Solutions Rooted in The Law of
Supply and Demand
Systematic Relative Strength Portfolios
Aggressive
Core
Growth
International
Global Macro
Balanced
Tactical Fixed Income
Dorsey Wright Money Management
790 E Colorado Blvd., Ste. 808
Pasadena, CA 91101
Phone: 626-535-0630
E-mail: [email protected]
Web: www.dorseywrightmm.com
Why Relative Strength?
With each passing year, global financial markets offer more and more choices to investors.
More choice can be good, if investors have a logical framework to analyze this broad universe
of securities. We all know that the financial markets offer ample quantities of both risk and return. In fact, it is because of the risk that the return is possible. We believe financial markets
continue to provide the best available opportunities for investors to build and preserve longterm wealth. However, to capitalize on the opportunities in the financial markets, an investor
needs to have a systematic investment strategy. Our Relative Strength portfolios offer just
such a systematic approach to investing. Relative strength is the investment factor upon which
each of our portfolios is built.
We rely on relative strength to manage portfolios because of its adaptive nature and its longterm track record1. Relative strength is simple in concept, yet powerful in application. Relative
strength is simply the comparison of price performance within a universe of securities. Analyzing securities by their relative strength provides a way to identify the current leaders. It is
those market leaders that we want to own. Relative strength also allows us to identify the laggards. Successful investing also requires avoiding big losers. We believe relative strength is
equally good at identifying long-term winners and losers.
Relative strength analysis is not confined just to the financial markets. For example, consider
the process by which the United States Olympic Track & Field Team is selected. Olympic Trials
are held and athletes compete against one another. The winners of the Olympic Trials are selected to represent the United States at the Olympic games. This approach is preferred over
other selection methods, such as having a committee of “experts” decide which athletes should
be on the team or even selecting the losers of the Olympic Trials to be on the Olympic Team in
the hope that “they are due for a bounce.” In our view, the most reliable way to select future
winners is to select current winners. This is essentially what our relative strength models are
designed to do: build a portfolio of the market leaders and hold them as long as they remain
strong.
1
www.dorseywrightmm.com, Archived Documented Relative Strength Research. Past performance is no guarantee of future results.
Different Portfolios for Different Objectives
Aggressive: This Mid and Large Cap U.S. equity strategy seeks to achieve long-term capital
appreciation. It invests in securities that demonstrate powerful relative strength characteristics
and requires that the securities maintain strong relative strength in order to remain in the portfolio.
Core: This Mid and Large Cap U.S. equity strategy seeks to achieve long-term capital appreciation. This portfolio invests in securities that demonstrate powerful relative strength characteristics and requires that the securities maintain strong relative strength in order to remain in the
portfolio. This strategy tends to have lower turnover and higher tax efficiency than our Aggressive strategy.
Growth: This Mid and Large Cap U.S. equity strategy seeks to achieve long-term capital appreciation with some degree of risk mitigation. This portfolio invests in securities that demonstrate powerful relative strength characteristics and requires that the securities maintain strong
relative strength in order to remain in the portfolio. This portfolio also has an equity exposure
overlay that, when activated, allows the account to hold up to 50% cash if necessary.
International: This All-Cap International equity strategy seeks to achieve long-term capital
appreciation through a portfolio of international companies in both developed and emerging
markets. This portfolio invests in those securities with powerful relative strength characteristics
and requires that the securities maintain strong relative strength in order to remain in the portfolio. Exposure to international markets is achieved through American Depository Receipts
(ADRs).
Global Macro: This global tactical asset allocation strategy seeks to achieve meaningful risk
diversification and investment returns. The strategy invests across multiple asset classes: Domestic Equities (long & inverse), International Equities (long & inverse), Fixed Income, Real Estate, Currencies, and Commodities. Exposure to each of these areas is achieved through exchange-traded funds (ETFs).
Balanced: This strategy includes equities from our Core strategy (see above) and high-quality
U.S. fixed income in approximately a 60% equity / 40% fixed income mix. This strategy seeks
to provide long-term capital appreciation and income with moderate volatility.
Tactical Fixed Income: This strategy seeks to provide current income and strong riskadjusted fixed income returns.
The strategy invests across multiple sectors of the fixed income market: U.S. government bonds, investment grade corporate bonds, high yield bonds,
Treasury inflation protected securities (TIPS), convertible bonds, and international bonds. Exposure to each of these areas is achieved through exchange-traded funds (ETFs).
Different Portfolios for Different Objectives
The chart below is based on Dorsey Wright’s opinion of the likely relationship between volatility and return relationships between each of the different strategies over a long period of time. Actual results may
differ from these expectations. Greater volatility may result in greater gains and greater losses.
International
Aggressive
Expected
Return
Core
Growth
Global Macro
Balanced
Tactical Fixed Income
Expected Volatility (Risk)
About Us
Dorsey Wright Money Management provides professional management of securities portfolios
for individuals, trusts, retirement plans, corporations, foundations, endowments, and charitable
organizations.
Our goal as professional investment advisors is to achieve meaningful investment results over
the long-term for each individual client through the disciplined application of our time-tested
methods of analysis and our special attention to risk management.
Research Division: Thomas Dorsey and Watson Wright founded Dorsey, Wright & Associates
in 1987 to provide quality technical equity analysis for NYSE member firms and institutions.
We measure the success of our research division by our years in business and by being able to
count among our clients some of the most highly respected brokerage firms, hedge funds, and
institutions in the industry.
Money Management Division: In 1994, Harold Parker joined the firm as a senior portfolio
manager to build the money management arm of the firm, based in Southern California. John
Lewis joined the firm as portfolio manager in 2002. Andy Hyer, Client Portfolio Manager, joined
the team in 2004. Chris Moyer, Analyst, joined the team in 2014.
Our Team
HAROLD PARKER, CMT
Senior Portfolio Manager
Mr. Parker joined Dorsey Wright Money Management in 1994. As Senior Portfolio Manager,
he is responsible for investment strategy across DWA’s funds, ETFs and SMA accounts. He
began his investment career with E.F. Hutton & Co. in 1978 and later moved to Smith Barney. He was one of the original portfolio managers of Smith Barney’s Portfolio Management
(PM) Program, which provided discretionary institutional portfolio management. He has also
authored several original research papers on the subject of technical analysis. Mr. Parker is
an active horseman, scuba diver, and general lover of the outdoors. He is married and has
two children. Mr. Parker graduated from the University of California, Davis with a B.S. in
Agricultural Science and Management.
JOHN LEWIS, CMT
Senior Portfolio Manager
Mr. Lewis joined Dorsey, Wright Money Management in 2002. As Senior Portfolio Manager,
he is responsible for investment strategy across DWA’s funds, ETFs and SMA accounts. He
has worked in the investment industry since 1994. Mr. Lewis is one of the foremost experts
on relative strength investing and has authored several original research papers on the subject. Mr. Lewis is a sports enthusiast, and also enjoys coaching little league sports. He is
married and has two children. He holds a Bachelor of Business Administration from the University of San Diego and an MBA from the University of Southern California.
ANDY HYER, CFP®, CIMA®, CMT
Client Portfolio Manager
Mr. Hyer joined Dorsey, Wright Money Management in 2004. He has authored original research on the subject of technical analysis and speaks and writes regularly on the topic of momentum investing. He is a CERTIFIED FINANCIAL PLANNER TM, Certified Investment Management Analyst, and a Chartered Market Technician. He enjoys running and biking. He is
married and has five children. He holds a B.S. from Utah State University with a dual degree in
Finance and Economics.
CHRIS MOYER, CMT
Analyst
Mr. Moyer joined Dorsey Wright Money Management in September 2014. He began his career at RBC Capital Markets in New York. He has also held positions as both a trader and
analyst at various hedge funds, focusing on investment strategies in equities, commodities, and
foreign exchange. He achieved the Chartered Market Technician (CMT) in October 2010, and
also holds a Series 3 license. In his spare time he enjoys playing golf, cross fit training, and
watching sports. He graduated from the University of Nebraska-Lincoln in 2007 with a major in
Finance and minor in Economics.
