34 slides from Alpha Architect Global Factor Equity ETF's conference presentation, May 30, 2024
Slide 1: How HIDE works
Build with conviction How HIDE works Alpha Architect High Inflation & Deflation ETF HIDE uses a multi-asset trend-following strategy to potentially provide long-term uncorrelated total returns. 1
Slide 2: Standardized Returns as of 3/31/2024
Build with conviction Standardized Returns as of 3/31/2024 Annualized 3 Yr. Annualized 5 Yr. Annualized 10 Yr. Annualized Return YTD 1 Yr. Total Return Total Return Total Return Since Inception Expense Ratios Name Ticker Inception Date NAV Mkt. NAV Mkt. NAV Mkt. NAV Mkt. NAV Mkt. NAV Mkt. Gross Net
Slide 3: Inflation has been the dominant theme for the past 3+ years
Build with conviction Inflation has been the dominant theme for the past 3+ years 3
Slide 4: This has meant opportunities for some asset classes
Build with conviction 100% 80% Long-Only This has meant opportunities 60% Commodities1 61.18% for some asset classes… Managed 40% Futures2 Total return 36.61% Market 20% Neutral3 22.32% 0% Dec '19 Dec '20 Dec '21 Dec '22 Dec '23 -20% -40% Source: YCharts, Alpha Architect. Monthly returns. 12/31/2019
Slide 5: …and challenges for others
Build with conviction 20% 10% …and challenges for others. Corp. Bonds1 0% -4.10% Dec '19 Dec '20 Dec '21 Dec '22 Dec '23 Int. Core Total return Bond2 -10% -6.79% Int. Gov’t3 -8.00% -20% -30% Long Gov’t4 -30.45% -40% Source: YCharts, Alpha Architect. Monthly returns. 12/31/2019 – 4/30/2024. Past perf
Slide 6: What's next for bonds?
Build with conviction 25% What’s next for bonds? 20% From June 1981 to April 2020, Int. Core Bonds1 returned 7.28% Forty years of declining interest rates helped annualized made bond funds a reliable source of both returns and diversification against declining equities. 15% Given current conditions,
Slide 7: Diversified at a line item level, directional rate bet at risk factor level
Build with conviction “Diversified” at a line item level… …directional interest rate bet at a risk factor level Intermediate Government Intermediate Core-Plus Bond Inflation-Protected Bond High Yield Bond Duration Risk Corporate Bond Default Risk Emerging Markets Bond Inflation Risk Ultrashort Bond
Slide 8: Managed futures are excellent diversifiers… on paper
Build with conviction Managed futures provide cross-asset Managed futures are excellent diversification diversifiers… on paper Historically, managed futures1 strategies are one of the best ways to diversify a portfolio. Generally, a typical managed futures strategy provides: • Diversification across
Slide 9: But are difficult to hold
Build with conviction But are difficult to hold Generally, a typical managed futures strategy suffers Managed Futures1 Intermediate Core Bonds2 from: Complexity Risk3 HIGH LOW • Complexity. Construction methodology often varies significantly from one strategy to another. Volatility Risk4 HIGH LOW •
Slide 10: Why consider HIDE?
Build with conviction Simple. No complex derivatives, shorting, or leverage. Why consider Active. Trades on rules, not views. Every month. HIDE? Affordable. 0.29% expense ratio. 10
Slide 11: Simple. HIDE's portfolio construction.
Build with conviction Simple. HIDE’s portfolio construction. 11
Slide 12: Managed futures have many moving parts… three principal return drivers
Build with conviction Managed futures have many moving parts… …with three principal return drivers* Real Assets Generally, managed futures COLLATERAL relies on trends in real T-Bills, usually assets, equities, and interest Interest Rates rates to generate returns* *We’re ignoring collateral yield ma
Slide 13: We believe HIDE offers similar exposures in a simpler allocation
Build with conviction 25% Real Estate (REITs)5 • Land prices tend to appreciate over time 50% Int. US Treasuries1 • Rents tend to move in Real Estate 25% • Positive returns when We believe HIDE offers relation to inflation & rates interest rates fall • REITs have ~.88 beta6 to similar exposures in a
Slide 14: Great. So just own those three, right?
Build with conviction Max drawdown (trailing 15 years) Commodities Broad Basket Real Estate Intermediate Government Great. So just own those three, right? -17.16% Why do I need Alpha Max drawdown Architect? -50.29% -78.69% Source: YCharts, Alpha Architect. Monthly returns. 5/20/2009 – 5/24/2024. Pas
Slide 15: Active. HIDE's risk-managed approach.
