Global Low Volatility Equity

Transcription

1 Marketing Communication Global Low Volatility Equity Investment objectives Outperform with significantly less variability Reduce volatility Maintain standard deviation of 3% to 4% less than index Outperform over a full risk cycle Outperform in falling markets Lag in risk-seeking markets Keep up in moderately rising markets Equity exposure Select stocks from the index Fully invested No derivatives Long only and highly liquid Portfolio holdings Transparent, long only, highly liquid equity portfolio No leverage, no derivatives Typically 1-3 names, depending on market volatility 4-6% turnover per year Risk versus return 1,4 August 26 (Inception) - September 218 (USD) Annuliazed Return Global Low Volatility, Gross MSCI World Index, Net Annualized Standard Deviation Return Standard Deviation Volatility Reduction Analytic Investors Global Low Volatility Equity, Gross MSCI World Index, Net Value added vs. MSCI World Index, Net -.51 Past performance is not indicative of future results. Investment performance 1 Historical returns Mon th YTD 1 Year 3 Years 5 Years 7 Years 1 Years Since Inc ep tion Analytic Investors Global Low Volatility Equity Composite Gross (8/ 1/ 6) Analytic Investors Global Low Volatility Equity Composite Net MSCI World Index, Net Past performance is not indicative of future results. Downside protection, up-market participation Down Market <% Sharply Rising Market >12% Analytic Investors Global Low Volatility Equity, Gross MSCI World Index, Net Portfolio characteristics 2 Global Low Vol Moderately Rising Market % to 12% MSCI World MSCI World Min Vol Barra Predicted Volatility % 9.88% 7.59% Barra Predicted Beta Duration Beta Weighted Average Market Cap $38.2 B $17.6 B $79.3 B Median Market Cap $12.2 B $13.6 B $21.2 B Price to Book 2.4x 2.5x 2.9x P/E (1-year EPS forecast) 16.x 15.7x 18.3x Dividend Yield 3.1% 2.3% 2.5% Long-term growth forecast 7.7% 12.% 8.9% Number of Stocks 23 1, Source: Wells Fargo Asset Management. 2 This information is based on a representative account within the Analytic Investors Global Low Volatility Equity Composite. The representative account has been selected by meeting the following criteria: 1) the account is in the Analytic Investors Global Low Volatility Equity Composite, 2) Wells Fargo Asset Management represents that the holdings, characteristics and risk profile are representative of the strategy/style of the Analytic Investors Global Low Volatility Equity Composite. Any changes to the representative account must be approved by one of the Co-Heads of Portfolio Risk Management and Analytics. All currency figures are in USD. Source: FactSet. 3 Source: Analytic Investors 4 Returns are gross of fees. Performance does not include advisory fees, brokerage or other commissions, and other expenses a client would have paid. Note: The GIPS compliant presentation can be found at the end of this presentation, including information on net returns. All returns for periods greater than one year are annualized. FOR PROFESSIONAL CLIENTS ONLY 1

2 Sector exposure 4 Portfolio Benchmark Country exposure 4 Portfolio Benchmark Communication Services Consumer Discretionary Consumer Staples Energy Financials Health Care Industrials Information Technology Materials Real Estate Utilities Top 1 holdings 5 Global Low Volatility Equity Weight % Beta Lockheed Martin Corporation AGNC Investment Corp Raytheon Company McDonald's Corporation 2..8 Darden Restaurants, Inc Coca-Cola European Partners Plc Exelon Corporation Dollar General Corporation Lululemon Athletica Inc Rogers Communications Inc. Class B MSCI World Index Weight % Beta Apple Inc Microsoft Corporation Amazon.com, Inc Facebook, Inc. Class A JPMorgan Chase & Co Alphabet Inc. Class C Johnson & Johnson.9.8 Alphabet Inc. Class A Exxon Mobil Corporation.9 1. Bank of America Corp Australia Canada Denmark.6.6 Germany Hong Kong Japan New Zealand Singapore Switzerland United States Investment team Position Harindra de Silva, Ph.D., CFA Dennis Bein, CFA Ryan Brown, CFA Monisha Jayakumar David Krider, CFA Greg McMurran Megan Miller, CFA Andrew Claeys, CFA Director of Trading Doug Savarese, CFA Research Advisor Zhuanxin Ding, Ph.D. Lucy Jin, Ph.D. Patrick Neal, Ph.D. Flora Tan, CFA Aarsh Sachdeva John Lyon, CFA Risk Analyst Kevin Cole, CFA Frank Jiang, CFA John Mahler Matt Robinson, CFA Consultant team Position Roger Clark, Ph.D. Research Consultant Steven Thorley, Ph.D., CFA Research Consultant 4 This information is based on a representative account within the Analytic Investors Global Low Volatility Equity Composite. The representative account has been selected by meeting the following criteria: 1) the account is in the Analytic Investors Global Low Volatility Equity Composite, 2) Wells Fargo Asset Management represents that the holdings, characteristics and risk profile are representative of the strategy/style of the Analytic Investors Global Low Volatility Equity Composite. Any changes to the representative account must be approved by one of the Co-Heads of Portfolio Risk Management and Analytics. 5 Top ten holdings are based on market value of the representative account and not necessarily held in all client portfolios. The information shown is not intended to be, nor should it be construed to be, a recommendation to buy or sell an individual security. A list of all holdings from the prior one-year period is available upon request. Source: FactSet Note: CFA and Chartered Financial Analyst are trademarks owned by CFA Institute. 2

