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800.364.2468 :: brintoneaton.com
Integrated Portfolio Risk Management
Jerry MiccolisCFA®, CFP®, FCAS, MAAA
800.364.2468 :: brintoneaton.comCompany confidential 2
Integrated Portfolio Risk Management
Modernized Modern Portfolio
Theory
Enlightened Tail Risk Hedging
Dynamic Asset
Allocation
800.364.2468 :: brintoneaton.com
Our sector rotation strategy is an example of DAA
3Company confidential
0
100
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Dec-91 Dec-92 Dec-93 Dec-94 Dec-95 Dec-96 Dec-97 Dec-98 Dec-99
December 1991 - December 1999
S&P 500 TR Sector Rotation
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25
50
75
100
125
150
175
200
Dec-99 Dec-00 Dec-01 Dec-02
December 1999 - December 2002
S&P 500 TR Sector Rotation
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Dec-02 Dec-03 Dec-04 Dec-05 Dec-06 Dec-07
December 2002 - December 2007
S&P 500 TR Sector Rotation
0
25
50
75
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125
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Dec-07 Dec-08 Dec-09 Dec-10
December 2007 - September 2011
S&P 500 TR Sector Rotation
800.364.2468 :: brintoneaton.com
Our sector rotation strategy is an example of DAA
0
500
1000
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December 1991 - September 2011
S&P 500 TR Sector Rotation
4Company confidential
800.364.2468 :: brintoneaton.comCompany confidential 5
The combined effect can be game-changing
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1/1/2007 1/1/2008 1/1/2009 1/1/2010 1/1/2011
S&P 500 Sector Rotation Sector Rotation + Combined Tail Risk Hedge
Annualized Return
Annual Standard Deviation
Maximum Drawdown
S&P 500 0% 27% -55%Sector Rotation 10% 18% -22%
Sector Rotation + Combined Tail Risk Hedge 16% 15% -15%
800.364.2468 :: brintoneaton.comCompany confidential 6
For further reading on these ideas…