The Chartered Market Technician® (CMT) Certification Program requires candidates to demonstrate proficiency in a broad range of topics in the field
of Technical Analysis and is administered by The Market Technician Association. The Certified Investment Management Analyst Certification Program®
(CIMA) requires candidates to integrate a complex body of investment knowledge and is administered by The Investment Management Consultants
Association. The CERTIFIED FINANCIAL PLANNERTM certification (CFP) requires candidates to integrate a complex body of financial planning
knowledge and is administered by The CFP Board.
As of 31 Mar 2015
Systematic RS Aggressive
Strategy Description
The Dorsey Wright Systematic RS
Aggressive strategy invests in securities that, in our opinion, demonstrate
favorable relative strength characteristics from a universe of U.S. Mid &
Large Cap equities. The strategy
holds approximately 25 securities and
remains fully invested for maximum
equity participation. The strategy has
an industry overlay designed to overweight sectors with the greatest relative strength. The strategy is diversified across multiple sectors and industries.
The Systematic RS Aggressive strategy is constructed pursuant to Dorsey
Wright’s proprietary sector ranking
and stock rotation methodology.
This strategy is uniquely positioned
from an investment opportunity perspective because it is not limited by
style (value or growth) or investment
capitalization (mid or large). Rather,
the Systematic Relative Strength Aggressive strategy is allowed the flexibility to seek out the strongest trends
wherever they may be found within
the universe of U.S. Mid & Large Cap
equities.
Objective
Seeks to achieve long-term capital
appreciation
Minimum Investment
$200,000
Annual Performance1 (%)
Aggressive (Gross)
Aggressive (Net)
S&P 500
26.03
24.96
7.21
20052
2006
5.42
3.46
15.80
2007
34.85
32.69
5.49
2008
-46.88
-48.11
-37.00
2009
10.99
8.82
26.46
2010
28.02
25.65
15.07
2011
-6.45
-8.33
2.12
2012
16.23
14.22
15.98
2013
27.47
25.33
32.42
8.70
6.77
13.69
10.52
0.96
2014
2015
3
1
10.81
2
3
See Important Disclosures in Appendix A; Inception 3/31/2005; Updated through 3/31/15; Gross performance
does not include the deduction of fees, expenses, and other transaction costs which will over time have a material
impact on investment performance.
Strategy and Benchmark Performance History1 (%)
YTD
1 Year
3 Year
5 Year
10 year
Aggressive (Gross)
10.81
15.86
17.18
13.43
8.48
Aggressive (Net)
10.52
13.99
15.22
11.42
6.54
0.96
12.75
16.12
14.46
8.01
S&P 500
Past performance is no guarantee of future results.
Systematic RS Aggressive
As of 31 Mar 2015
Top Holdings (%) based on assets
Name
Sector Allocation as of 31 Mar 15 (%) based on assets
Weight
Hanesbrands
7.91
Actavis
6.80
Constellation Brands
6.58
Skyworks Solutions
5.13
Southwest Airlines
5.11
Health Net
4.91
Monster Beverage
4.83
Qorvo
4.75
Mallinckrodt
4.17
Marriott
4.00
Statistics (Apr 2005—Mar 2015); See Appendix A
Aggressive (Net)
Performance (%)
S&P 500
6.54
8.01
18.93
14.81
Beta
0.99
1.00
Alpha (%)
-0.61
0.00
Correlation
0.78
1.00
Ann Turnover (%)
135
Volatility (%)
Process
Step 1-Sector Model
Our sector overlay, based on relative strength, proposes the
weight in each sector and industry group.
Step 2-Stock Model
Our universe of Mid & Large Cap stocks with sufficient liquidity
is ranked by our proprietary relative strength model.
Step 3-Portfolio Construction
Current portfolio allocations are compared against our model
weightings and holdings to identify needed changes.
Step 4-Sell Discipline
Stops for each position are based on our proprietary relative
strength rankings.
Sector Model
Model proposes the weight of 10
Macro Sectors and 65 Industry
Groups
Portfolio Construction
Rigorous qualitative review of suggested model changes
Stock Model
Universe screened for sufficient
liquidity and ranked by relative
strength
Sell Discipline
Stops for each position based on
relative strength ranking
Systematic RS Aggressive
Appendix A
Historical Performance
Of the Dorsey, Wright Systematic Relative Strength Aggressive Strategy
The performance represented in this brochure is based on monthly performance of the Systematic Relative Strength Aggressive
Model. Net performance shown is total return net of management fees for all Dorsey, Wright & Associates managed accounts,
managed for each complete quarter for each objective, regardless of levels of fixed income and cash in each account. The advisory
fees are described in Part II of the adviser’s Form ADV. The starting values on 3/31/2005 are assigned an arbitrary value of 100
and statement portfolios are revalued on a trade date basis on the last day of each quarter. All returns since inception of actual
Accounts are compared against the S&P 500 Index. The S&P 500 is a stock market index based on the market capitalizations of
500 leading companies publicly traded in the U.S. stock market, as defined by Standard & Poor’s. A list of all holdings over the
past 12 months is available upon request. The performance information is based on data supplied by the Manager or from statistical services, reports, or other sources which the Manager believes are reliable.
Definition of statistical terms:
Performance: Net annualized performance.
Volatility: Annualized standard deviation. Standard deviation shows how much variation or dispersion exists from the average value.
Beta: A measure of systematic or market-related risk.
Alpha: A measure of non-market return associated with the portfolio. See Modern Portfolio Theory for more information.
Correlation: Compresses covariance into a range of +/- 1. A negative correlation indicates an inverse relationship whereas a positive correlation is indicative of a direct relationship.
Annual turnover: An annualized measure of the percentage of the portfolio that was traded.
Past performance does not guarantee future results. In all securities trading, there is a potential for loss as well as profit. It should
not be assumed that recommendations made in the future will be profitable or will equal the performance as shown. Investors
should have long-term financial objectives when working with Dorsey, Wright & Associates.
As of 31 Mar 2015
Systematic RS Core
Strategy Description
The Dorsey Wright Systematic RS
Core strategy invests in securities
that, in our opinion, demonstrate favorable relative strength characteristics from a universe of U.S. Mid &
Large Cap equities.
The strategy
holds approximately 25 securities and
remains fully invested for maximum
equity participation. The strategy has
an industry overlay designed to overweight sectors with the greatest relative strength. The strategy is diversified across multiple sectors and industries. This strategy has historically
tended to have lower turnover and
higher tax efficiency than our Aggressive strategy.
The Systematic RS Core strategy is
constructed pursuant to Dorsey
Wright’s proprietary sector ranking
and stock rotation methodology.
This strategy is uniquely positioned
from an investment opportunity perspective because it is not limited by
style (value or growth) or investment
capitalization (mid or large). Rather,
the Systematic Relative Strength Core
strategy is allowed the flexibility to
seek out the strongest trends wherever they may be found within the universe of U.S. Mid & Large Cap equities.
Objective
Seeks to achieve long-term capital
appreciation
Minimum Investment
$200,000
Annual Performance1 (%)
Core (Gross)
Core (Net)
S&P 500
20052
17.55
16.55
7.21
2006
10.56
8.45
15.80
2007
22.94
21.05
5.49
2008
-48.59
-49.67
-37.00
2009
16.60
14.47
26.46
2010
25.80
23.73
15.07
2011
3.28
1.50
2.12
2012
12.00
10.22
15.98
2013
39.08
36.95
32.42
14.28
12.45
13.69
8.44
0.96
2014
2015
3
1
8.85
2
3
See Important Disclosures in Appendix B; Inception 3/31/2005; Updated through 3/31/2015 Gross performance does not include the deduction of fees, expenses, and other transaction costs which will over time have a
material impact on investment performance.
