Data as of March 31, 2017
IRON Convertible Strategy |1Q 2017
Investment Objective
Portfolio Performance as of
3.31.2017
The IRON Convertible Strategy’s objective is to
maximize total return through the selection and
management of a credit and sector diverse
convertible bond portfolio.
Investment Philosophy
We believe convertible bonds are a compelling asset
class that can provide upside equity market
participation, protect during market downturns and
provide enhanced yield over equity markets. This
requires a portfolio to be structured with specific
security characteristics to meet these objectives.
This type of portfolio seeks to add value over full
market cycles by minimizing portfolio drawdowns
and increasing overall portfolio returns.
Investment Process
We use a proprietary, multi-factor model to narrow
the investment universe to a select subset of
securities. Based on our research, a portfolio created
with these securities provides superior downside
protection, lower volatility and higher expected
returns. Each convertible security in this select
subset is further analyzed for its credit risk, call risk,
duration and liquidity. If a potential risk is identified,
the security will be eliminated from the select
subset. All remaining securities are ranked
based on a factor model composite score.
The resulting portfolio is both credit and sector
diverse. Generally our process seeks to create a
portfolio of securities with higher credit and
lower duration than the Barclays US Convertibles
Composite Index.
Risk Management
The portfolio is actively monitored using IRON’s
proprietary risk management practices. Credit
quality, duration, and sector diversification are
closely monitored and adjusted as needed on an
ongoing basis.
In addition, our disciplined investment approach
incorporates a set of specific criteria for exiting
securities that no longer fit the risk/reward profile
that we seek.
Portfolio Management
Aaron Izenstark
Managing Director, Co-Founder and
Chief Investment Officer
Ted Connolly
Director, Portfolio Management and Trading
Investment Research
Dr. Ramesh Poola, Ph.D., CFA
Managing Director
Investment and Quantitative Research
Bill Hassiepen
Senior Credit Research Analyst
Past Performance is not indicative of future results. Please
see important disclosure language on the back page.
Annualized Total Returns as of 3.31.2017
IRON Convertibles (Gross of Fees)
IRON Convertibles (Net of Fees)
Barclays US Convertibles Composite Index
Barclays Capital US Aggregate Bond Index
Merrill Lynch High Yield Master II Index
S&P 500 Index
YTD
1.80%
1.62%
5.82%
0.82%
2.71%
6.07%
1yr
11.70%
10.93%
18.76%
0.44%
16.88%
17.17%
3yr
3.27%
2.56%
5.84%
2.68%
4.62%
10.36%
5y
6.43%
5.69%
10.05%
2.34%
6.85%
13.29%
Since Inception*
6.87%
6.13%
8.74%
2.83%
6.56%
13.44%
Monthly Returns as of 3.31.2017
2016
JAN
FEB
MAR
IRON Convertibles (Gross of Fees)
0.90%
0.59%
0.29%
IRON Convertibles (Net of Fees)
0.84%
0.54%
0.24%
Barclays US Convertibles Composite Index
2.94%
1.74%
1.04%
Barclays Capital US Aggregate Bond Index
0.20%
0.67%
-0.05%
Merrill Lynch High Yield Master II Index
1.34%
1.56%
-0.21%
S&P 500 Index
1.90%
3.97%
0.12%
APR
MAY
JUN
Calendar Year Total Returns as of 3.31.2017
IRON Convertibles (Gross of Fees)
IRON Convertibles (Net of Fees)
Barclays US Convertibles Composite Index
Barclays Capital US Aggregate Bond Index
Merrill Lynch High Yield Master II Index
S&P 500 Index
YTD 2017
1.80%
1.62%
5.82%
0.82%
2.71%
6.07%
2016
7.86%
7.12%
10.66%
2.65%
17.49%
11.96%
2015
3.00%
2.28%
-1.95%
0.55%
-4.64%
1.38%
2014
0.63%
-0.07%
7.79%
5.97%
2.50%
13.69%
2013
17.16%
16.35%
24.44%
-2.02%
7.42%
32.39%
2012
11.14%
10.37%
15.63%
4.22%
15.59%
16.00%
2011*
-0.64%
-1.05%
-8.54%
4.49%
-1.16%
-0.88%
*Performance data reported since June 7, 2011 inception of the IRON Convertible Strategy.
