LOW VOLATILITY STRATEGIES: DEFYING ASSUMPTIONS ABOUT RISK AND RETURN
|
|
- Lucinda Booth
- 6 years ago
- Views:
Transcription
1 REPRINTED FROM POINT OF VIEW JUNE 2017 Asset Management LOW VOLATILITY STRATEGIES: DEFYING ASSUMPTIONS ABOUT RISK AND RETURN TAKE A LOOK AT YOUR STOCK ALLOCATION. A GOOD DOSE OF LOW VOLATILITY EQUITY MIGHT SURPRISE YOU. Low-volatility equity strategies have defied traditional assumptions about how risk and return pair up, based on our historical research. This is what makes low volatility such a valuable factor. Most discussions of low volatility strategies have tended to focus on the potential to outperform cap-weighted benchmarks by overweighting low volatility stocks. While this is clearly interesting and merits attention, it ignores perhaps the most important feature of a low volatility strategy the ability to potentially improve the risk-return profile of a portfolio. MATT PERON Managing Director of Global Equity A WIDE RANGE OF RISK Historical patterns clearly indicate that volatility is far from uniform across equities. In Exhibit 1, we divided developed-market equities into five portfolios (quintiles from lowest volatility to highest) based on historical volatility. The resulting portfolios demonstrate a range of volatility, indicating that stocks identified as low volatility tend to be significantly less volatile in the future than stocks identified as high volatility. BEN GOETSCH, CFA Equity Strategist 1
2 Rolling 5-Year Volatility EXHIBIT 1: A WIDE DIFFERENCE: ROLLING 5-YEAR VOLATILITY Global developed equities divided into quintiles of volatility levels show that there is potential to create an equity portfolio with significant lower risk than the broader market. 40% 30% 20% 10% 0% Q1 (High Vol) Q2 Q3 Q4 Q5 (Low Vol) Low volatility equity strategies have defied traditional assumptions about risk and return, based on our research. The lowest quintile of volatility has often outperformed the highest quintile over the past 15 years. These findings allow investors to use low volatility strategies to adjust risk and reward. SOURCE: Northern Trust Quantitative Research. Portfolios constructed by ranking the MSCI World universe monthly on Barra volatility exposure and using that ranking to construct equally weighted quintiles. PERFORMANCE: LOW VOLATILITY STACKS UP WELL HISTORICALLY If traditional financial theory holds true, we should assume that portfolios with significantly different levels of risk should also demonstrate significantly different levels of return. Specifically, higher volatility portfolios should be rewarded with higher levels of return, and lower volatility portfolios should demonstrate commensurately lower returns. Exhibit 2 clearly indicates that has not been the case. Using only the highest quintile and lowest quintile for clarity, we calculated the excess returns relative to the broader market. Not only do the lowest volatility stocks tend to keep up with the broader market, but they actually outperform higher volatility stocks over nearly every 5-year period we examined. 2
3 Rolling 5-Year Excess Return EXHIBIT 2: LOW VOL HISTORICALLY OUTPERFORMED HIGH VOL Lower volatility stocks (lowest quintile) have historically had higher returns than higher volatility stocks (top quintile shown) over most of the examined periods. 20% 15% 10% 5% 0% -5% -10% -15% Our research and experience suggest that low volatility strategies that are reasonably well diversified can deliver 20% to 30% less volatility versus the broader market. Q1 Q5 SOURCE: Northern Trust Quantitative Research. Portfolios constructed by ranking the MSCI World Index universe monthly on Barra volatility exposure and using that ranking to construct equally weighted quintiles. PUT LOW VOLATILITY TO USE: FINE-TUNING THE RISK AND REWARD This finding can have broad implications, particularly in an environment where return expectations across asset classes are at historically low levels. Our research and experience suggest that low volatility strategies that are reasonably well diversified can deliver 20% to 30% less volatility versus the broader market. Even if a low volatility portfolio could simply match the performance of the broader market, investors can expand their equity allocations and increase return potential without increasing portfolio volatility. To illustrate, in Exhibit 3, we use a sample portfolio allocated 60% to equities and 40% to bonds. We can replace the equity allocation with a low volatility strategy that performs in line with the cap-weighted benchmark with 20% less volatility, on the low end of the expected volatility reduction. If we increase the low volatility equity allocation to 75%, we can achieve improved historical return with less volatility. Further, more equity can mean more return potential going forward. 3