Strategy and Benchmark Performance History1 (%)
YTD
1 Year
3 Year
5 Year
10 Year
Core (Gross)
8.85
17.57
20.77
18.52
9.19
Core (Net)
8.44
15.69
18.86
16.61
7.37
S&P 500
0.96
12.75
16.12
14.46
8.01
Past performance is no guarantee of future results.
Systematic RS Core
As of 31 Mar 2015
Top Holdings (%) based on assets
Name
Sector Allocation as of 31 Mar 15 (%) based on assets
Weight
Constellation Brands
7.97
Biogen
7.61
Alaska Air Group
6.48
Actavis
6.33
Qorvo
5.75
Huntington Ingalls
5.34
Supervalu
4.26
Factset Research Systems
4.09
Cooper
4.04
Lowes
4.03
Statistics (Apr 2005—Mar 2015); See Appendix B
Core (Net)
S&P 500
7.37
8.01
18.45
14.81
Beta
1.05
1.00
Alpha (%)
-0.38
0.00
Correlation
0.84
1.00
Performance (%)
Volatility (%)
Ann Turnover1 (%)
Process
Step 1-Sector Model
Our sector overlay, based on relative strength, proposes the
weight in each sector and industry group.
Step 2-Stock Model
Our universe of Mid & Large Cap stocks with sufficient liquidity
is ranked by our proprietary relative strength model.
Step 3-Portfolio Construction
Current portfolio allocations are compared against our model
weightings and holdings to identify needed changes.
Step 4-Sell Discipline
Stops for each position are based on our proprietary relative
strength rankings.
94
Sector Model
Model proposes the weight of 10
Macro Sectors and 65 Industry
Groups
Portfolio Construction
Rigorous qualitative review of suggested model changes
Stock Model
Universe screened for sufficient
liquidity and ranked by relative
strength
Sell Discipline
Stops for each position based on
relative strength ranking
Systematic RS Core
Appendix B
Historical Performance
Of the Dorsey, Wright Systematic Relative Strength Core Strategy
The performance represented in this brochure is based on monthly performance of the Systematic Relative Strength Core Model.
Net performance shown is total return net of management fees for all Dorsey, Wright & Associates managed accounts, managed for
each complete quarter for each objective, regardless of levels of fixed income and cash in each account. The advisory fees are described in Part II of the adviser’s Form ADV. The starting values on 3/31/2005 are assigned an arbitrary value of 100 and statement portfolios are revalued on a trade date basis on the last day of each quarter. All returns since inception of actual Accounts
are compared against the S&P 500 Index. The S&P 500 is a stock market index based on the market capitalizations of 500 leading
companies publicly traded in the U.S. stock market, as defined by Standard & Poor’s. A list of all holdings over the past 12 months
is available upon request. The performance information is based on data supplied by the Manager or from statistical services, reports, or other sources which the Manager believes are reliable.
Definition of statistical terms:
Performance: Net annualized performance.
Volatility: Annualized standard deviation. Standard deviation shows how much variation or dispersion exists from the average value.
Beta: A measure of systematic or market-related risk.
Alpha: A measure of non-market return associated with the portfolio. See Modern Portfolio Theory for more information.
Correlation: Compresses covariance into a range of +/- 1. A negative correlation indicates an inverse relationship whereas a positive correlation is indicative of a direct relationship.
Annual turnover: An annualized measure of the percentage of the portfolio that was traded.
Past performance does not guarantee future results. In all securities trading, there is a potential for loss as well as profit. It should
not be assumed that recommendations made in the future will be profitable or will equal the performance as shown. Investors
should have long-term financial objectives when working with Dorsey, Wright & Associates.
As of 31 Mar 2015
Systematic RS Growth
Strategy Description
The Dorsey Wright Systematic RS
Growth strategy invests in securities
that, in our opinion, demonstrate favorable relative strength characteristics from a universe of U.S. Mid &
Large Cap equities.
The strategy
holds approximately 25 securities
when fully invested. The strategy also
employs an exposure overlay that,
when activated, causes sales to go to
cash and are not reinvested until indicated. The strategy will hold up to
50% cash if necessary. The strategy
has an industry overlay designed to
overweight sectors with the greatest
relative strength. The strategy is diversified across multiple sectors and
industries.
The Systematic RS Growth strategy is
constructed pursuant to Dorsey
Wright’s proprietary sector ranking
and stock rotation methodology.
This strategy is uniquely positioned
from an investment opportunity perspective because it is not limited by
style (value or growth) or investment
capitalization (mid or large). Rather,
the Systematic Relative Strength
Growth strategy is allowed the flexibility to seek out strong trends wherever
they may be found within the universe
of U.S. Mid & Large Cap equities.
Objective
Seeks to achieve long-term capital
appreciation with some degree of risk
mitigation.
Minimum Investment
$200,000
Annual Performance1 (%)
Growth (Gross)
Growth (Net)
S&P 500
2007
28.14
26.41
5.49
2008
-31.92
-33.09
-37.00
2009
8.01
6.26
26.46
2010
28.87
27.05
15.07
2011
-1.65
-3.25
2.12
2012
14.31
12.59
15.98
2013
33.75
31.85
32.42
2014
13.99
12.18
13.69
20152
8.18
7.61
0.96
1
2
See Important Disclosures in Appendix C; Updated through 3/31/15; Gross performance does not include the
deduction of fees, expenses, and other transaction costs which will over time have a material impact on investment
performance.
Strategy and Benchmark Performance History1 (%)
YTD
1 Year
3 Year
5 Year
Inception
Growth (Gross)
8.18
19.70
19.55
16.49
11.12
Growth (Net)
7.61
17.66
17.69
14.68
9.42
S&P 500
0.96
12.75
16.12
14.46
6.95
Past performance is no guarantee of future results.
Systematic RS Growth
As of 31 Mar 2015
Top Holdings (%) based on assets
Name
Sector Allocation as of 31 Mar 15 (%) based on assets
Weight
Hanesbrands
7.66
Alaska Air
7.48
Actavis
7.21
Gilead Sciences
6.54
Skyworks Solutions
6.20
Biogen
5.19
Monster Beverage
4.81
Jones Lang La Salle
4.54
Cigna
4.38
Kroger
4.15
Statistics (Jan 2007—Mar 2015); See Appendix C
Growth (Net)
S&P 500
9.42
6.95
15.55
16.04
Beta
0.79
1.00
Alpha (%)
4.02
0.00
Correlation
0.81
1.00
Ann Turnover1 (%)
104
Performance (%)
Volatility (%)
Process
Step 1-Sector Model
Our sector overlay, based on relative strength, proposes the
weight in each sector and industry group.
Step 2-Stock Model
Our universe of Mid & Large Cap stocks with sufficient liquidity
is ranked by our proprietary relative strength model.
Step 3-Portfolio Construction
Current portfolio allocations are compared against our model
weightings and holdings to identify needed changes.
Step 4-Sell Discipline
Stops for each position are based on our proprietary relative
strength rankings. Positions are only replaced if indicated by
our exposure overlay. Account will hold up to 50% cash if
necessary.
Sector Model
Model proposes the weight of 10
Macro Sectors and 65 Industry
Groups
Portfolio Construction
Rigorous qualitative review of suggested model changes
Stock Model
Universe screened for sufficient
liquidity and ranked by relative
strength
Sell Discipline
Stops for each position based on
relative strength ranking. Positions only replaced if indicated by
exposure overlay.
Systematic RS Growth
Appendix C
Historical Performance
Of the Dorsey, Wright Systematic Relative Strength Growth Strategy
The performance represented in this brochure is based on monthly performance of the Systematic Relative Strength Growth Model.
Net performance shown is total return net of management fees for all Dorsey, Wright & Associates managed accounts, managed for
each complete quarter for each objective, regardless of levels of fixed income and cash in each account. The advisory fees are described in Part II of the adviser’s Form ADV. The starting values on 12/31/2006 are assigned an arbitrary value of 100 and statement portfolios are revalued on a trade date basis on the last day of each quarter. All returns since inception of actual Accounts
are compared against the S&P 500 Index. The S&P 500 is a stock market index based on the market capitalizations of 500 leading
companies publicly traded in the U.S. stock market, as defined by Standard & Poor’s. A list of all holdings over the past 12 months
is available upon request. The performance information is based on data supplied by the Manager or from statistical services, reports, or other sources which the Manager believes are reliable.