Correlations as of 3.31.2017
IRON Convertibles (Gross of Fees)
IRON Convertibles (Net of Fees)
Barclays US Convertibles Composite Index
Barclays Capital US Aggregate Bond Index
Merrill Lynch High Yield Master II Index
S&P 500 Index
Barclays US
Barclays
Merrill Lynch
IRON
IRON
Convertibles Capital US
High Yield
Convertibles Convertibles
Composite Aggregate
Master II
(Gross of Fees) (Net of Fees)
Index
Bond Index
Index
1.00
1.00
0.90
0.03
0.79
1.00
1.00
0.90
0.03
0.79
0.90
0.90
1.00
-0.10
0.80
0.03
0.03
-0.10
1.00
0.19
0.79
0.79
0.80
0.19
1.00
0.78
0.78
0.88
-0.17
0.73
S&P 500
Index
0.78
0.78
0.88
-0.17
0.73
1.00
The Barclays US Convertible Composite Index is comprised of the convertible component of the US Corporate High-Yield Index. Barclays Aggregate Bond
Index is a market value-weighted index that tracks the daily price, coupon, pay-downs, and total return performance of fixed-rate, publicly placed, dollardenominated, and nonconvertible investment grade debt issues with at least $250 million par amount outstanding and with at least one year to final
maturity. An investment cannot be made directly in an index. The Merrill Lynch US High Yield Master II Index (H0A0) is a commonly used benchmark index
for high-yield corporate bonds. It is administered by Merrill Lynch. The Master II is a measure of the broad high yield market, unlike the Merrill Lynch BB/B
Index, which excludes lower-rated securities. The Standard & Poor's 500 Index (S&P 500) is an index of 500 stocks seen as a leading indicator of U.S.
equities and a reflection of the performance of the large cap universe, made up of companies selected by economists. The S&P 500 is a market
value weighted index and one of the common benchmarks for the U.S. stock market; other S&P indexes include small cap companies with
market capitalization between $300 million and $2 billion, and an index of mid cap companies.
Data as of March 31, 2017
IRON Convertible Strategy | 1Q 2017
Statistical Comparison as of 3.31.2017
6.87%
6.13%
8.74%
2.83%
6.56%
13.44%
Annualized
Standard
Deviation
6.88%
6.88%
9.09%
2.86%
6.35%
11.49%
Up Capture
Ratio*
Down Capture
Ratio*
Downside
Deviation**
Best Monthly
Return
Worst
Monthly
Return
Ulcer
Index
Return over
Ulcer
Return over
Max Drawdown
0.69
0.67
1.00
0.09
0.63
1.24
0.61
0.63
1.00
-0.14
0.52
0.96
7.06%
7.21%
9.36%
2.76%
6.43%
11.38%
6.66%
6.60%
6.27%
2.10%
5.96%
10.93%
-5.07%
-5.12%
-5.84%
-2.37%
-3.99%
-7.03%
4.85%
5.38%
10.65%
2.86%
8.19%
8.46%
141.80%
113.81%
82.03%
98.96%
80.08%
158.81%
86.53%
72.72%
51.19%
58.14%
50.15%
73.12%
Annualized
Total Return
Fund/Index
IRON Convertibles, Gross of Fees
IRON Convertibles, Net of Fees
Barclays US Convertibles Composite Index
Barclays Capital US Aggregate Bond Index
Merrill Lynch High Yield Master II Index
S&P 500 Index
Fund/Index
IRON Convertibles, Gross of Fees
IRON Convertibles, Net of Fees
Barclays US Convertibles Composite Index
Barclays Capital US Aggregate Bond Index
Merrill Lynch High Yield Master II Index
S&P 500 Index
Sharpe
Ratio
Maximum
Drawdown
Alpha*
Beta*
R-Squared*
Sortino
Ratio
1.00
0.90
0.96
0.98
1.03
1.15
-7.9%
-8.4%
-17.1%
-4.9%
-13.1%
-18.4%
0.07%
0.01%
0.00%
0.25%
0.13%
0.29%
0.68
0.68
1.00
-0.03
0.56
1.11
0.82
0.82
1.00
0.01
0.64
0.78
0.28
0.25
0.27
0.30
0.29
0.34
* Alpha, Beta, R-Squared, UpCapture Ratio and Down Capture Ratio were estimated from the linear regression of monthly returns using Barclays US Convertibles Composite Index as the Benchmark.
