U.S. Low Volatility Equity

Transcription

1 Investment objectives Outperform with significantly less variability Investment performance 1 Historical returns Reduce volatility Maintain standard deviation of 2% to 3% 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 8-15 names, depending on market volatility 4-6% turnover per year Month YTD 1 Year 3 Years 5 Years 7 Years Years Since Inception (11/1/4) Analytic Investors Composite Gross Analytic Investors Composite Net Russell Index Downside protection, up-market participation Risk versus return 1 November 24 (Inception) - June 217 Annuliazed 15 5 US Low Volatility, Gross Russell Index Annualized Standard Deviation Return Standard Deviation Volatility Reduction Analytic Investors U.S. Low Volatility Equity, Gross Russell Index Value added vs. Russell Index Down Market <% Sharply Rising Market >12% Moderately Rising Market % to 12% Analytic Investors, Gross Russell Index Portfolio characteristics 3 U.S. Low Vol Russell MSCI U.S. Min Vol Barra Predicted Volatility % 12.% 9.84% Barra Predicted Beta Duration Beta Wtd Avg. Market Cap $78.9 B $152. B $88.7 B Median Market Cap $14.2 B $9.1 B $31.3 B Price to Book 3.6x 3.1x 3.5x Trailing P/E 2.1x 23.4x 23.7x Dividend Yield 2.5% 2.% 2.2% Long-term growth forecast 8.7% 11.8% 9.8% Number of Stocks Periods greater than one year are annualized. Performance is presented gross of fees and does not reflect the deduction of investment advisory fees. Client s return will be reduced by the advisory fees (as described in Part II of the adviser s Form ADV) and any other expenses it may incur in the management of its investment advisory accounts. See Performance Table page for an example of the effect compounded advisory fees have on a client s portfolio value over a period of years. Source: Wells Capital Management. 2 Market assignments were made according to each 12-month Russell Index return, with corresponding composite returns for that time period. The average returns information was calculated by taking the average rolling 12-month return over the entire period shown. 3 This information is based on a representative account within the Analytic Investors Composite. The representative account has been selected by meeting the following criteria: 1) the account is in the Analytic Investors Composite, 2) Wells Capital represents that the holdings, characteristics and risk profile are representative of the strategy/style of the Analytic Investors Composite. Any changes to the representative account must be approved by one of the Co-Heads of Portfolio Risk Management and Analytics. 4 Source: Analytic Investors. Past performance does not guarantee future results. Note: The GIPS compliant presentation can be found at the end of this presentation.

2 Sector exposure 5 Portfolio Benchmark Consumer Discretionary Consumer Staples Energy Financials Health Care Industrials Information Technology Materials Real Estate Telecommunication Services Utilities Top holdings 6 Weight % Beta United Parcel Service, Inc Wal-Mart Stores, Inc Baxter International Inc Everest Re Group, Ltd PepsiCo, Inc Procter & Gamble Company Altria Group, Inc Johnson & Johnson Merck & Co., Inc Waste Management, Inc Investment team Harindra de Silva, Ph.D., CFA Dennis Bein, CFA David Krider, CFA Ryan Brown, CFA Greg McMurran Megan Miller Andrew Claeys, CFA Doug Savarese, CFA Zhuanxin Ding, Ph.D. Lucy Jin, Ph.D Flora Tan, CFA Monisha Jayakumar Frank Jiang, CFA John Mahler Matt Robinson, CFA Kevin Cole, CFA Consultant team Roger Clark, Ph.D. Steven Thorley, Ph.D., CFA Position Director of Trading Research Advisor Risk Analyst Position Research Consultant Research Consultant Russell Index Weight % Beta Apple Inc Alphabet Inc Microsoft Corporation Amazon.com, Inc Johnson & Johnson Facebook, Inc Exxon Mobil Corporation Berkshire Hathaway Inc JPMorgan Chase & Co Wells Fargo & Company This information is based on a representative account within the Analytic Investors Composite. The representative account has been selected by meeting the following criteria: 1) the account is in the Analytic Investors Composite, 2) Wells Capital represents that the holdings, characteristics and risk profile are representative of the strategy/style of the Analytic Investors Composite. Any changes to the representative account must be approved by one of the Co-Heads of Portfolio Risk Management and Analytics. 6 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. Past performance is not indicative of future results. 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 As of June 3, 217 Inception since: 11/1/24 Gross ITD 9.66 Standard deviation.86 Net ITD 9.45 Sharpe ratio.77 Russell Index ITD 8.69 Tracking error 7.11 Value-Added.97 Reporting currency USD Benchmark: Russell Index Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Q1 Q2 Q3 Q4 YTD 217 Gross Net Russell Index Value Added (Gross) Gross Net Russell Index Value Added (Gross) Gross Net Russell Index Value Added (Gross) Gross Net Russell Index Value Added (Gross) Gross Net Russell Index Value Added (Gross) Gross Net Russell Index Value Added (Gross) Gross Net Russell Index Value Added (Gross) Gross Net Russell Index Value Added (Gross) Gross Net Russell Index Value Added (Gross) Periods greater than one year are annualized. Performance is presented gross and net of fees. Past performance does not guarantee future results. Sources: Wells Capital Management, Analytic Investors. Note: The GIPS compliant presentation can be found at the end of this presentation. 3