Build with conviction Active. HIDE’s risk-managed approach. 15
Slide 16: Trend Following x Alpha Architect
Build with conviction Trend Following x Alpha Architect Trend following seeks invest in an asset after the price has moved in a consistent direction. Over time, trend Signal 1 Signal 2 Allocation following may reduce exposure to periods of large losses and decrease overall volatility relative to buy
Slide 17: REIT trend signals
Build with conviction Moving Average Signal1 Time Series Momentum Signal2 REIT 12M Moving Average REIT Rf 230 15% 220 10% 210 5% Total Return Price Level 200 0% 190 -5% As of 4/30/2024: Signal: NEGATIVE As of 4/30/2024: 180 -10% Signal: NEGATIVE 170 -15% 160 -20% Apr May Jun Jul '23 Aug Sep Oct Nov
Slide 18: Commodities trend signals
Build with conviction Moving Average Signal1 Time Series Momentum Signal2 COMM 12M Moving Average COMM Rf 42 10% As of 4/30/2024: Signal: POSITIVE 5% 40 0% Total Return (%) Price Level -5% 38 As of 4/30/2024: -10% Signal: NEGATIVE -15% 36 -20% 34 -25% Apr May Jun Jul '23 Aug Sep Oct Nov Dec Jan Feb
Slide 19: Intermediate term bonds trend signals
Build with conviction Moving Average Signal1 Time Series Momentum Signal2 Intermediate Term Bonds 12M Moving Average Intermediate Term Bonds Rf 135 6% 4% 130 2% Total Return Price Level 0% 125 -2% As of 4/30/2024: -4% 120 Signal: NEGATIVE As of 4/30/2024: -6% Signal: NEGATIVE 115 -8% Apr May Jun Jul
Slide 20: HIDE trailing asset allocation
Build with conviction Allocation % HIDE trailing asset allocation Jan '24 Feb '24 Mar '24 Apr '24 May '24 1/4/2024 2/6/2024 3/6/2024 4/4/2024 5/6/2024 Cash 50.2% 62.8% 62.4% 38.2% 87.1% REITs 24.2% 11.7% 12.0% 23.6% 0.0% Commodities 0.0% 0.0% 0.0% 12.6% 12.9% Int. Gov't Bonds 25.6% 25.5% 25.6% 25.6%
Slide 21: Affordable. How HIDE stacks up against other diversifiers.
Build with conviction Affordable. How HIDE stacks up against other diversifiers. 21
Slide 22: HIDE's Expense Ratio is 0.29%
Build with conviction Avg. Net Expense Ratio1 Number of strategies Asset class Diversifier ETFs Mutual Funds ETFs Mutual Funds Ultrashort Bonds 0.22% 0.35% 64 82 HIDE’s Expense Ratio is 0.29% Int. Core Bonds 0.29% 0.39% 44 147 The table to right summarizes the average net expense Fixed income Int. G
Slide 23: Results. How has HIDE performed.
Build with conviction Results. How has HIDE performed. 23
Slide 24: Total return vs Int. Core Bonds
Build with conviction 8% Int. Core Bonds Cat. Avg HIDE Total return (since 6% 4.44% 1.13% common incept) Int. Core Bonds 4% 4.44% Annualized std. dev. 6.37% 2.84% Total return Max drawdown -1.13% -1.25% 2% HIDE 1.13% S&P 500 Correlation 0.19 0.32 0% Oct '22 Jan '23 Apr '23 Jul '23 Oct '23 Jan '24 Ap
Slide 25: Total return vs Managed Futures
Build with conviction 8% Managed Futures Cat. Avg HIDE Managed 6% Futures Total return (since 5.96% 1.13% 5.96% common incept) 4% Annualized std. dev. 7.94% 2.84% 2% HIDE Total return 1.13% Max drawdown -4.18% -1.25% 0% Oct '22 Jan '23 Apr '23 Jul '23 Oct '23 Jan '24 Apr '24 -2% S&P 500 Correlation
Slide 26: Suggested portfolio use
Build with conviction Suggested portfolio use Where HIDE can potentially fit in your portfolio. 26
Slide 27: Equity Diversifier Sleeve Target Allocations
Build with conviction Alpha Architect Equity Diversifier Sleeve Target Allocations Prospectus Expense Strategy Ratio 0/100 10/90 20/80 30/70 40/60 50/50 60/40 70/30 80/20 90/10 100/0 Passive US market-cap weighted strategy 0.00% 6.50% 13.00% 19.50% 26.00% 32.50% 39.00% 45.50% 52.00% 58.50% 65.00% EQ
Slide 28: AA Equity Diversifier Sleeve total return
Build with conviction 7% 6% US Int. Core Bonds AA Equity cat. avg.1 Diversifier Sleeve2 AA Equity 5% Diversifier Total return 2.07% 4.02% Sleeve 4% 4.49% CAGR 1.55% 3.01% 3% Total return 2% Int. Core Annualized std. dev. 6.50% 2.79% Bond Cat. 1% Avg. 2.48% Max drawdown -7.02% -1.84% 0% Dec '22 Mar '
Slide 29: Questions & comments
Build with conviction Questions & comments 29
Slide 30: Let's talk next steps.
Build with conviction Subscribe to receive fund updates Stay up-to-date with Alpha Architect by subscribing to our email list. Receive quarterly commentary, fund updates, webinar invites and more. To respect your inbox, we typically send fewer than ten emails per month. See a model portfolio Let’s t
Slide 31: Important Information
Build with conviction IMPORTANT INFORMATION This material has been distributed for informational purposes only and should not be considered investment advice or a recommendation of any particular security, strategy, or investment product. Information contained herein has been obtained from sources b
Slide 32: Note on category average methodology
Build with conviction Note on category average methodology Constituents of a given category are determined by YCharts. As of 4/30/2024, the calculation method used to determine the category average’s returns changed to account for potentially different inception dates. Previously, a straight average
Slide 33: Definitions
Build with conviction DEFINITIONS Total return is the change in price over a specific period that includes dividends and distributions paid but less the expense ratio. Compounded annualized growth rate (CAGR) is the rate at which an investment would grow if it grew at a steady rate over a specified
Slide 34: Definitions
Build with conviction DEFINITIONS Commodities Broad Basket portfolios can invest in a diversified basket of commodity goods including but not limited to grains, minerals, metals, livestock, cotton, oils, sugar, coffee, and cocoa. Investment can be made directly in physical assets or commodity-linked