** Downside deviation is computed based on annualized standard deviation of returns that were less than minimum acceptable return (MAR) of 0% during the entire period (Since Inception to March 31, 2017).
The Bank of America Merrill Lynch High Yield Master II is a widely recognized bond index. The S&P 500 Total Return Index (SPXT): Standard and Poor's 500 Total Return Index is a capitalization-weighted index of 500 stocks'
price return and reinvested dividends . The index is designed to measure performance of the broad domestic economy through changes in the aggregate market value of 500 stocks representing all major industries.
Portfolio Characteristics as of 3.31.2017
Top 10 Holdings as of 3.31.2017
MOLINA HEALTHCARE
CITRIX SYSTEMS
VECTOR GROUP
ELECTRONICS FOR IMAGING
LIVE NATION
CORNERSTONE ONDEMAND
ARES CAPITAL CORP
VIAVI SOLUTIONS INC
KB HOME
RPM INTERNATIONAL
Allocation to top 10 holdings
Weight
4.32%
4.24%
4.11%
4.05%
4.02%
3.93%
3.92%
3.89%
3.87%
3.76%
40.11%
Market Cap
Index
8.89%
7.13%
35.03%
48.50%
Strategy
16.94%
16.81%
54.91%
11.33%
Consumer Discretionary
Consumer Staples
Energy
Financials
Health Care
Industrials
Information Technology
Materials
Telecommunication Services
Utilities
Rating
AAA
AA
A
BBB
BB
B
Lower than B
Not Rated
8.01%
1.96%
3.81%
13.49%
12.97%
2.87%
24.86%
2.25%
1.97%
2.76%
9.93%
4.05%
3.35%
17.50%
20.31%
9.92%
31.06%
3.76%
0.00%
0.00%
0.00%
0.08%
3.76%
15.61%
12.99%
12.73%
2.47%
52.36%
0.00%
0.00%
0.00%
8.76%
0.00%
11.91%
3.05%
76.28%
0-2years
2-5 years
5-10 years
10+ years
27.16%
35.17%
13.68%
23.99%
24.13%
61.64%
0.00%
14.23%
Current Yield
3.20%
2.25%
Avg Gamma
0.44
0.84
Avg Delta
65.75
42.00
Avg Duration
2.95
2.28
OAS
838
298
Micro-cap (<$1B)
Small-cap ($1B-$2B)
Mid-cap ($2B-$10B)
Large-cap (>$10B)
Sector
Risk-Reward as of 3.31.2017
Credit Distribution
Maturity
Current Yield
Disclosures
Management fees of 0.70% annually, our highest published fee, have been deducted from the above results. The data for the IRON
Convertible Strategy includes all discretionary portfolios in the composite. In order to be included in the composite, an account must
have an initial starting balance of $250,000 or greater. Net returns reflect deduction of management fees on a monthly basis. Actual
accounts are charged quarterly in arrears based on the quarter end value adjusted for capital flows. Past performance is not indicative
of future results and an investment in the IRON Convertible Strategy involves the risk of loss, particularly with respect to short-term
performance. The data assumes reinvestment of dividends and interest, but not the effects of taxation or transaction costs. If
dividends and interest were not reinvested, then the above results would be considerably different.
Performance results for the above are unaudited. Investment results shown above are based upon the particular securities selected.
The charts, tables, performance and other information shown are provided to you for informational purposes only and are not
intended to be an do not constitute investment or tax advice nor an opinion or recommendation regarding the appropriateness of any
investment. The material contained in this document is for general information purposes and is not intended as an offer or a
solicitation for the purchase and/or sale of any security or financial instrument, nor is it advice or a recommendation to enter into any
transaction Future returns may differ significantly from the past due to materially different economic and market conditions.
Investments within portfolios, and therefore, portfolios, involve risk and the possibility of loss, including a permanent loss of principal.
Actual returns for individual client portfolios managed by IRON Financial, LLC may vary and do not necessarily coincide exactly with
the returns for the performance group.
Avg. Gamma
Avg. Delta
Avg. Duration
Credit Spread, OAS
To learn more, please contact
Deana Lewis
Director of Marketing
847-715-3228 Direct
[email protected]
www.ironfinancial.com