 2017 to ...
Timeframe: September 29, 2017 to May 27, 2020Risk Profile ComparisonRisk Measures
Asset Allocation
Equities<1% Equities
Fixed Income28% Corporate 67% Government<1% Municipal
Cash-2% Cash
Alternative3% Alternative
Equities0% Equities
Fixed Income91% Corporate <1% Government0% Municipal
Cash9% Cash
Alternative<1% Alternative
Equities0% Equities
Fixed Income91% Corporate <1% Government0% Municipal
Cash9% Cash
Alternative<1% Alternative
Equities<1% Equities
Fixed Income66% Corporate 28% Government0% Municipal
Cash5% Cash
Alternative2% Alternative
Risk/Return
Risk Stats
Correlation Risk
S&P 500 Beta
Performance Stats
Total Return
Annualized Return
Max Drawdown
Volatility
Portfolio Stats
Yield
Sharpe Ratio
Sortino Ratio
Expenses
Expense Ratio
AUM Fee
*Goss AdaptiveIncome Portfolio
Bulletshares 5 YearCorporates
Bulletshares 7 YearCorporates
Blackrock TargetAllocation ETF -
Fixed Income
Potential Downside
Expected Return (5Yr)
Potential Downside
Expected Return (5Yr)
Potential Downside
Expected Return (5Yr)
Potential Downside
Expected Return (5Yr)
0.58 0.96 0.82 0.61
0.13 0.20 0.27 0.17
8.97% 9.53% 8.18% 12.06%
3.29% 3.48% 3.00% 4.38%
-7.44% -10.57% -13.18% -11.42%
4.40% 7.30% 8.54% 7.66%
2.67% 3.03% 5.41% 2.69%
0.71 0.45 0.33 0.55
0.59 0.41 0.29 0.52
0.69% 0.10% 0.19% 0.20%
0.00% 0.00% 0.00% 0.00%
-13% -9% -11% -7%
67%Government
91%Corporate
91%Corporate
66%Corporate
+14% +21% +39% +19%
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Stress Test Risk
GlobalRecession
Past Crashes
FedUnderwritesEconomy
Coronamerica
S&P Valuation
Baseline
Scenario *Goss Adaptive IncomePortfolio
Bulletshares 5 YearCorporates
Bulletshares 7 YearCorporates
Blackrock Target AllocationETF - Fixed Income
-13% -8% -10% -6%
-7% -9% -11% -7%
-7% -8% -10% -5%
-10% -6% -8% -7%
1% -1% 0% 0%
4% 5% 8% 4%
Performance History
*Goss Adaptive Income Portfolio Bulletshares 5 Year CorporatesBulletshares 7 Year Corporates Blackrock Target Allocation ETF - Fixed Income
Oct 2017 Jan 2018 Apr 2018 Jul 2018 Oct 2018 Jan 2019 Apr 2019 Jul 2019 Oct 2019 Jan 2020 Apr 2020-7.5%
-5.0%
-2.5%
0.0%
2.5%
5.0%
7.5%
10.0%
12.5%
15.0%
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Style Analysis
Fixed Income Analysis
*Goss Adaptive IncomePortfolio
Bulletshares 5 YearCorporates
Bulletshares 7 YearCorporates
Blackrock Target AllocationETF - Fixed Income
0 0 0
0 0 0
0 0 0
Value Blend Growth
Large
Mid
SmallN/A0 0 0
0 0 0
0 0 0
Value Blend Growth
Large
Mid
SmallN/A0 0 0
0 0 0
0 0 0
Value Blend Growth
Large
Mid
SmallN/A0 0 0
0 0 0
0 0 0
Value Blend Growth
Large
Mid
SmallN/A*Goss Adaptive Income
PortfolioBulletshares 5 Year
CorporatesBulletshares 7 Year
CorporatesBlackrock Target Allocation
ETF - Fixed Income
Short Mid Long
Maturity 19 27 54
Muni Corp Govt
Issuer 0 28 70
Short Mid Long
Maturity 67 33 0
Muni Corp Govt
Issuer 0 91 0
Short Mid Long
Maturity 48 52 0
Muni Corp Govt
Issuer 0 93 0
Short Mid Long
Maturity 27 46 27
Muni Corp Govt
Issuer 0 61 36
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Sector Analysis
0%
Discretionary
0%
Staples
0%
Energy
0%