4 Analytic Investors As of June 3, 217 Benchmark: Russell Index Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Q1 Q2 Q3 Q4 YTD 28 Gross Net Russell Index Value Added (Gross) Gross Net Russell Index Value Added (Gross) Gross Net Russell Index Value Added (Gross) Gross Net Russell Index Value Added (Gross) Gross Net Russell Index Value Added (Gross) Periods greater than one year are annualized. Performance is presented gross and net of fees. Past performance does not guarantee future results. Sources: Wells Capital Management, Analytic Investors. Note: The GIPS compliant presentation can be found at the end of this presentation. 4

5 GIPS compliant presentation Composite Assets ($-mm) Total Firm Assets w/ Overlay ($-mm) Gross Annual Net Annual Primary Index Secondary Index Composite Primary Index Secondary Index Internal Dispersion Number of Accounts Total Firm Assets ($-mm) YTD , , , ,457.5 N.A. N.A ,829.7 N.A. N.A ,646.1 N.A. N.A ,917.3 N.A. N.A ,774.1 N.A. N.A ,564.2 N.A. N.A N.A. N.A N.A. N.A N.A N.A. N.A N.A N.A. N.A. Primary Index = Russell Secondary Index = MSCI USA Minimum Volatility Index Gross 1. Wells Capital Management ( WellsCap ) claims compliance with the Global Investment Performance Standards (GIPS ) and has prepared and presented this report in compliance with the GIPS standards. WellsCap has been independently verified for the periods from January 1, 1997 through December 31, 216. 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 U.S. Low Volatility Equity Composite has been examined for the periods from November 1, 24 through December 31, 216. The verification and performance examination reports are available upon request. 2. WellsCap is a registered investment adviser and a wholly owned subsidiary of Wells Fargo Bank, N.A. Since the firm s creation in 1996, the firm has acquired a number of investment teams and/or assets through mergers and acquisitions. These include assets and/or investment teams from Norwest Investment Management Inc., Sutter Advisors, LLC, Montgomery Asset Management, Benson Associates, Strong Financial Corporation, Evergreen Investments, First International Advisors, LLC, Metropolitan West Capital Management, LLC, EverKey Global Partners and ECM Asset Management Limited. In addition, Analytic Investors, LLC was added to the firm at close of business March 31, 217. In all cases, the investment teams involved in each acquisition and merger remain autonomous teams within WellsCap. 3. The Analytic Investors Composite ( Composite ) (formerly named the U.S. Low Volatility Equity Composite) consists of all discretionary accounts managed in this style. From a GIPS perspective, the Analytic Investors team joined WellsCap 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 U.S. equity securities designed to reflect the performance characteristics of the Russell Index, while focusing on absolute risk reduction. Investment results are measured versus the Russell Index and the MSCI USA Minimum Volatility (Gross) Index. From September 26 through July 28 the Russell Total Return Index was presented as the benchmark for the US Low Volatility Composite. In August of 28, the benchmark was changed (retro-actively back to inception) to the MSCI USA Minimum Volatility 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 Russell Total Return Index. The Composite creation date and inception date is November 1, 24. Performance shown prior to April 1, 217 represents results achieved by the Analytic Investors team prior to their acquisition by WellsCap. 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. WellsCap 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.4% for the first $2mm,.3% for the next $8mm, and.2% over $mm. Additional information regarding WellsCap 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. 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 Russell Index representing the broad U.S. market. This index measures the performance of the 1, largest companies in the Russell 3 Index, which represents approximately 92% of the total market capitalization of the Russell 3 Index. Individuals cannot invest directly in this index. Considering the objectives of the strategy, the benchmark s volatility is anticipated to be significantly higher than that of the investment strategy. The secondary benchmark is the MSCI USA Minimum Volatility Index. This index was created in April of 28 from the parent index (MSCI USA 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. Our registration as an Investment Adviser does not imply any level of skill or training. For a complete list of WellsCap composite descriptions, please see Wells Fargo Asset Management (WFAM) is a trade name used by the asset management businesses of Wells Fargo & Company. WFAM includes but is not limited to Analytic Investors, LLC; ECM Asset Management Ltd.; First International Advisors, LLC; Galliard Capital Management, Inc.; Golden Capital Management, LLC; The Rock Creek Group, LP; Wells Capital Management Inc.; Wells Fargo Asset Management Luxembourg S.A.; Wells Fargo Funds Distributor, LLC; and Wells Fargo Funds Management, LLC. Wells Capital Management does not serve as an independent advice fiduciary during the sales process to any investor. 5