Definition of statistical terms:
Performance: Net annualized performance.
Volatility: Annualized standard deviation. Standard deviation shows how much variation or dispersion exists from the average value.
Beta: A measure of systematic or market-related risk.
Alpha: A measure of non-market return associated with the portfolio. See Modern Portfolio Theory for more information.
Correlation: Compresses covariance into a range of +/- 1. A negative correlation indicates an inverse relationship whereas a positive correlation is indicative of a direct relationship.
Annual turnover: An annualized measure of the percentage of the portfolio that was traded.
Past performance does not guarantee future results. In all securities trading, there is a potential for loss as well as profit. It should
not be assumed that recommendations made in the future will be profitable or will equal the performance as shown. Investors
should have long-term financial objectives when working with Dorsey, Wright & Associates.
The inception for this strategy was 12/31/1994. However, the strategy underwent a material change that was complete on
12/31/2006. The material changes included adding an exposure overlay and a systematic stock selection process. The track record prior to the material change in investment process is as follows:
Growth (Gross)
Growth (Net)
S&P 500 TR
1995
16.40%
14.90%
37.58%
1996
9.32%
7.61%
22.96%
1997
13.26%
11.00%
33.26%
1998
19.08%
17.03%
28.58%
1999
34.10%
31.97%
21.04%
2000
-5.99%
-7.58%
-9.10%
2001
-5.70%
-7.13%
-11.89%
2002
-15.98%
-17.33%
-22.10%
2003
20.24%
18.84%
28.68%
2004
5.36%
3.75%
10.88%
2005
12.90%
11.14%
4.91%
2006
-0.99%
-2.58%
15.80%
As of 31 Mar 2015
Systematic RS Balanced
Strategy Description
The Dorsey Wright Systematic RS
Balanced strategy invests in securities
with, in our opinion, powerful relative
strength characteristics from a universe of U.S. Mid & Large Cap equities and investment grade U.S. fixed
income. The strategy holds approximately 25 securities and remains fully
invested for maximum equity participation. The strategy has an industry
overlay designed to overweight sectors with the greatest relative
strength. The strategy is diversified
across multiple sectors and industries.
Approximately 60% of the portfolio is
the Systematic RS Core model and
40% is fixed income. The fixed income component often helps to lower
the volatility of the overall portfolio.
The Systematic RS Balanced strategy
is constructed pursuant to Dorsey
Wright’s proprietary sector ranking
and stock rotation methodology.
This strategy is uniquely positioned
from an investment opportunity perspective because it is not limited by
style (value or growth) or investment
capitalization (mid or large). Rather,
the Systematic Relative Strength Balanced strategy is allowed the flexibility to seek out the strongest trends
wherever they may be found within
the defined investment universe.
Objective
Seeks to achieve long-term capital
appreciation and income
Annual Performance1 (%)
Balanced (Gross)
Balanced (Net)
Combined Index4
20052
6.09
5.42
3.44
2006
7.66
6.11
11.12
2007
17.18
15.53
6.22
2008
-27.70
-28.61
-22.06
2009
4.57
3.45
18.39
2010
18.11
16.81
12.14
2011
8.17
6.76
4.70
2012
8.59
7.74
11.30
2013
20.85
19.54
17.59
12.49
11.43
10.59
2014
Minimum Investment
$200,000
2015
3
1
6.41
6.20
2
1.30
3
See Important Disclosures in Appendix D; Inception 6/30/2005; Updated through 3/31/15; 4Combined Index
is 60% S&P 500 Total Return Index and 40% Barclays Aggregate Bond Index; Gross performance does not include
the deduction of fees, expenses, and other transaction costs which will over time have a material impact on investment performance.
Strategy and Benchmark Performance History1 (%)
YTD
1 Year
3 Year
5 Year
Inception
Balanced (Gross)
6.41
14.31
14.37
13.87
7.53
Balanced (Net)
6.20
13.30
13.27
12.69
6.29
Combined Index
1.30
9.97
10.88
10.59
7.02
Past performance is no guarantee of future results.
Systematic RS Balanced
As of 31 Mar 2015
Top Holdings (%) based on assets
Name
Allocation as of 31 Mar 15 (%) based on assets
Weight
iShares Barclays 7-10 Yr Treasury Bond
29.27
Constellation Brands
5.20
Biogen
4.90
Alaska Air
4.17
Actavis
4.04
Qorvo
3.27
Supervalu
2.77
Huntington Ingalls
2.77
Factset Research Systems
2.66
Cooper
2.62
Statistics (Jul 2005—Mar 2015); See Appendix D
Balanced (Net)
Performance (%)
Volatility (%)
Combined
6.29
7.02
10.86
9.07
Beta
0.96
1.00
Alpha (%)
-0.18
1.00
Correlation
0.80
1.00
Ann Turnover (%)
Process
Step 1-Sector Model
Our sector overlay, based on relative strength, proposes the
weight in each sector and industry group.
Step 2-Stock Model
Our universe of Mid & Large Cap stocks with sufficient liquidity
is ranked by our proprietary relative strength model.
Step 3-Portfolio Construction
Current portfolio allocations are compared against our model
weightings and holdings to identify needed changes.
Step 4-Sell Discipline
Stops for each position are based on our proprietary relative
strength rankings.
57
Sector Model
Model proposes the weight of 10
Macro Sectors and 65 Industry
Groups
Portfolio Construction
Rigorous qualitative review of suggested model changes
Stock Model
Universe screened for sufficient
liquidity and ranked by relative
strength
Sell Discipline
Stops for each position based on
relative strength ranking
Systematic RS Balanced
Appendix D
Historical Performance
Of the Dorsey, Wright Systematic Relative Strength Balanced Strategy
The performance represented in this brochure is based on monthly performance of the Systematic Relative Strength Balanced Model. Net performance shown is total return net of management fees for all Dorsey, Wright & Associates managed accounts, managed for each complete quarter for each objective, regardless of levels of fixed income and cash in each account. The advisory fees
are described in Part II of the adviser’s Form ADV. The starting values on 6/30/2005 are assigned an arbitrary value of 100 and
statement portfolios are revalued on a trade date basis on the last day of each quarter. All returns since inception of actual Accounts are compared against the Combined Index, which is 60% S&P 500 Total Return Index and 40% Barclays Aggregate Bond
Index. The S&P 500 is a stock market index based on the market capitalizations of 500 leading companies publicly traded in the
U.S. stock market, as defined by Standard & Poor’s. The Barclays Aggregate Bond Index is a broad base index, maintained by Barclays Capital, and is used to represent investment grade bonds being traded in the United States. A list of all holdings over the
past 12 months is available upon request. The performance information is based on data supplied by the Manager or from statistical services, reports, or other sources which the Manager believes are reliable.
Each investor should carefully consider the investment objectives, risks and expenses of any Exchange-Traded Fund ("ETF") prior to
investing. Before investing in an ETF investors should obtain and carefully read the relevant prospectus and documents the issuer
has filed with the SEC. ETFs may result in the layering of fees as ETFs impose their own advisory and other fees. To obtain more
complete information about the product the documents are publicly available for free via EDGAR on the SEC website (http://
www.sec.gov)
Definition of statistical terms:
Performance: Net annualized performance.
Volatility: Annualized standard deviation. Standard deviation shows how much variation or dispersion exists from the average value.
Beta: A measure of systematic or market-related risk.
Alpha: A measure of non-market return associated with the portfolio. See Modern Portfolio Theory for more information.
Correlation: Compresses covariance into a range of +/- 1. A negative correlation indicates an inverse relationship whereas a positive correlation is indicative of a direct relationship.
Annual turnover: An annualized measure of the percentage of the portfolio that was traded.