Financials
0%
Healthcare
0%
Industrials
0%
Materials
0%
Real Estate
0%
Technology
0%
Utilities
0%
Communications
0%
Discretionary
0%
Staples
0%
Energy
0%
Financials
0%
Healthcare
0%
Industrials
0%
Materials
0%
Real Estate
0%
Technology
0%
Utilities
0%
Communications
0%
Discretionary
0%
Staples
0%
Energy
0%
Financials
0%
Healthcare
0%
Industrials
0%
Materials
0%
Real Estate
0%
Technology
0%
Utilities
0%
Communications
0%
Discretionary
0%
Staples
0%
Energy
0%
Financials
0%
Healthcare
0%
Industrials
0%
Materials
0%
Real Estate
0%
Technology
0%
Utilities
0%
Communications
Geographic Analysis
0.00% 0.00% 0.00% 0.00%
0% 0% 0% 0%
0% 0% 0% 0%
0% 0% 0% 0%
0% 0% 0% 0%
*Goss Adaptive IncomePortfolio
Bulletshares 5 YearCorporates
Bulletshares 7 YearCorporates
Blackrock Target AllocationETF - Fixed Income
Region *Goss Adaptive IncomePortfolio
Bulletshares 5 Year Corporates Bulletshares 7 Year Corporates Blackrock Target AllocationETF - Fixed Income
North America
Latin America
Europe
Asia Pacific
Middle East +Africa
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Fee Analysis
*Goss Adaptive IncomePortfolio
Bulletshares 5 YearCorporates
Bulletshares 7 YearCorporates
Blackrock Target AllocationETF - Fixed Income
No applicable AUM Fee, reflects fundexpense ratios only.
0.69%Low
FeesHigh
Fees
No applicable AUM Fee, reflects fundexpense ratios only.
0.1%Low
FeesHigh
Fees
No applicable AUM Fee, reflects fundexpense ratios only.
0.19%Low
FeesHigh
Fees
No applicable AUM Fee, reflects fundexpense ratios only.
0.2%Low
FeesHigh
Fees
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Compare Positions
Name / Industry *Goss Adaptive Income Portfolio Bulletshares 5 Year Corporates Bulletshares 7 Year CorporatesBlackrock Target Allocation ETF -
Fixed Income
AGG - iShares Core U.S.Aggregate Bond ETF Fund - Intermediate-Term Bond
25.00% -- -- --
FAUZX - Franklin AdjustableU.S. Government SecuritiesFund Advisor Class Fund - Short Government
12.50% -- -- --
FUSAX - Franklin U.S.Government Securities FundAdvisor Class Fund - Intermediate Government
12.50% -- -- --
FX:USD - US Dollar Cash Currencies
1.00% -- 1.00%
PTTPX - PIMCO TotalReturn Fund Class I-2 Fund - Intermediate-Term Bond
12.50% -- -- --
PUCPX - PIMCO DynamicBond Fund Class I-2 Fund - Nontraditional Bond
2.50% -- -- --
PONPX - PIMCO IncomeFund Class I-2 Fund - Multisector Bond
19.00% -- -- --
PELPX - PIMCO EmergingMarkets Local Currency andBond Fund Class I-2 Fund - Emerging Markets Bond
2.50% -- -- --
PMZPX - PIMCO MortgageOpportunities and BondFund Class I-2 Fund - Nontraditional Bond
5.00% -- -- --
PEMPX - PIMCO EmergingMarkets Bond Fund Class I-2Fund - Emerging Markets Bond
5.00% -- -- --
PBDPX - PIMCO InvestmentGrade Credit Bond FundClass I-2 Fund - Corporate Bond
2.50% -- -- --
BSCK Invesco BulletShares2020 Corporate Bond ETF Fund - Intermediate-Term Bond
20.00% 14.00%
BSCL Invesco BulletShares2021 Corporate Bond ETF Fund - Corporate Bond
20.00% 14.00%
BSCM Invesco BulletShares2022 Corporate Bond ETF Fund - Corporate Bond
20.00% 14.00%
BSCN Invesco BulletShares2023 Corporate Bond ETF Fund - Corporate Bond
