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Astoria’s Investment Committee Quarterly Report: Increasing The Cyclicality Of Our Portfolios

Jul. 13, 2020 1:31 PM ET
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Quant | Cross Asset Research, ETF investing, Macro, ETF Model Portfolios

Seeking Alpha Analyst Since 2017

Astoria Portfolio Advisors LLC ("Astoria") specializes in the construction, management, and sub-advising of ETF Managed Portfolios. When constructing our portfolios, Astoria utilizes a quantitative and cross asset investment framework. We stress test our models through various quantitative risk models in order to understand our portfolio risks and to help determine when risk budgets should be expanded or minimized. Astoria's founder, John Davi, has 18 years of experience spanning across Macro ETF Strategy, Quantitative Research and Equity Derivatives. John was Head of Morgan Stanley’s Institutional ETF Content where he produced hundreds of strategic content pieces over an 8-year period. It was a Multi-Asset job and involved developing investment ideas to add alpha to investors’ portfolios. For more information on Astoria, as well as important disclaimers, visit our website: www.astoriaadvisors.com/disclaimer

Click here to read Astoria’s Investment Committee Quarterly Report

We discuss our performance:

  1. YTD

  2. Trailing

  3. Since the March 23rd lows of the market

We also discuss a few strategic shifts we have implemented in our portfolios. Lastly, we provide some forward-looking commentary on earnings, the economy, and factors.

Topics discussed:

  • High quality stocks are starting to look historically expensive.

  • Defensives are expensive while Cyclicals are cheap. As the economy rebounds off the lows, Cyclicals are more attractive in Astoria’s view.

  • Small Cap factor is pervasive, persistent, robust, cheap to implement, and the current entry point is particularly attractive in Astoria’s view.

  • Small Caps have more operating leverage to the local economy. Given their earnings were de-rated more than Large Caps, we see potential for a greater rebound.

  • Stay strategically tilted OW equity, UW bonds, EW alts.

  • OW the US, OW China, and slightly UW DM (cyclically leveraged to global economy), although we are raising our exposure to DM.

  • Credit is attractive to own. We previously bought QLTA & LQD and we want to continue adding credit to our portfolios.

  • Preferred sits below bonds but above equity on the capital structure. They are tilted toward financials which are cheap and well capitalized.

  • PE multiples are on the high side. However, with the Fed Funds Rate anchored at 0%, we believe there is a new upper bound for PE ratios.

Best, Astoria Portfolio Advisors

*Please refer to the PDF for all relevant disclosures regarding our model performance.

Astoria Portfolio Advisors Disclosure: As of the time this writing, Astoria held positions on behalf of client accounts or via our model delivery services in the following ETFs: PFF, LQD, QLTA, EES, DGRW, QUAL, and SPY. Note that this is not an exhaustive list of holdings across Astoria’s dynamic or strategic ETF portfolios. Any ETF holdings shown are for illustrative purposes only and are subject to change at any time. For full disclosure, please refer to our website.

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Seeking Alpha's Disclosure: Past performance is no guarantee of future results. No recommendation or advice is being given as to whether any investment is suitable for a particular investor. Any views or opinions expressed above may not reflect those of Seeking Alpha as a whole. Seeking Alpha is not a licensed securities dealer, broker or US investment adviser or investment bank. Our analysts are third party authors that include both professional investors and individual investors who may not be licensed or certified by any institute or regulatory body.

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