Past performance does not guarantee future results. In all securities trading, there is a potential for loss as well as profit. It should
not be assumed that recommendations made in the future will be profitable or will equal the performance as shown. Investors
should have long-term financial objectives when working with Dorsey, Wright & Associates.
As of 31 Mar 2015
Systematic RS International
Strategy Description
The Dorsey Wright Systematic RS
International strategy seeks to provide long-term capital appreciation
through exposure to international
equities, primarily using American
Depository Receipts (ADRs).
The strategy holds approximately 3040 equities that demonstrate, in our
opinion, favorable relative strength
characteristics. The strategy is constructed pursuant to Dorsey Wright’s
proprietary macroeconomic sector
ranking and individual stock rotation
methodology.
This strategy is uniquely positioned
from an investment opportunity perspective because it is not limited by
style (value or growth), investment
capitalization (small, mid or large), or
even classification of international
market (emerging or developed).
Rather, the Systematic Relative
Strength International strategy is allowed the flexibility to seek out strong
trends wherever they may be found
within our universe of International
equities.
Objective
Seeks to achieve long-term capital
appreciation
Minimum Investment
$100,000
Annual Performance1 (%)
Int’l (Gross)
Int’l (Net)
MSCI EAFE
20062
14.53
13.54
15.88
2007
36.82
34.80
11.63
2008
-50.50
-51.62
-43.06
2009
50.12
47.49
32.46
2010
26.75
24.54
8.21
2011
-16.24
-17.53
-11.75
2012
15.54
13.64
17.89
2013
51.19
48.79
23.15
2014
12.90
11.10
-4.50
20153
12.39
1
12.02
2
5.00
3
See Important Disclosures in Appendix E; Inception 3/31/2006; Updated through 3/31/15; Gross performance
does not include the deduction of fees, expenses, and other transaction costs which will over time have a material
impact on investment performance.
Strategy and Benchmark Performance History1 (%)
YTD
1 Year
3 Year
5 Year
Inception
Int’l (Gross)
12.39
22.50
25.90
18.21
11.84
Int’l (Net)
12.02
20.63
23.91
16.33
10.01
MSCI EAFE
5.00
-0.49
9.47
6.61
3.44
Past performance is no guarantee of future results.
Systematic RS International
As of 31 Mar 2015
Top Holdings (%) based on assets
Name
Allocation as of 31 Mar 15 (%) based on assets
Weight
Vipshop Holdings
7.33
Gruma SAB de CV
5.82
Empresa Distrib Comercializadora Norte
5.66
BBVA Banco Frances SA
4.51
Pampa Energia
4.23
Telekom SA Soc LTD
3.72
Sysmex
3.59
Bitauto Holdings LTD
3.43
IRSA Inversiones Y Representaciones SA
3.06
Icon PLC
2.97
Statistics (Apr 2006—Mar 2015); See Appendix E
Int’l (Net)
MSCI EAFE
Performance (%)
10.01
3.44
Volatility (%)
23.30
18.85
Beta
1.07
1.00
Alpha (%)
7.01
0.00
Correlation
0.87
1.00
Ann Turnover (%)
Process
Step 1-Sector Model
Our sector overlay, based on relative strength, proposes the
weight in each sector and industry group.
Step 2-Stock Model
Our universe of Mid & Large Cap stocks with sufficient liquidity
is ranked by our proprietary relative strength model.
Step 3-Portfolio Construction
Current portfolio allocations are compared against our model
weightings and holdings to identify needed changes.
Step 4-Sell Discipline
Stops for each position are based on our proprietary relative
strength rankings.
67
Sector Model
Model proposes the weight of 10
Macro Sectors and 65 Industry
Groups
Portfolio Construction
Rigorous qualitative review of suggested model changes
Stock Model
Universe screened for sufficient
liquidity and ranked by relative
strength
Sell Discipline
Stops for each position based on
relative strength ranking
Systematic RS International
Appendix E
Historical Performance
Of the Dorsey, Wright Systematic Relative Strength International Strategy
The performance represented in this brochure is based on monthly performance of the Systematic Relative Strength International
Model. Net performance shown is total return net of management fees for all Dorsey, Wright & Associates managed accounts,
managed for each complete quarter for each objective, regardless of levels of fixed income and cash in each account. The advisory
fees are described in Part II of the adviser’s Form ADV. The starting values on 3/31/2006 are assigned an arbitrary value of 100
and statement portfolios are revalued on a trade date basis on the last day of each quarter. All returns since inception of actual
Accounts are compared against the MSCI EAFE Total Return Index. The MSCI EAFE Total Return Index is a stock market index that
is designed to measure the equity market performance of developed markets outside of the United States and Canada and is maintained by MSCI Barra. A list of all holdings over the past 12 months is available upon request. The performance information is
based on data supplied by the Manager or from statistical services, reports, or other sources which the Manager believes are reliable.
Definition of statistical terms:
Performance: Net annualized performance.
Volatility: Annualized standard deviation. Standard deviation shows how much variation or dispersion exists from the average value.
Beta: A measure of systematic or market-related risk.
Alpha: A measure of non-market return associated with the portfolio. See Modern Portfolio Theory for more information.
Correlation: Compresses covariance into a range of +/- 1. A negative correlation indicates an inverse relationship whereas a positive correlation is indicative of a direct relationship.
Annual turnover: An annualized measure of the percentage of the portfolio that was traded.
There are risks inherent in international investments, which may make such investments unsuitable for certain clients. These include, for example, economic, political, currency exchange, rate fluctuations, and limited availability of information on international
securities.
Past performance does not guarantee future results. In all securities trading, there is a potential for loss as well as profit. It should
not be assumed that recommendations made in the future will be profitable or will equal the performance as shown. Investors
should have long-term financial objectives when working with Dorsey, Wright & Associates.
Systematic RS Global Macro
As of 31 Mar 2015
Strategy Description
The Dorsey Wright Systematic RS
Global Macro strategy provides broad
diversification across markets, sectors, styles, long and inverse domestic
and international equities, fixed income, currencies, and commodities
using Exchange Traded Fund (ETF)
instruments.
The strategy holds approximately ten
ETFs that demonstrate, in our opinion,
favorable relative strength characteristics.
The strategy is constructed
pursuant to Dorsey Wright’s proprietary basket ranking and rotation
methodology.
This strategy is uniquely positioned
from an investment opportunity perspective because it is not limited to a
specific market. This allows for the
efficient allocation of risk capital globally to opportunities where we believe
potential returns are particularly compelling.
Objective
Seeks to achieve meaningful risk diversification and investment returns
Minimum Investment
$200,000
Correlation
Data shown are that of the net strategy returns relative to each respective
benchmark index
(Apr 2009 - Mar 2015.)
S&P 500
0.71
MSCI EAFE
0.59
Barclays Aggregate Bond
-0.10
DJ US Real Estate
0.43
Reuters Commodity
0.54
Annual Performance1 (%)
Global Macro
(Gross)
Global Macro
(Net)
Dow Jones Moderate
Portfolio Index
S&P 500
20092
10.84
9.30
32.02
42.10
2010
14.01
11.82
13.84
15.06
2011
-5.36
-7.23
0.38
2.12
2012
7.02
5.02
11.24
15.98
2013
28.74
26.55
14.46
32.42
2014
7.26
5.36
5.34
13.69
20153
1.97
1.59
2.26
0.96
1
2
3
See Important Disclosures in Appendix F; Inception 3/31/2009; Updated through 3/31/15; Gross performance
does not include the deduction of fees, expenses, and other transaction costs which will over time have a material
impact on investment performance.
Strategy and Benchmark Performance History1 (%)
YTD
1 Year
3 Year
5 Year
Inception
Global Macro (Gross)
1.97
7.82
12.87
9.60
10.31
Global Macro (Net)
1.59
5.98
10.90
7.61
8.29
DJ Moderate Portfolio Index
2.26
5.71
8.51
8.60
12.88
S&P 500
0.96
12.75
16.12
14.46
19.70
Past performance is no guarantee of future results.
