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Chapoquoit Dynamic Portfolios is a Division of First National Corporation
History of the Chapoquoit Model
Investment Model Overview
Aggressive Fact Sheet
Moderate Fact Sheet
Conservative Fact Sheet
Dynamic Asset Allocation Investment Process
Dynamic Asset Allocation
Select the most effective set of ETFs for Chapoquoit Dynamic Portfolios.
Select market/macroeconomic factors that influence the selected ETFs.
Set practical asset allocation limits.
Revise the optimal allocation control function coefficients monthly.
Analyze a 20-year performance of the model on an historical research basis.
Quantitative Monthly Procedure
Employ our patented dynamic asset allocation process investing in equity, commodity and fixed income ETF investments.
Generate adaptive asset allocation control functions from monthly market and macroeconomic factors based on data beginning in 1973.
Apply the optimal control functions to obtain next month’s allocations.
Control historical monthly portfolio performance, not individual investment averages.
Create three separately-managed account levels of risk control: Conservative, Moderate and Aggressive.
Repeat this iterative investment process on a monthly basis.
Model Driven Investment Process with No Investment Discretion
Simple Example of How the Model Works
Example of a Set of Simple Asset Allocation Control Functions
Alloc Stocks = 13+10 DivYield - 8 BondYield
Alloc Bonds = 19 - 6 DivYield + 7 BondYield
Alloc T-bills = 68 - 4 DivYield + 1 BondYield
Interpretation of Example
When the Dividend Yield changes by 1 unit:
The allocation to Stocks goes up 10%,
The allocation to Bonds goes down 6%,
The allocation to T-Bills goes down 4%,
When the Bond Yield changes by 1 unit,
The allocation to Stocks goes down 8%,
The allocation to Bonds goes up 7%,
The allocation to T-Bills goes up 1%,
Allocations sum to 100 for any value of DivYield and BondYield.
Uniqueness of Approach
Chapoquoit is a purely quantitative approach.
Asset allocations are adjusted once a month.
Changes in macroeconomic and market factors control allocation changes.
Discretionary overrides are never employed.
Chapoquoit seeks to minimize absolute losses over market cycles.
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