Alpha Architect US Quantitative Value ETF · NASDAQ:QVAL
Alpha Architect US Quantitative Value ETF — Astoria US Quality Kings ETF (ROE) — Investor Presentation (September 2023)
21 slides from Alpha Architect US Quantitative Value ETF's investor presentation, September 2023
Slide 1: ETF Presentation Q3 2023
US Presentation Title, Q3 ETF Presentation, - 2023 Q3-2023
Slide 2: ROE aims for long-term capital appreciation via 100 high quality US stocks
ROE attempts to provide long-term capital appreciation by investing in 100 high quality US stocks in the large- and mid-cap space. ROE aims to diversify risk by equally weighting its constituents, avoiding the concentration risk associated with market-cap weighting. 2 ASTORIA US QUALITY KINGS ETF (R
Slide 3: Company Overview
COMPANY OVERVIEW Who We Are What We Do Astoria Portfolio Advisors is an investment manager specializing in Philosophy: Astoria Extracts Risk Premia via Factor Analysis. We research-driven, cross-asset, ETF and quantitative equity Believe Blending Active and Passive Strategies is the True Sweet Spot
Slide 4: Astoria's Background in Quantitative Portfolio Construction
ASTORIA’S BACKGROUND IN QUANTITATIVE PORTFOLIO CONSTRUCTION In 2000 In 2017 In 2023 Astoria began constructing and Astoria merged its John Davi began his managing expertise in cross- career in Quantitative quantitatively driven, asset portfolio Research in Merrill equal-weighted, management and Lync
Slide 5: Our Beliefs
OUR BELIEFS Market Cap Weighting Core Equity Exposure Has Pitfalls The Quality Factor Historically Outperforms the Broader Market Equal-Weighted, Quantitative Stock Selection Can Be Utilized to Generate Alpha 5 ASTORIA US QUALITY KINGS ETF (ROE)
Slide 6: Higher Quality Companies Have Historically Outperformed
HIGHER QUALITY COMPANIES HAVE HISTORICALLY OUTPERFORMED THE BROADER MARKET AND LOWER QUALITY COMPANIES Enhanced Returns of Higher Quality Companies Portfolio Growth of $10,000 $10,000,000 $1,000,000 $100,000 $10,000 1963 1965 1967 1969 1971 1973 1975 1976 1978 1980 1982 1984 1986 1988 1990 1992 1994
Slide 7: Quality Factor Has Appealing Risk/Return Profile
OBSERVING HISTORICAL PERFORMANCE STATISTICS OF BOTH S&P AND MSCI FACTOR INDICES, THE QUALITY FACTOR HAS AN APPEALING RISK/RETURN PROFILE RELATIVE TO OTHERS (I.E., ATTRACTIVE CAGR, COMPARABLE RISK TO THE MARKET, HIGH SHARPE) MSCI Factor Indices: Risk/Return Metrics1 S&P Factor Indices: Risk/Return Me
Slide 8: S&P 500 Equal Weight Index Has Outperformed S&P 500
THE S&P 500 EQUAL WEIGHT INDEX HAS HISTORICALLY OUTPERFORMED THE S&P 500 INDEX, WHICH IS MARKET CAP WEIGHTED, SINCE 1999, INDICATING AN EQUAL WEIGHT APPROACH HAS SUSTAINED HISTORICAL SUCCESS S&P 500 Index vs. S&P 500 Equal Weight Index Portfolio Growth of $10,000 $90,000 $75,000 $60,000 $45,000 $30,
Slide 9: Top 10 Stocks in S&P 500 Are Expensive Relative to Index
THE TOP 10 STOCKS IN THE S&P 500 ARE EXPENSIVE RELATIVE TO THE INDEX: THEIR EARNINGS CONTRIBUTION HAS DECLINED WHILE THEIR WEIGHT HAS RISEN Top 10 Stocks In S&P 500 Index: P/E Ratio, Weight, and Earnings Contribution Source: JP Morgan 9 ASTORIA US QUALITY KINGS ETF (ROE)
Slide 10: Median Y/Y Revenue Growth of FAANG3 at 20-Year Lows
THE MEDIAN Y/Y REVENUE GROWTH OF FAANG3 IS AT 20-YEAR LOWS Declining Revenue Growth of FAANG3 Source: FactSet, Astoria Portfolio Advisors. Data from December 31, 2003, through March 31, 2023. Year over year (Y/Y) net sales growth is calculated on quarterly last twelve months basis. 1. FAANG represen