Systematic RS Global Macro
As of 31 Mar 2015
Asset Allocation as of 31 Mar 2015 (%) based on assets
Top Holdings (%) based on assets
Name
Weight
Healthcare SPDR
14.15
iShares Cohen & Steers Realty Majors
10.15
Technology SPDR
9.80
iShares S&P 500 Growth
9.58
DJ REIT SPDR
9.27
iShares DJ US Real Estate
9.24
Consumer Staples SPDR
9.20
PowerShares High Yield Dividend
9.19
WisdomTree Total Dividend
9.18
First Trust Large Cap Core Alphadex
8.62
Statistics (Apr 2009—Mar 2015); See Appendix F
Performance (%)
Global Macro (Net)
Volatility (%)
8.29
12.92
Dow Jones Moderate
Portfolio Index
12.88
8.92
S&P 500
19.70
13.27
Process
Step 1-ETF Baskets
Our unique basket ranking and rotation methodology, based
on relative strength, allows the portfolio to be concentrated in
what we believe to be the strongest areas.
Step 2-Individual ETFs
Our universe of ETFs is ranked by our proprietary relative
strength model.
Step 3-Portfolio Construction
10 high relative strength ETFs are slotted into the portfolio.
Step 4-Sell Discipline
Stops for each position are based on our proprietary relative
strength rankings.
ETF Baskets
Model proposes the weight of
multiple ETF baskets
Portfolio Construction
Rigorous qualitative review of
suggested model changes
Individual ETFs
Universe ranked by relative
strength
Sell Discipline
Stops for each position based
on relative strength ranking
Systematic RS Global Macro
Hypothetical Performance
Hypothetical Annual Performance1 (%)
Global Macro (Gross)
Global Macro (Net)
DJ Moderate
Portfolio Index
S&P 500
19992
15.55
13.87
9.83
7.71
2000
9.97
6.74
-2.16
-9.10
2001
-8.13
-10.87
-2.51
-11.89
2002
4.71
1.62
-7.05
-22.10
2003
27.79
24.08
27.17
28.69
2004
22.18
18.62
13.15
10.88
2005
17.95
14.51
7.25
4.91
2006
28.38
24.65
11.91
15.80
2007
16.27
12.87
8.02
5.50
2008
-8.99
-11.70
-24.75
-37.00
20093
0.59
-0.16
-6.23
-11.01
1
See Important Disclosures in Appendix F; 2Hypothetical Performance Inception; 3Hypothetical Performance Through 3/31/2009
Statistics1 (Jul 1999—Mar 2009)
Global Macro (Gross)
Global Macro (Net)
DJ Moderate
Portfolio Index
S&P 500
Performance (%)
12.20
8.91
2.58
-3.75
Volatility (%)
12.31
12.31
10.74
15.83
Systematic RS Global Macro
As of 31 Mar 2015
Diversification Across Market Segments
The following table highlights historical leadership changes for various market segments and the net performance of Dorsey
Wright’s Systematic RS Global Macro Strategy. The information provided here is intended to be general in nature to illustrate the
variation among market segments. 2Actual Performance Inception 3/31/2009. 3Updated through 3/31/2015. 1See Important
Disclosures in Appendix F
Hypothetical Until March 31, 20091
2001
2002
2003
2004
2005
2006
2007
2008
20092
2010
2011
2012
2013
2014
20153
RE
C
ME
RE
C
RE
C
B
C
C
B
RE
SP
RE
ME
11.69%
23.04%
39.17%
31.22%
22.54%
35.50%
20.56%
5.24%
33.43%
29.96%
7.86%
18.94%
32.42%
27.24%
5.00%
B
B
RE
ME
GM
ME
GM
GM
ME
RE
RE
ME
GM
SP
RE
8.44%
10.25%
36.89%
20.70%
14.51%
26.86%
12.87%
-11.70%
32.46%
26.94%
6.03%
17.87%
26.55%
13.69%
4.27%
DJ
RE
SP
GM
ME
GM
ME
C
RE
SP
SP
SP
ME
B
DJ
-2.51%
3.63%
28.69%
18.62%
14.02%
24.65%
11.63%
-23.74%
30.82%
15.06%
2.12%
15.98%
23.15%
5.94%
2.26%
GM
GM
DJ
DJ
RE
SP
DJ
DJ
SP
DJ
DJ
DJ
DJ
GM
B
10.87%
1.62%
27.17%
13.15%
9.63%
15.80%
8.02%
-24.75%
26.45%
13.84%
0.38%
11.24%
14.46%
5.36%
1.61%
SP
DJ
GM
C
DJ
C
B
SP
DJ
GM
GM
GM
RE
DJ
GM
11.89%
-7.05%
24.08%
11.21%
7.25%
13.51%
6.97%
-37.00%
23.79%
11.82%
-7.23%
5.02%
1.73%
5.34%
1.59%
C
ME
C
SP
SP
DJ
SP
RE
GM
ME
C
B
B
ME
SP
16.34%
-15.66%
8.86%
10.88%
4.91%
11.91%
5.50%
-40.07%
9.13%
8.21%
-10.56%
4.23%
-1.98%
-4.50%
0.96%
ME
SP
B
B
B
B
RE
ME
B
B
ME
C
C
C
C
21.21%
-22.10%
4.10%
4.34%
2.43%
4.33%
-18.15%
-43.06%
5.93%
6.56%
-11.75%
-1.49%
-6.96%
-7.23%
-9.08%
(GM) = Dorsey Wright’s Systematic RS Global Macro Strategy (Net)
(RE) = Dow Jones U.S. Real Estate Total Return Index
(B) = Barclays Aggregate Bond Total Return Index
(C) = Reuters Continuous Commodity Index / Dorsey Wright Continuous Commodity Index (after 4/17/13)
(ME) = MSCI EAFE Total Return Index
(SP) = S&P 500 Total Return Index
(DJ) = Dow Jones Moderate Portfolio Index
Investors cannot invest directly in an index. Indexes have no fees.
Source
Bloomberg, Dow Jones Indexes, Standard & Poor’s, MSCI Barra, and Reuters calculated by Dorsey Wright & Associates. Performance displayed represents past performance, which is no guarantee of future results. The index returns assume reinvestment of
all dividends but do not reflect any management fees, transaction costs or expenses. The benchmark indices are unmanaged and
may not be available for direct investment.
Systematic RS Global Macro
Appendix F
Historical Performance
Of the Dorsey, Wright Systematic Relative Strength Global Macro Strategy
The hypothetical performance charts compare the returns of the Dorsey, Wright Systematic Relative Strength Global Macro Strategy with the returns of the Dow Jones Moderate Portfolio Index and the S&P 500 total return index. The beginning of the hypothetical test period is June 30, 1999 and is assigned an arbitrary value of 100.00 on that date. The volatility of the Models and of actual
Accounts may be different than the volatility of the Dow Jones Moderate Portfolio Index and the S&P 500 index.
For the Systematic Relative Strength Global Macro Model the performance is that of a hypothetical portfolio managed in accordance
with the dictates of its strategy for the historical periods indicated and the actual performance of actual Accounts since their inception. Net returns assume the deduction of 0.75% per quarter (3.00% per annum) from the Gross Return to account for management fees for periods when the returns are hypothetical. Actual net returns are used beginning on March 31, 2009. The performance represented in this brochure is based on monthly performance of the Systematic Relative Strength Global Macro Model. The
first full quarter of actual returns of the Model is the second quarter of 2009. The hypothetical returns have been developed and
tested by the Manager, but have not been verified by any third party and are unaudited. The performance information is based on
data supplied by the Manager or from statistical services, reports, or other sources which the Manager believes are reliable. Index
data was used for some indexes before ETF price data was available. The performance of the Models, prior to the inception of actual
accounts, was achieved by means of retroactive application of a model designed with hindsight. For the hypothetical portfolios,
returns do not represent actual trading or reflect the impact that material economic and market factors might have had on the
Manager’s decision-making under actual circumstances. Back-tested results differ from actual performance because it is achieved
through retroactive application of a methodology designed with the benefit of hindsight and does not represent the impact that material economic factors might have on manager’s decision making process if the manager were actually managing client’s money.