3 Analytic Investors Global Low Volatility Equity As of September 3, 218 Inception since: 8/1/26 Gross ITD 5.83 Net ITD 5.57 MSCI World Index (Net) ITD 6.34 Value-Added -.51 Standard deviation 1.65 Sharpe ratio.47 Tracking error 8.2 Reporting currency USD Benchmark: MSCI World Index, Net Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Q1 Q2 Q3 Q4 YTD 218 Gross Net MSCI World Index, Net Value Added (Gross) Gross Net MSCI World Index, Net Value Added (Gross) Gross Net MSCI World Index, Net Value Added (Gross) Gross Net MSCI World Index, Net Value Added (Gross) Gross Net MSCI World Index, Net Value Added (Gross) Gross Net MSCI World Index, Net Value Added (Gross) Gross Net MSCI World Index, Net Value Added (Gross) Gross Net MSCI World Index, Net Value Added (Gross) Gross Net MSCI World Index, Net Value Added (Gross) Periods greater than one year are annualized. Performance is presented gross and net of fees. Past performance is not indicative of future results. Sources: Wells Fargo Asset Management, Analytic Investors. Note: The GIPS compliant presentation can be found at the end of this presentation, including information on net returns. 3

4 Analytic Investors Global Low Volatility Equity As of September 3, 218 Benchmark: MSCI World Index, Net Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Q1 Q2 Q3 Q4 YTD 29 Gross Net MSCI World Index, Net Value Added (Gross) Gross Net MSCI World Index, Net Value Added (Gross) Gross Net MSCI World Index, Net Value Added (Gross) Gross Net MSCI World Index, Net Value Added (Gross) Periods greater than one year are annualized. Performance is presented gross and net of fees. Past performance is not indicative of future results. Sources: Wells Fargo Asset Management, Analytic Investors. Note: The GIPS compliant presentation can be found at the end of this presentation, including information on net returns. 4