4 EXHIBIT 3: PORTFOLIO TUNE-UP WITH LOW VOLATILITY STRATEGY With low volatility equity, you can potentially stretch performance while staying in your risk budget. In this illustration, we took a 60% stock/40% bond portfolio, replaced the equity allocation with low volatility equity (20% less volatility, same 5.8% return as global equity) and increased the equity allocation to 75%. The result: higher return, lower risk and an improved Sharpe ratio % 10.00% 8.00% 9.80% 8.00% 9.60% 6.00% 4.00% 4.30% 4.30% 4.90% 2.00% 0.00% 60% Global Equity/40% Global Bond 60% Low Volatility Equity/40% Global Bond Return Volatility 75% Low Volatility Equity/25% Global Bond SOURCE: For illustrative purposes only. Return expectations derived from Northern Trust s 2016 Capital Markets Assumptions and noted assumptions regarding the performance of low volatility strategies relative to the broader market. Global Equity is the MSCI ACWI Index and Global Bond is the Barclays Global Aggregate Bond Index. Risk calculations derived from historical volatility and covariance data from these two benchmarks from Jan 2001 Feb 2017, with the risk of the low volatility strategy assumed to be 20% less than the risk of the cap-weighted equity index. The return and volatility, respectively, of the strategies are: Global Equity: 5.8%, 15.8%; Global Bond: 2.1%, 5.8%; Low Volatility Equity: 5.8%, 12.7%. For investors grappling with the potential for low returns in the intermediate-term, low volatility strategies provide an interesting tool to potentially improve performance within their existing risk budgets. Not only do these strategies present the opportunity for outperformance within equity allocations, but their lower risk profile allows for potential shifts in asset allocation to boost returns without increasing overall portfolio volatility. Further, while we expect low volatility strategies to deliver a premium relative to the market over time, as these strategies have done historically, investors can still benefit from the improved risk/return tradeoff. LEARN MORE Factor-Based Investing: Put Risk to Work in Your Favor Global Low Volatility: Benefiting From an Actively Designed Approach 4
5 MORE FROM POINT OF VIEW northerntrust.com For more insights on institutional investing, visit pointofview.northerntrust.com The information contained herein is intended for use with current or prospective clients of Northern Trust Investments, Inc. The information is not intended for distribution or use by any person in any jurisdiction where such distribution would be contrary to local law or regulation. Northern Trust and its affiliates may have positions in and may effect transactions in the markets, contracts and related investments different than described in this information. This information is obtained from sources believed to be reliable, and its accuracy and completeness are not guaranteed. Information does not constitute a recommendation of any investment strategy, is not intended as investment advice and does not take into account all the circumstances of each investor. Opinions and forecasts discussed are those of the author, do not necessarily reflect the views of Northern Trust and are subject to change without notice. This report is provided for informational purposes only and is not intended to be, and should not be construed as, an offer, solicitation or recommendation with respect to any transaction and should not be treated as legal advice, investment advice or tax advice. Recipients should not rely upon this information as a substitute for obtaining specific legal or tax advice from their own professional legal or tax advisors. References to specific securities and their issuers are for illustrative purposes only and are not intended and should not be interpreted as recommendations to purchase or sell such securities. Indices and trademarks are the property of their respective owners. Information is subject to change based on market or other conditions. All securities investing and trading activities risk the loss of capital. Each portfolio is subject to substantial risks including market risks, strategy risks, adviser risk and risks with respect to its investment in other structures. There can be no assurance that any portfolio investment objectives will be achieved, or that any investment will achieve profits or avoid incurring substantial losses. No investment strategy or risk management technique can guarantee returns or eliminate risk in any market environment. Risk controls and models do not promise any level of performance or guarantee against loss of principal. Any discussion of risk management is intended to describe Northern Trust s efforts to monitor and manage risk but does not imply low risk. Past performance is no guarantee of future results. Performance returns and the principal value of an investment will fluctuate. Performance returns contained herein are subject to revision by Northern Trust. Comparative indices shown are provided as an indication of the performance of a particular segment of the capital markets and/or alternative strategies in general. Index performance returns do not reflect any advisory fees, transaction costs or expenses. It is not possible to invest directly in any index. Performance returns are reduced by investment management fees and other expenses relating to the management of the account. Performance returns contained herein include reinvestment of dividends and other earnings, transaction costs, and all fees and expenses other than investment management fees, unless indicated otherwise. Gross performance returns do not reflect the deduction of investment advisory fees and returns will therefore be reduced by these and any other expenses occurred in the management of the account. For additional information on fees, please refer to Part 2a of the Form ADV or consult a Northern Trust representative. Forward-looking statements and assumptions are Northern Trust s current estimates or expectations of future events or future results based upon proprietary research and should not be construed as an estimate or promise of results that a portfolio may achieve. Actual results could differ materially from the results indicated by this information. If presented, hypothetical portfolio information provided does not represent results of an actual investment portfolio but reflects representative historical performance of the strategies, funds or accounts