20.00% 14.00%
BSCO Invesco BulletShares2024 Corporate Bond ETF Fund - Corporate Bond
20.00% 14.00%
BSJP Invesco BulletShares2025 High Yield CorporateBond ETF Fund - High Yield Bond
14.00%
BSJQ BSJQ Backfilled byAGG
14.00%
2.00% (+1.00%)
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Name / Industry *Goss Adaptive Income Portfolio Bulletshares 5 Year Corporates Bulletshares 7 Year CorporatesBlackrock Target Allocation ETF -
Fixed Income
LQD iShares iBoxxInvestment Grade CorporateBond ETF Fund - Corporate Bond
23.50%
IGSB iShares Short-TermCorporate Bond ETF Fund - Short-Term Bond
12.00%
GOVT iShares U.S. TreasuryBond ETF Fund - Intermediate Government
23.50%
NEAR iShares Short MaturityBond ETF Fund - Short-Term Bond
21.00%
SHYG iShares 0-5 Year HighYield Corporate Bond ETF Fund - High Yield Bond
9.00%
TLT iShares 20 YearTreasury Bond ETF Fund - Long Government
1.00%
EMB iShares J.P. MorganUSD Emerging MarketsBond ETF Fund - World Bond
5.00%
HYG iShares iBoxx HighYield Corporate Bond ETF Fund - High Yield Bond
4.00%
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Performance, Expenses, and Risk Considerations
Annualized Return
Symbol Name Asset Class Expense Ratio1 Year
3 Years
5 Years
10 Years Inception
FAUZX Franklin Adjustable U.S.Government Securities FundAdvisor Class
0.00% Alternative, 0.00% Equities, 10.79% Cash, 89.21% Fixed Income:Government
0.70 2.13% 1.36% 0.78% 0.96% 1.40%
SHYG iShares 0-5 Year High YieldCorporate Bond ETF
0.00% Alternative, 0.00% Equities, 1.25% Cash, <1% Fixed Income:Government, 95.49% Fixed Income: Corporate
0.30 -2.88% 1.51% 2.63% 2.76%
PEMPX PIMCO Emerging Markets BondFund Class I-2
<1% Alternative, 0.00% Equities, -23.03% Cash, 84.37% Fixed Income:Government, 28.67% Fixed Income: Corporate
0.95 1.52% 2.33% 3.95% 5.06% 5.15%
GOVT iShares U.S. Treasury Bond ETF 0.00% Alternative, 0.00% Equities, <1% Cash, 96.54% Fixed Income:Government
0.15 12.04% 5.36% 3.71% 2.84%
BSJP Invesco BulletShares 2025 HighYield Corporate Bond ETF
0.00% Alternative, 0.00% Equities, 2.69% Cash, 97.95% Fixed Income:Corporate
0.42 -0.06% 1.88%
NEAR iShares Short Maturity Bond ETF 1.42% Alternative, 1.00% Equities, 16.21% Cash, <1% Fixed Income:Government, 90.00% Fixed Income: Corporate
0.25 1.31% 1.86% 1.58% 1.41%
PMZPX PIMCO Mortgage Opportunitiesand Bond Fund Class I-2
-0.06% Alternative, 0.00% Equities, 28.30% Cash, 64.64% Fixed Income:Government, 0.98% Fixed Income: Corporate
1.47 2.15% 2.69% 3.29% 4.90%
IGSB iShares Short-Term CorporateBond ETF
4.81% Alternative, 0.00% Equities, 3.99% Cash, 0.85% Fixed Income:Government, 95.16% Fixed Income: Corporate
0.09 5.66% 3.54% 2.66% 2.29% 2.95%
PTTPX PIMCO Total Return Fund Class I-2
10.21% Alternative, 0.00% Equities, -49.01% Cash, 96.81% Fixed Income:Government, 39.36% Fixed Income: Corporate, 0.52% Fixed Income:Municipal
0.81 9.06% 4.80% 3.86% 4.19% 4.94%
HYG iShares iBoxx High Yield CorporateBond ETF
<1% Alternative, 0.00% Equities, 0.74% Cash, 99.11% Fixed Income:Corporate
0.49 0.82% 2.65% 3.30% 5.81% 4.91%
