NutshellLiquid5Logo.png

New strategy for 2021  

In a Zero Rate Environment, we aim to give investors a significant real return, for a constrained amount of market risk. Providing daily liquidity with limited drawdowns for shorter holding horizons.

  • Targeted volatility less than 5%

  • Target Return 5-7%

  • Asset Class: US Fixed Income and S&P 500 Equity Index

  • Beta to equity index capped at 0.25. Thus drawdowns less than 25% of equity index

  • No AUM constraint, No FX translation exposure

  • Underlying US 10yr yield model developed in 2004, created the 5% vol version in April 2019

    Returns post April 2019 are out of sample walk forward

  • 2015-2019 average intra-year max drawdown 1.3%, 2020 pandemic – black swan outlier 4.5%

  • Competitive fee structure 

  • Currently available in managed account form

Alt5.JPG
5%vtablev2.JPG
5%vChart2.JPG