listed herein, which were selected with the benefit of hindsight. Hypothetical performance results do not reflect actual trading. No representation is being made that any portfolio will achieve a performance record similar to that shown. A hypothetical investment does not necessarily take into account the fees, risks, economic or market factors/conditions an investor might experience in actual trading. Hypothetical results may have under- or over- compensation for the impact, if any, of certain market factors such as lack of liquidity, economic or market factors/conditions. The investment returns of other clients may differ materially from the portfolio portrayed. There are numerous other factors related to the markets in general or to the implementation of any specific program that cannot be fully accounted for in the preparation of hypothetical performance results. The information is confidential and may not be duplicated in any form or disseminated without the prior consent of Northern Trust. This information is intended for purposes of Northern Trust marketing of itself as a provider of the products and services described herein and not to provide any investment recommendations or advice within the meaning of the Department of Labor s Final Fiduciary Rule (29 CFR ). Northern Trust is not undertaking to provide impartial investment advice or give advice in a fiduciary capacity to the recipient of these materials. To the extent that the recipient of these materials has authority to act on behalf of a benefit plan that is subject to Title I of the Employee Retirement Income Security Act of 1974, as amended ( ERISA ), Northern Trust provides information with the understanding that the recipient: (1) is a fiduciary under ERISA with respect to any plan transaction(s) contemplated herein and is responsible for exercising independent judgment in evaluating any such transaction(s); (2) is independent of Northern Trust; (3) is a bank or similarly regulated financial institution, insurance carrier, registered investment adviser, registered broker-dealer, or a plan fiduciary that holds, or has under management or control, total assets of at least $50 million; (4) is capable of evaluating investment risks independently, both in general and with regard to particular transactions and investment strategies. Please advise Northern Trust immediately if any of the foregoing understandings is incorrect. Further, Northern Trust and its affiliates receive fees and other compensation in connection with the products and services described herein as well as for custody, fund administration, transfer agent, investment operations outsourcing and other services rendered to various proprietary and third party investment products and firms that may be the subject of or become associated with the services described herein Northern Trust Corporation. Head Office: 50 South La Salle Street, Chicago, Illinois U.S.A. Incorporated with limited liability in the U.S. Products and services provided by subsidiaries of Northern Trust Corporation may vary in different markets and are offered in accordance with local regulation. For more information, read our legal and regulatory information about individual market offices (available at northerntrust.com/disclosures). comprises Northern Trust Investments, Inc., Northern Trust Global Investments Limited, Northern Trust Global Investments Japan, K.K., NT Global Advisors, Inc. and investment personnel of The Northern Trust Company of Hong Kong Limited and The Northern Trust Company. In Singapore, Northern Trust Global Investments Limited (NTGIL) and Northern Trust Investments, Inc. are exempt from the requirement to hold a Financial Adviser s Licence under the Financial Advisers Act and a Capital Markets Services Licence under the Securities and Futures Act with respect to the provision of financial services. In Australia, NTGIL is exempt from the requirement to hold an Australian Financial Services Licence under the Corporations Act 2001 in respect to the provision of financial services. NTGIL is regulated by the FCA under U.K. laws, which differ from Australian Laws. Issued by Northern Trust Global Investments Limited. 5
Environmental, Social and Governance Investing
NORTHERN TRUST ASSET MANAGEMENT Environmental, Social and Governance Investing Avantika Saisekar ESG Product Specialist 1 NORTHERN TRUST RESPONSIBLE INVESTING OVERVIEW WHO WE ARE AUM PROFILE $65B INNOVATIVE
More informationINTERSECTION OF ESG & QUALITY
INTERSECTION OF ESG & QUALITY John McCareins, MD Asset Management, APAC GLOBAL LEADING EXTENSIVE SUSTAINABLE GLOBAL EXPERIENCE IN 3/10 $72 25 INVESTMENT MANAGER MANAGING OF SUSTAINABLE ASSETS CUSTOM UNDER
More informationTHE VALUE FACTOR ISN'T DEAD, JUST MISAPPLIED
REPRINTED FROM POINT OF VIEW MAY 2018 THE VALUE FACTOR ISN'T DEAD, JUST MISAPPLIED CONTRARY TO POPULAR PERCEPTION, THE VALUE FACTOR HAS OUTPERFORMED OVER THE LAST DECADE. Investors are losing patience
More informationSavings and Investment Behaviour in Australia
RETIREMENT SOLUTIONS Savings and Investment Behaviour in Australia NTAC:3NS-20 What could derail the journey to retirement? Understanding pitfalls can lead to a stronger retirement in Australia Savings
More informationGOAL ENGINEER SERIES PORTFOLIO HIGHLIGHTS:
GOAL ENGINEER SERIES The Goal Engineer Series combines Northern Trust s asset allocation, portfolio construction and risk management expertise with Engineered Equity TM and active fixed income strategies
More informationIS ESG A FACTOR? ENVIRONMENTAL, SOCIAL AND GOVERNANCE (ESG) CAN LOOK AND FEEL LIKE AN EQUITY FACTOR. WE TOOK A DEEPER LOOK TO FIND OUT.