Prior to ETF inception, we used extrapolated data. A list of all holdings over the previous 12 months is available upon request.
Actual performance of each of the account styles may differ from the performance of the hypothetical portfolio for the following
reasons: the Account may not be fully invested at all times; not all stocks in the Account may be weighted equally at all times due
to appreciation or depreciation in a stock’s value; or in managing the Accounts, Dorsey, Wright & Associates may make limited
modifications to the Strategy as necessary to comply with federal tax laws. The returns of the Hypothetical Performance Model do
not include dividends. Dorsey, Wright’s advisory fees are described in Part II of the adviser’s Form ADV.
All returns since inception of actual Accounts do reflect reinvestment of dividends and other earnings. Returns of actual Accounts,
since inception, are a composite of all Accounts of that style that were managed for the full quarter. All returns since inception of
actual Accounts are compared against the Dow Jones Moderate Portfolio Index and the S&P 500 total return index. The Dow Jones
Moderate Portfolio Index is a global asset allocation benchmark. 60% of the benchmark is represented equally with nine Dow Jones
equity indexes. 40% of the benchmark is represented with five Barclays Capital fixed income indexes. The S&P 500 is a stock
market index based on the market capitalizations of 500 leading companies publicly traded in the U.S. stock market, as defined by
Standard & Poor’s. The Barclays Aggregate Bond Index is a broad base index, maintained by Barclays Capital, and is used to represent investment grade bonds being traded in the United States. The MSCI EAFE Total Return Index is a stock market index that
is designed to measure the equity market performance of developed markets outside of the United States and Canada and is maintained by MSCI Barra. The Dow Jones U.S. Real Estate Index invests in U.S. real estate stocks and real estate investment trusts
(REITs). The Reuters Commodity Index comprises 17 commodity futures that are continuously rebalanced.
Each investor should carefully consider the investment objectives, risks and expenses of any Exchange-Traded Fund ("ETF") prior to
investing. Before investing in an ETF investors should obtain and carefully read the relevant prospectus and documents the issuer
has filed with the SEC. ETFs may result in the layering of fees as ETFs impose their own advisory and other fees. To obtain more
complete information about the product the documents are publicly available for free via EDGAR on the SEC website (http://
www.sec.gov)
There are risks inherent in international investments, which may make such investments unsuitable for certain clients. These include, for example, economic, political, currency exchange, rate fluctuations, and limited availability of information on international
securities.
Definition of statistical terms:
Performance: Net annualized performance.
Volatility: Annualized standard deviation. Standard deviation shows how much variation or dispersion exists from the average value.
Correlation: Compresses covariance into a range of +/- 1. A negative correlation indicates an inverse relationship whereas a positive correlation is indicative of a direct relationship.
Past performance, hypothetical or actual, does not guarantee future results. In all securities trading, there is a potential for loss as
well as profit. It should not be assumed that recommendations made in the future will be profitable or will equal the performance as
shown. Investors should have long-term financial objectives when working with Dorsey, Wright & Associates.
As of 31 Mar 2015
Tactical Fixed Income
Strategy Description
The strategy invests across multiple
sectors of the fixed income market:
U.S. government bonds, investment
grade corporate bonds, high yield
bonds, treasury inflation protected
securities (TIPS), convertible bonds,
and international bonds. Exposure to
each of these areas is achieved
through exchange-traded funds
(ETFs).
Dorsey Wright employs a proprietary
fixed income model that evaluates
each ETF in the investment universe
from a relative strength perspective.
Those fixed income sectors exhibiting
the strongest trends will be represented in the portfolio.
The strategy is also structured in a
way that balances risk and reward.
When fixed income markets are performing well, exposure will be tilted
toward the sectors with the strongest
trends. When markets are weak, exposure will be tilted more defensively.
During risk-off environments, it is
possible for the majority of the strategy to be invested in the US Treasury
market.
Objective
The Dorsey Wright Tactical Fixed Income strategy seeks to provide current income and strong risk-adjusted
fixed income returns.
Annual Performance1 (%)
Tactical Fixed
Income (Gross)
Tactical Fixed
Income (Net)
Barclays Aggregate
Bond Index
20132
-2.85
-3.20
-1.90
2014
11.94
11.45
5.94
20153
0.29
0.17
1.61
1
See Important Disclosures in Appendix G; 2Inception 3/31/2013; 3Updated through 3/31/15; Gross performance
does not include the deduction of fees, expenses, and other transaction costs which will over time have a material
impact on investment performance.
Minimum Investment
$200,000
1
Strategy and Benchmark Performance History1 (%)
YTD
1 Year
3 Year
5 Year
Inception
Tactical Fixed Income (Gross)
0.29
9.70
4.43
Tactical Fixed Income (Net)
0.17
9.22
3.96
Barclays Aggregate Bond Index
1.61
5.69
2.76
Past performance is no guarantee of future results.
Tactical Fixed Income
As of 31 Mar 2015
Allocation as of 31 Mar 2015 (%) based on assets
Holdings (%) based on assets
Name
Weight
iShares Barclays 1-3 Year Treasury Bond
35.08
iShares Barclays 20+ Year Treasury Bond
20.52
iShares JP Morgan Emerging Market Bond
14.88
iShares iBoxx High Yield Corporate Bond
14.71
Barclays Convertible Securities Bond
14.07
Statistics (Mar 2013—Mar 2015); See Appendix G
Process
Step 1-Portfolio Diversification
Portfolio constraints are structured in a way that seeks to balance risk and reward.
Tactical Fixed
Income (Net)
Barclays Aggregate Bond
Performance (%)
3.96
2.76
Distribution Yield (%),
As of 3/31/15
2.80
2.20
Volatility (%)
5.11
3.30
Step 3-Portfolio Construction
6 eligible ETFs are slotted into the portfolio.
Correlation (%)
0.77
1.00
Step 4-Sell Discipline
Sell parameters for each position based on relative strength.
R-Squared (%)
0.60
1.00
Step 2-Individual ETFs
Our universe of ETFs is evaluated from a relative strength perspective to identify eligible candidates for the portfolio.