FUSAX Franklin U.S. GovernmentSecurities Fund Advisor Class
0.00% Alternative, 0.00% Equities, 3.05% Cash, 96.96% Fixed Income:Government
0.64 6.55% 3.18% 2.26% 2.61% 4.47%
EMB iShares J.P. Morgan USDEmerging Markets Bond ETF
0.00% Alternative, 0.00% Equities, <1% Cash, 91.24% Fixed Income:Government, 8.17% Fixed Income: Corporate
0.39 1.63% 2.16% 3.83% 5.31% 5.44%
PBDPX PIMCO Investment Grade CreditBond Fund Class I-2
5.56% Alternative, <1% Equities, -55.85% Cash, 36.16% Fixed Income:Government, 77.25% Fixed Income: Corporate, <1% Fixed Income:Municipal
0.87 6.76% 4.84% 4.69% 6.19% 6.82%
TLT iShares 20 Year Treasury BondETF
0.00% Alternative, 0.00% Equities, 1.09% Cash, 99.43% Fixed Income:Government
0.15 30.12% 12.37% 8.44% 8.44% 7.66%
LQD iShares iBoxx Investment GradeCorporate Bond ETF
3.60% Alternative, 0.00% Equities, 0.66% Cash, <1% Fixed Income:Government, 98.13% Fixed Income: Corporate
0.14 13.03% 6.55% 5.51% 5.99% 5.85%
AGG iShares Core U.S. Aggregate BondETF
0.67% Alternative, 0.00% Equities, 5.48% Cash, 67.33% Fixed Income:Government, 26.52% Fixed Income: Corporate, 0.76% Fixed Income:Municipal
0.04 10.12% 5.06% 3.88% 3.80% 4.17%
BSCO Invesco BulletShares 2024Corporate Bond ETF
0.00% Alternative, 0.00% Equities, 0.76% Cash, <1% Fixed Income:Government, 99.47% Fixed Income: Corporate
0.10 8.01% 4.78% 4.55% 4.70%
BSCN Invesco BulletShares 2023Corporate Bond ETF
0.00% Alternative, 0.00% Equities, <1% Cash, 99.88% Fixed Income:Corporate
0.10 6.88% 4.04% 4.14% 4.35%
BSCM Invesco BulletShares 2022Corporate Bond ETF
0.00% Alternative, 0.00% Equities, 0.88% Cash, 99.92% Fixed Income:Corporate
0.10 5.83% 3.46% 3.43% 4.03%
BSCL Invesco BulletShares 2021Corporate Bond ETF
0.00% Alternative, 0.00% Equities, 1.10% Cash, 99.95% Fixed Income:Corporate
0.10 4.60% 2.82% 2.89% 3.62%
BSCK Invesco BulletShares 2020Corporate Bond ETF
0.50% Alternative, 0.00% Equities, 43.35% Cash, 56.65% Fixed Income:Corporate
0.10 3.03% 2.06% 3.66% 5.76%
EXT:BSJQ-AGG-8964
BSJQ Backfilled by AGG 0.00% Alternative, 0.00% Equities, 1.52% Cash, 98.48% Fixed Income:Corporate
0.44 -0.14% 1.52% 1.76% 2.74% 3.53%
PUCPX PIMCO Dynamic Bond Fund ClassI-2
12.32% Alternative, <1% Equities, -4.41% Cash, 69.56% Fixed Income:Government, 22.61% Fixed Income: Corporate, 1.01% Fixed Income:Municipal
1.11 0.91% 2.64% 2.78% 2.66% 3.72%
PELPX PIMCO Emerging Markets LocalCurrency and Bond Fund Class I-2
0.57% Alternative, 0.00% Equities, -8.50% Cash, 80.33% Fixed Income:Government, 23.65% Fixed Income: Corporate
1.04 0.94% 0.46% 1.23% 1.04% 1.95%
PONPX PIMCO Income Fund Class I-2 5.43% Alternative, 0.83% Equities, 5.60% Cash, 12.43% Fixed Income:Government, 64.57% Fixed Income: Corporate, <1% Fixed Income:Municipal
1.15 -0.37% 2.73% 4.05% 7.45% 7.70%
IMPORTANT8
IMPORTANT: The projections generated by HiddenLevers regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results, and are not guarantees of future results. Assumptions onrates of return and standard deviation used in this analysis are based on historical return data for each security and asset class. Past performance is no guarantee of future results. Results may vary with each use and over time.You cannot invest directly in a benchmark or index. Index results do not reflect fees, expenses, or sales charges incurred when making investments.