Slide 11: Mid-Caps Have Historically Produced Higher CAGR
OBSERVABLE IN BOTH RUSSELL AND MSCI INDICES, MID-CAPS HAVE HISTORICALLY PRODUCED A HIGHER CAGR AND COMPARABLE SHARPE RATIO TO LARGE-CAPS OVER THE PAST 20+ YEARS Russell Indices: 1000 Mid vs. 20004 MSCI US Indices: Large vs. Mid vs. Small5 Source: FactSet, Astoria Portfolio Advisors. 4. Data from Jul
Slide 12: ROE Stock Selection Starting Universe
ROE STOCK SELECTION STARTING UNIVERSE All Primary Listings in the US 10,000+ Stocks Percent of Free Float Shares > 25% 6,000+ Stocks Current Market Value > $5 Billion 930+ Stocks Avg. Vol. Past 6-mo > $50 million Rank 800 Stocks & Filter 100 Stocks 12 ASTORIA US QUALITY KINGS ETF (ROE)
Slide 13: ROE Screening and Ranking Process
ROE SCREENING AND RANKING PROCESS Stocks are picked in all 11 GICS sectors found across the equity market, using metrics corresponding to quality and robustness. The metrics defining the factor are sector relative, i.e., the metrics that have best historically defined quality for that sector are the
Slide 14: ROE Portfolio Characteristics
ROE PORTFOLIO CHARACTERISTICS Number of Stocks Across Market Caps Equity Sector Breakdown Source: FactSet, Astoria Portfolio Advisors. Data as of July 28, 2023. Calculation of Source: FactSet, Astoria Portfolio Advisors. Data as of July 28, 2023. market capitalization ranges are based on deciles. Ma
Slide 15: Why Invest in ROE?
WHY INVEST IN ROE? o The Astoria US Quality Kings ETF invests in up to 100 of the highest quality US large- and mid-cap stocks. ROE’s investment process narrows down the universe of US stocks using minimum percentage of free float shares, market capitalization, and average trading volume constrain
Slide 16: Definition of Terms
DEFINITION OF TERMS Operating Profitability: Operating profitability according to Fama and French (2015) is calculated using all accounting numbers from the end of the previous fiscal year. It is defined by the annual revenues minus the cost of goods sold, interest expenses, selling, general, and ad
Slide 17: Definition of Indices
DEFINITION OF INDICES MSCI USA Growth Index: The MSCI USA Growth Index captures large and mid cap securities exhibiting overall growth style characteristics in the US. The growth investment style characteristics for index construction are defined using five variables: long-term forward EPS growth ra
Slide 18: Definition of Indices (Continued)
DEFINITION OF INDICES (CONTINUED) S&P 500 Index: The S&P 500® is widely regarded as the best single gauge of large-cap US equities. According to our Annual Survey of Assets, an estimated USD 15.6 trillion is indexed or benchmarked to the index, with indexed assets comprising approximately USD 7.1 tr
Slide 19: Important Information
IMPORTANT INFORMATION This material must be preceded or accompanied by a prospectus. Please read the prospectus carefully before investing. The Funds’ investment objectives, risks, charges and expenses must be considered carefully before investing. Click here for the ROE Prospectus and SAI. All fund
Slide 20: Important Information
IMPORTANT INFORMATION Quantitative Security Selection Risk. Data for some companies may be less available and/or less current than data for companies in other markets. The Sub-Adviser uses quantitative analysis, and its processes could be adversely affected if erroneous or outdated data is utilized.
Slide 21: Thank You!
THANK YOU!
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