Portfolio Diversification
Model proposes an allocation
that seeks to balance risk and
reward
Portfolio Construction
Rigorous qualitative review of
suggested model changes
Individual ETFs
Universe evaluated from a relative strength perspective
Sell Discipline
Sell parameters for each position based on relative strength
Tactical Fixed Income
Hypothetical Performance
Hypothetical Annual Performance1 (%)
Tactical Fixed Income
(Gross)
Tactical Fixed Income
(Net)
Barclays Aggregate
Bond Index
2002
9.93
8.86
10.25
2003
11.40
10.32
4.10
2004
7.82
6.77
4.34
2005
4.30
3.27
2.43
2006
8.33
7.27
4.33
2007
6.69
5.64
6.97
2008
16.76
15.64
5.24
2009
6.39
5.34
5.93
2010
8.11
7.05
6.56
2011
8.88
7.82
7.86
2012
6.84
5.79
4.23
20132
0.07
-0.18
-0.08
1
See Important Disclosures in Appendix G; 2Hypothetical Performance Through
3/31/2013
Statistics1 (Jan 2002—Mar 2009)
Tactical Fixed
Income (Gross)
Tactical Fixed
Income (Net)
Barclays Aggregate Bond Index
Performance (%)
8.50
7.43
5.54
Volatility (%)
6.09
6.08
3.55
Tactical Fixed Income
As of 31 Mar 2015
Diversification Across Market Segments
The following table highlights historical leadership changes for various market segments and the net performance of Dorsey
Wright’s Tactical Fixed Income strategy. The information provided here is intended to be general in nature to illustrate the variation among market segments. It should not be construed as investment performance for the Strategy. 1Hypoethetical Performance
Inception 12/31/2001.; 2Actual Performance Inception 3/31/2013; 3Updated through 3/31/2015; 1See Important Disclosures in
Appendix G
Hypothetical Returns Until March 31, 20131
2004
2005
2006
2007
2008
2009
2010
2011
2012
20132
2014
20153
Emerging
Emerging
Convertible
Inflation
Long Term
High Yield
Convertible
Long Term
Emerging
Convertible
Long Term
Convertible
11.79%
10.76%
12.68%
11.63%
44.46%
19.08%
18.62%
19.18%
27.48%
4.74%
High Yield
Long Term
Emerging
Convertible
Tactical
Convertible
High Yield
Inflation
Convertible
High Yield
Tactical
Long Term
10.26%
10.41%
15.64%
40.84%
12.58%
13.56%
5.93%
11.45%
4.20%
Convertible
High Yield
Long Term
Short
Term
Emerging
Emerging
Corporate
High Yield
Short Term
Corporate
Emerging
6.57%
9.66%
6.67%
28.72%
12.29%
9.16%
14.15%
0.36%
8.66%
2.87%
Inflation
Tactical
Tactical
Short
Term
Aggregate
Corporate
Long Term
Emerging
Corporate
Aggregate
Emerging
Corporate
8.46%
3.27
7.27%
7.31%
5.24%
12.80%
8.02%
11.85%
-1.98%
7.60%
2.48%
Convertible
Inflation
Aggregate
Aggregate
Corporate
Inflation
Corporate
Aggregate
Inflation
Corporate
Aggregate
High Yield
7.03%
2.84%
6.97%
0.96%
11.41%
9.37%
7.84%
6.98%
-2.00%
5.94%
1.97%
Tactical
Aggregate
Corporate
Emerging
Inflation
Aggregate
Tactical
Tactical
Tactical
Tactical
Inflation
Aggregate
3.98%
5.95%
-2.35%
5.93%
7.05%
7.82%
5.79%
-3.38%
3.64%
1.61%
8.57%
10.14%
Long Term
8.98%
33.72%
10.15%
33.84%
14.47%
9.38%
4.33%
2.43%
6.77%
Corporate
High Yield
Short
Term
Tactical
Emerging
Tactical
Aggregate
High Yield
Aggregate
Emerging
Convertible
Inflation
5.75%
2.05%
3.93%
5.64%
-11.66%
5.34%
6.54%
5.95%
4.23%
-6.45%
2.38%
1.41%
Aggregate
Short
Term
Long Term
Corporate
High Yield
Short
Term
Inflation
Short
Term
Long Term
Inflation
High Yield
Short Term
4.02%
-23.87%
0.80%
6.31%
1.55%
-8.61%
2.13%
0.58%
Long Term
Short Term
Tactical
-13.88%
0.63%
0.17%
4.34%
0.93%
1.62%
Short
Term
Corporate
Inflation
High Yield
Convertible
Long Tem
Short
Term
Convertible
0.91%
0.84%
0.41%
0.71%
-29.81%
-21.40%
2.40
-7.44%
3.36%
Short Term
0.43%
Tactical= Dorsey Wright’s Tactical Fixed Income Portfolio (Net)
Inflation = Barclays U.S. Treasury Inflation Protected Securities Index
Aggregate= Barclays Aggregate Bond Index
Convertible = Vanguard Convertible Securities Fund
Emerging = J.P. Morgan Emerging Markets Bond Index
High Yield = iBoxx Liquid High Yield Index
Corporate = iBoxx Liquid Investment Grade Index
Short Term = Barclays U.S. 1-3 Year Treasury Bond Index
Long Term = Barclays U.S. 20+ Year Treasury Bond Index
Source
Bloomberg, iShares, Vanguard, Yahoo! Finance calculated by Dorsey Wright & Associates. Performance displayed represents past
performance, which is no guarantee of future results. The index returns assume reinvestment of all dividends but do not reflect
any management fees, transaction costs or expenses. The benchmark indices are unmanaged and may not be available for direct
investment. The benchmark indices are total return indices. Investors cannot invest directly in an index.
Tactical Fixed Income
Appendix G
Historical Performance
Of the Dorsey, Wright Tactical Fixed Income Strategy
The hypothetical performance charts compare the returns of the Dorsey, Wright Tactical Fixed Income Strategy with the returns of
the Barclays Aggregate Bond total return index. The beginning of the test period is December 31, 2001 and is assigned an arbitrary value of 100.00 on that date. The volatility of the Models and of actual Accounts may be different than the volatility of the
Barclays Aggregate Bond Index.
For the Tactical Fixed Income Model the performance is that of a hypothetical portfolio managed in accordance with the dictates of
its strategy for the historical periods indicated and the actual performance of actual Accounts since their inception. Net returns
assume the deduction of 0.25% per quarter (1.00% per annum) from the Gross Return to account for management fees for periods
when the returns are hypothetical. Actual net returns are used beginning on March 31, 2013. The performance represented in this
brochure is based on monthly performance of the Tactical Fixed Income Model. The first full quarter of actual returns of the Model
is the second quarter of 2013. The hypothetical returns have been developed and tested by the Manager, but have not been verified by any third party and are unaudited. The performance information is based on data supplied by the Manager or from statistical
services, reports, or other sources which the Manager believes are reliable. Index data was used for some indexes before ETF price
data was available. The performance of the Models, prior to the inception of actual accounts, was achieved by means of retroactive
application of a model designed with hindsight. For the hypothetical portfolios, returns do not represent actual trading or reflect
the impact that material economic and market factors might have had on the Manager’s decision-making under actual circumstances.
Actual performance of each of the account styles may differ from the performance of the hypothetical portfolio for the following
reasons: the Account may not be fully invested at all times; not all securities in the Account may be weighted equally at all times
due to appreciation or depreciation in a stock’s value; or in managing the Accounts, Dorsey, Wright & Associates may make limited
modifications to the Strategy as necessary to comply with federal tax laws.
Dorsey, Wright’s advisory fees are described in Part II of the adviser’s Form ADV.
All returns since inception of actual Accounts do reflect reinvestment of interest payments and other earnings. Returns of actual
Accounts, since inception, are a composite of all Accounts of that style that were managed for the full quarter. All returns since inception of actual Accounts are compared against the Barclays Aggregate Bond total return index. The Barclays Aggregate Bond
Index is a broad base index, maintained by Barclays Capital, and is used to represent investment grade bonds being traded in the
United States.
A list of all holdings over the previous 12 months is available upon request.
Each investor should carefully consider the investment objectives, risks and expenses of any Exchange-Traded Fund ("ETF") prior to
investing. Before investing in an ETF investors should obtain and carefully read the relevant prospectus and documents the issuer
has filed with the SEC. ETFs may result in the layering of fees as ETFs impose their own advisory and other fees. To obtain more
complete information about the product the documents are publicly available for free via EDGAR on the SEC website (http://
www.sec.gov)
There are risks inherent in international investments, which may make such investments unsuitable for certain clients. These include, for example, economic, political, currency exchange, rate fluctuations, and limited availability of information on international
securities.
Definition of statistical terms:
Performance: Net annualized performance.
Distribution Yield: The annual yield an investor would receive if the most recent fund distribution stayed the same going forward.
The yield represents a single distribution from the fund and does not represent the total return of the fund.
Volatility: Annualized standard deviation. Standard deviation shows how much variation or dispersion exists from the average value.
Correlation: Compresses covariance into a range of +/- 1. A negative correlation indicates an inverse relationship whereas a positive correlation is indicative of a direct relationship.
R-Squared: Is the ratio of the portfolio’s market-related (systematic) variance to its total variance. It gives the variation in one
variable explained by another.
Past performance, hypothetical or actual, does not guarantee future results. In all securities trading, there is a potential for loss as
well as profit. It should not be assumed that recommendations made in the future will be profitable or will equal the performance as
shown. Investors should have long-term financial objectives when working with Dorsey, Wright & Associates.