Methodology Used to Generate this Report:Definitions:Beta - Beta measures the relationship between an investment and a major market index (the S&P 500 is used in this report). A beta of 1.0 means that a 1% rise in the S&P 500 could lead to a 1% rise in the investment, while abeta of -0.5 means that a 1% rise in the S&P 500 could lead to a 0.5% drop in the investment. The beta for an investment is determined by using regression analysis to measure the relationship between the returns of theinvestment and the returns of the S&P 500. HiddenLevers uses 10 years of data to measure the beta for an investment. For investments with less than 10 years of history, all available historical data is used.
Cross Correlations - HiddenLevers measures the correlation between every pair of investments in the portfolio. The correlation results can vary between 1 and -1, where a correlation of 1 means that two investments movetogether perfectly over time, and a correlation of -1 means that two investments move in opposite directions over time.
Expected Return - This is the 5-year total return of the portfolio based on the stress test scenarios selected for the report. The system takes the weighted average of the economic scenarios to calculate a one-year return, which isthen compounded to determine the five-year return.
Lever - HiddenLevers tracks different levers (economic indicators) like CPI, US GDP Growth, and oil prices, and uses movements in these levers to define economic scenarios.
Lever Impact - The lever impacts section describes the impact of different economic levers on the portfolio as a whole. An S&P lever impact of 1.0, for example, means that a 1% rise in the S&P 500 is projected to lead to a 1%rise in the portfolio. HiddenLevers similarly measures the impact of a range of economic levers on the portfolio.
Maximum Drawdown (MDD) - this is measured as the largest percentage drop in a position during the timeframe of measurement. Click the + sign on the Risk Measures box to see the timeframe of measurement for MaxDrawdown in the top right hand corner of the box.
Scenario - A scenario is a representation of a major macro-economic or geopolitical event which has the potential to impact investment returns. HiddenLevers models scenarios as a set of up-or-down movements in any of theeconomic indicators (levers) in the system.
Scenario Impacts - Using HiddenLevers' stress testing model, an upside and downside impact are projected for the portfolio in each scenario. Most scenarios are modeled with multiple potential outcomes, with both positive,neutral, and negative outcomes considered. The best and worst projections are derived from running the different scenario outcomes against the portfolio in HiddenLevers model. The scenario-based stress testing model isdiscussed in detail in the Method section below.
