The goal of Cassini’s T+ strategy is to provide a return stream similar to intermediate corporate bond’s[i] with superior return attributes:
- Higher total return expectations
- Lower risk
- Meaningful portfolio diversification
- Superior tax treatment
Delivering a superior core portfolio holding that both institutional and individual investors can benefit from.
Hypothetical T+ Net Performance (01/01/2007 - 12/14/2018)[ii]
Net Value-Added Monthly Total Return Index (Logarithmic Scale)
Net Statistical Metrics
|Measure||Hypothetical T+||Corporate Bonds (LQD)|
|Annualized Net Returns||8.85%||5.15%|
|Max Peak-to-Trough Drawdown||6.69%||21.53%|
T+ achieves these results by deconstructing the risk components of a corporate bond portfolio, mainly rate risk and default risk, and then replacing both with more efficient (higher return per unit of risk) portfolio components.
The T+ strategy:
- T+ replaces the return stream attributable to corporate rate risk, with the return from 7-10 year U.S. Treasuries[iii].
- T+ replaces the return stream attributable to corporate default risk, with the return from limited risk volatility securities[iv].
- Both components are expected to produce a positive return over time.
- Both components are generally inversely correlated. When one is performing below average the other is likely performing above average.
- T+ utilizes quantitative methods to algorithmically adjust the strategy's allocation to these two complementary components.
The result is a return stream similar to a diversified corporate bond portfolio, but has the potential to return significantly more for the same or even less risk.
To find more information on the components of the T+ strategy and how they relate to corporate bonds, CLICK HERE.
iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)
Morningstar Category Group:
85% U.S. Treasuries, 5% Cash, 10% or less in volatility securities
To learn more contact us.
[i]Intermediate Corporate Bonds: are represented by an investment in iShares iBoxx $ Investment Grade Corporate Bond ETF (LQD).
[ii]Hypothetical Back Test: The Strategy’s hypothetical returns are comprised of a back-test of a representative strategy from January 1st 2007 to March 31st 2018. The hypothetical returns are presented for informational purposes only and do not represent achieved historical performance. The algorithms used to produce the hypothetical returns are not necessarily the algorithms that will be used to manage the Strategy in the future. Cassini reserves the right to adjust the strategy as needed. The hypothetical returns are presented in US dollars and reflect the hypothetical reinvestment of all dividends and interest, accrued income, realized and unrealized gains or losses, and are net of hypothetical investment management fees and net of hypothetical fees after transactions. Hypothetical returns are not net of custodial fees if applicable. The applicable management fee schedule is 0.95% annually, deducted quarterly in arrears. Actual fees may vary based on, among other factors, account size and custodial relationship. Cassini Capital Management’s advisory fees are fully detailed in its Form ADV Part 2A. Full monthly return capsule is available upon request
[iii]U.S. Treasuries: Represented by an investment in iShares 7-10 Year Treasury Bond ETF (IEF) with reinvesting dividends.
[iv]Volatility Securities: Represented by investments in Long VIX Index puts as determined by a proprietary algorithm. Cassini reserves the right to use other VIX futures traded products, such as but not limited to, The VelocityShares Daily Inverse VIX Medium-Term ETN (ZIV), or equity index option exchange traded products, such as but not limited to, WisdomTree CBOE S&P500 PutWriteStrat ETF (PUTW).
Cassini Capital Management, LLC (CCM), is an investment adviser registered with the State of Florida; however, such registration does not imply a certain level of skill or training and no inference to the contrary should be made. Additional information regarding the Strategy, including investment management fees, as well as important information regarding CCM, its services, compensation, and conflicts of interest is contained in the firm’s Form ADV Part 2 and is available upon request or at www.adviserinfo.sec.gov. This presentation is not intended for the giving of investment advice to any single investor or group of investors and no investor should rely upon or make any investment decisions based solely upon its contents. The TPlus(T+) Strategy may not be suitable for all investors as the appropriateness of a particular investment or strategy will depend on an investor’s individual circumstances and objectives.
Limitations of Past Performance; Possibility of Losses: Past performance does not guarantee future performance. Participation in the Strategy carries the potential for profit as well as the probability of loss, especially over shorter time periods.
Other Fees and Expenses; Impact of Taxes: The investment management fee paid to CCM is separate and distinct from the internal fees and expenses charged by mutual funds and ETFs to their shareholders. These fees and expenses are described in each fund’s prospectus, and will generally include a management fee, internal investment, custodial, and other expenses, and a possible distribution fee. Prospective clients should consider all of these fees and charges when deciding whether to invest in the Strategy. Performance results for this strategy do not reflect the impact of taxes.
Comparative Benchmark Corporate Bonds (LQD) The iShares iBoxx $ Investment Grade Corporate Bond ETF seeks to track the investment results of the Markit iBoxx USD Liquid Investment Grade Index, composed of U.S. dollar-denominated, investment grade corporate bonds. Returns illustrated are net of fees.
Charts: All charts and graphs presented are property of Cassini Fund and were created for this presentation deck. Additional source material and statistical calculation details are available upon request.
Standard deviation A measure of the dispersion of a set of data from its mean. It is calculated as the square root of variance by determining the variation between each data point relative to the mean.
Sharpe ratio (mean portfolio return - risk-free rate)/standard deviation of portfolio return. With the risk-free rate equal to the average 13-week U.S. Treasury yield over time frame evaluated.