5 GIPS compliant presentation Primary Index Return Secondary Index Return Composite 3 Yr Std Dev Secondary Index 3 Yr Std Dev Composite Assets Total Firm Assets Total Firm Assets w/ Overlay Period Gross Annual Return Net Annual Return Primary Index 3 Yr Std Dev Internal Dispersion Number of Accounts , , , ,58.1 N.A. N.A ,675.4 N.A. N.A ,412.5 N.A. N.A ,281.4 N.A. N.A ,232.3 N.A. N.A N.A. N.A N.A. N.A N.A N.A. N.A N.A. N.A. N.A. N.A N.A. N.A. Source: Wells Fargo Asset Management Primary Index = MSCI World (Net) Secondary Index = MSCI World Minimum Volatility Index Net 1. Wells Fargo Asset Management (WFAM) (formerly named Wells Capital Management) claims compliance with the Global Investment Performance Standards (GIPS ) and has prepared and presented this report in compliance with the GIPS standards. WFAM has been independently verified for the periods from January 1, 1997 through December 31, 217. Verification assesses whether (1) the firm has complied with all the composite construction requirements of the GIPS standards on a firm-wide basis and (2) the firm s policies and procedures are designed to calculate and present performance in compliance with the GIPS standards. The Analytic Investors Global Low Volatility Equity Composite has been examined for the periods from August 1, 26 through December 31, 217. The verification and performance examination reports are available upon request. 2. For the purpose of complying with GIPS, the GIPS firm is defined as WFAM. Since the GIPS firm s creation in 1996, the firm has acquired a number of investment teams and/or assets through mergers or acquisitions which include assets and/or investment teams from Wells Capital Management, Norwest Investment Management Inc., Sutter Advisors, LLC, Montgomery Asset Management, Benson Associates, Strong Financial Corporation, Evergreen Investments, Wells Fargo Asset Management, LLC (International) (formerly named First International Advisors, LLC), Metropolitan West Capital Management, LLC, EverKey Global Partners, ECM Asset Management Limited, Analytic Investors, LLC and Golden Capital Management, LLC (GCM). Effective July 1, 218, the GIPS firm also includes assets under management of Wells Fargo Asset Management Luxembourg S.A. and Wells Fargo Funds Management, LLC (WFFM). 3. The Analytic Investors Global Low Volatility Equity Composite (Composite) consists of all discretionary accounts managed in this style. From a GIPS perspective, the Analytic Investors team joined WFAM at close of business March 31, 217 and as such the Total Firm Assets are only applicable since the date of acquisition. The strategy consists of long-only portfolios investing in global developed equity securities designed to reflect the performance characteristics of the MSCI World (Net) Index, while focusing on absolute risk reduction. Investment results are measured versus the MSCI World (Net) Index and the MSCI World Minimum Volatility (Net) Index. From September 26 through July 28 the MSCI World (Net) Index was presented as the benchmark for the Global Low Volatility Equity composite. In August of 28, the benchmark was changed (retro-actively back to inception) to the MSCI World Minimum Volatility (Net) Index. Effective January 1, 211, as a result of subsequent methodology changes by the index provider, the benchmark for the composite reverted back to its original benchmark, the MSCI World (Net) Index. The Composite creation date and inception date is August 1, 26. Performance shown prior to April 1, 217 represents results achieved by the Analytic Investors team prior to their acquisition by WFAM. 4. Composite returns are net of transaction costs and non-reclaimable withholding taxes, if any, are expressed in U.S. dollars, and reflect the reinvestment of dividends and other earnings. Gross Composite returns do not reflect the deduction of investment advisory fees. Net Composite returns are calculated using actual investment advisory fees. WFAM s fee schedules are available upon request and may also be found in Part 2 of Form ADV. The published fee schedule for this strategy is.5% for the first $2mm,.4% for the next $8mm, and.3% over $1mm. Additional information regarding WFAM s policies for valuing accounts, calculating performance and preparing compliant presentations are available upon request. 5. Effective January 1, 217, internal dispersion is the equal-weighted standard deviation of the annual gross returns of all accounts included in the Composite for the entire year. Prior to January 1, 217, internal dispersion was calculated using the asset-weighted standard deviation of all accounts included in the Composite for the entire year. For years where there are 5 or fewer accounts in the Composite for the entire year, dispersion is not presented as it is not a meaningful statistical calculation. The 3-year annualized standard deviation measures the variability of the gross Composite returns and the index returns over the preceding 36-month time period. The notation N.A. (not available) will appear for periods, if any, where 36 monthly returns are not available for the Composite and/or the index. 6. Index returns are provided to represent the investment environment existing during the time periods shown and are not covered by the report of independent verifiers. The MSCI World (Net) Index is a market-capitalization weighted index that measures the equity market performance of developed markets. The secondary benchmark is the MSCI World Minimum Volatility (Net) Index. This index was created in April of 28 from the parent index (MSCI World Index) using the Barra Global Equity Model (GEM) as the risk estimate input. For comparison purposes, both indices are fully invested, which include the reinvestment of income. The returns for the indices do not include any transaction costs, management fees or other costs. 7. Actual performance results may differ from Composite returns, depending on the size of the account, investment guidelines and/or restrictions, inception date and other factors. Performance for some accounts in this Composite may be calculated by third-parties that use different security pricing and performance methodologies. Past performance is not indicative of future results. As with any investment vehicle, there is always the potential for gains as well as the possibility of losses. For a complete list of WFAM composite descriptions, please see MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices or any securities or financial products. This report is not approved, reviewed, or produced by MSCI. Stock values fluctuate in response to the activities of individual companies and general market and economic conditions. Foreign investments are especially volatile and can rise or fall dramatically due to differences in the political and economic conditions of the host country. Certain investment strategies tend to increase the total risk of an investment (relative to the broader market). This strategy is exposed to smaller-company securities risk. Consult the investments offering document, investment management agreement, and/or the adviser s Form ADV Part 2 for additional information on these and other risks. Wells Fargo Asset Management (WFAM) is the trade name for certain investment advisory/management firms owned by Wells Fargo & Company. These firms include but are not limited to Wells Capital Management Incorporated and Wells Fargo Funds Management, LLC. Certain products managed by WFAM entities are distributed by Wells Fargo Funds Distributor, LLC (a broker/dealer and Member FINRA). WCM