Sharpe Ratio - The Sharpe Ratio is the a measure for calculating risk-adjusted return, and this ratio has become the industry standard for such calculations. It was developed by Nobel laureate William F. Sharpe. The Sharpe ratiois the average return earned in excess of the risk-free rate per unit of volatility or total risk. HiddenLevers calculates the Sharpe ratio by subtracting (12M) T-bill rates from the portfolio's annualized total return, and then dividing bythe portfolio's volatility (annualized standard deviation).
Stress Test Risk/Reward - The Stress Test Risk/Reward compares the portfolio's potential downside risk against the 5 year expected return of the portfolio.
Downside Risk: This is the maximum downside calculated across all of the scenarios included in the report.
5 Year Expected Return: HiddenLevers first calculates the expected return for the portfolio by calculating the one-year weighted average expected return across all included scenarios. The one-year expected return is thencompounded to obtain a 5 year return estimate. Historically, major downside events occur roughly twice a decade, making 5 years an appropriate timeframe for comparison of long term returns and downside scenario risk.
Volatility - HiddenLevers measures volatility as the annualized standard deviation of an investment or portfolio, expressed in percentage terms. The standard deviation is calculated using weekly data points, and is thenannualized by multiplying by the square-root of 52 (number of periods in one year).
Method:This report describes one or more potential scenarios, and shows the HiddenLevers-model based performance for the portfolio in each scenario. The steps below are performed to generate the projections:Scenario -> Levers -> Assets (Stocks etc) -> Portfolio Return
A scenario pushes levers up or down, which in turn push assets up or down, which in turn impact a portfolio's modeled return in the scenario. As defined above, a scenario is modeled as a set of movements in the levers.Regression analysis is used to determine the historical (prior 10 year) relationship between each lever and each asset in the portfolio. The model is then run 2500 times for each scenario/portfolio combination. In each iteration,the model projects the returns for each asset using the historical regression coefficients for each lever, and using the scenario assumptions on how each lever will change. The model varies the regression coefficients for eachiteration using a normal distribution around their mean (similar to a Monte Carlo model's varying of expected returns across iterations), and aggregates the results of the 2500 iterations to find a mean portfolio return with a 95%confidence interval. The confidence interval is displayed on the report as "margin of error" for each scenario.
Limitations and Assumptions:This report describes one or more potential scenarios that may or may not occur. Each scenario discussed in this report is defined by the economic assumptions listed in the Macro Impact section of each scenario page.HiddenLevers does not guarantee that any particular scenario will occur as modeled in this report. HiddenLevers uses historical analysis in the creation of this report, and past performance is not a guarantee of future results. Theinformation contained in this report is not to be construed as advice and should not be confused as any sort of advice. Investors should consider this report as only a single factor in making their investment decision.
Disclosures: Securities offered through LPL Financial, Member FINRA/SIPC. Investment advice offered through , a registered investment advisor. and are separate entities from LPL Financial.
GxWorks LLC, maker of software used to create this report, makes the following disclosures:GxWorks LLC's (GxWorks) mission is to educate and provide useful macro risk analytical tools to help provide data to assist with the investment decision process. GxWorks relies on financial data, including stock prices, providedby third parties. The data is believed to be accurate, but GxWorks does not guarantee or warranty this data. This report is intended only as an informational tool for you and your investment advisor, and should not in any way beconstrued as investment advice by GxWorks. If you make investment decisions based on information you receive in connection with this report, you do so at your own risk and neither GxWorks nor its employees will be liable forany losses that you may incur. GxWorks, its employees, officers or affiliates, in some instances, may have long or short positions or holdings in the securities or other related investments of companies mentioned herein. Users ofthis should conduct their own independent research and due diligence and consult with their investment advisor before making any investment decisions or recommendations.
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