REPRINTED FROM POINT OF VIEW MARCH 2018 IS ESG A FACTOR? ENVIRONMENTAL, SOCIAL AND GOVERNANCE (ESG) CAN LOOK AND FEEL LIKE AN EQUITY FACTOR. WE TOOK A DEEPER LOOK TO FIND OUT. At a high level, a factor
More informationBOOST RETIREMENT WITH TAX WINDFALLS
BOOST RETIREMENT WITH TAX WINDFALLS The Tax Cuts and Jobs Act (TCJA) of 2017 reduced individual and corporate income tax rates. Many companies are expecting to have lower tax obligations going forward.
More informationSUSTAINABLE COMPANIES FOR A BETTER PORTFOLIO
SUSTAINABLE COMPANIES FOR A BETTER PORTFOLIO USING QUALITY AND ESG TO ENHANCE RETURNS By integrating environmental, social and governance (ESG) factors into their portfolios, investors are increasingly
More informationNORTHERN FUNDS AFTER-TAX RETURN RANKINGS
Municipal and Tax-Advantaged Portfolios NORTHERN FUNDS AFTER-TAX RETURN RANKINGS As of September 30, 2017 As the old adage goes It s not what you make, but what you keep. Nothing sums up the potential
More informationNOT WORTH BEING CUTE SELLING OUT OF EXPENSIVE MARKETS HASN T ADDED VALUE HISTORICALLY
INVESTMENT STRATEGY COMMENTARY NOT WORTH BEING CUTE SELLING OUT OF EXPENSIVE MARKETS HASN T ADDED VALUE HISTORICALLY October 27, 2017 Some investors are expressing concern about stock market valuations
More informationImproving Risk Adjusted Returns in Factor Investing
ASSET MANAGEMENT Improving Risk Adjusted Returns in Factor Investing Matt Peron Executive Vice President Head of Global Equity 1 THE IMPETUS FOR FACTOR BASED INVESTING Stock selection has historically
More informationTHE ENIGMA OF FED POLICY AND BOND MARKET RETURNS
THE ENIGMA OF FED POLICY AND BOND MARKET RETURNS January 2017 Investors spend enormous time and resources monitoring, analyzing and forecasting the Federal Reserve s (Fed s) monetary policy. The premise
More informationSUSTAINABLE INVESTING: 10 PRINCIPLES TO WEED OUT ILL-GOVERNED COMPANIES
REPRINTED FROM POINT OF VIEW OCTOBER 2018 SUSTAINABLE INVESTING: 10 PRINCIPLES TO WEED OUT ILL-GOVERNED COMPANIES INVESTORS WANT SUSTAINABLE INVESTMENTS, BUT WHAT ARE THE CRITERIA? THE UNITED NATIONS HAS
More informationline of Sight October 2015
line of Sight PENSION RE-RISKING: TIMING OR TAMING THE MARKETS? An Objective Framework for Allocating Risk October 2015 There is no accepted methodology for re-risking or de-risking pension funds that
More informationThe Equity Imperative
The Equity Imperative Factor-based Investment Strategies 2015 Northern Trust Corporation Can You Define, or Better Yet, Decipher? 1 Spectrum of Equity Investing Techniques Alpha Beta Traditional Active
More informationYIELD CURVE INVERSION: A CLEAR BUT UNLIKELY DANGER
1-year minus -year UST (%) INVESTMENT STRATEGY COMMENTARY YIELD CURVE INVERSION: A CLEAR BUT UNLIKELY DANGER December 4, 17 Investors focus on the yield curve with good reason an inverted curve has historically
More informationASSET ALLOCATION. Insights on... MEASURE TWICE, CUT ONCE: THE IMPORTANCE OF A THOUGHTFUL INVESTMENT PLAN. Strategic Asset Allocation in 2015
Insights on... ASSET ALLOCATION MEASURE TWICE, CUT ONCE: THE IMPORTANCE OF A THOUGHTFUL INVESTMENT PLAN Strategic Asset Allocation in 2015 Global family offices typically have long investment time horizons
More informationA HORSE RACE: TRADITIONAL, ROTH, HSA, AND 529 PLANS
A HORSE RACE: TRADITIONAL, ROTH, HSA, AND 529 PLANS Suppose we want to best utilize $100. We could put it to work in a traditional or Roth retirement plan, a health savings account (HSA) or a 529 plan.
More informationHow to Assess Real Exchange Rate Overvaluation
JANUARY 2018 INTERNATIONAL EQUITY WHITEPAPER How to Assess Real Exchange Rate Overvaluation Leila Heckman, Ph.D., Founder John Mullin, Ph.D., Chief Strategist For More Information (917) 386-6261 www.heckmanglobal.com
More informationVIX to Fall; Stocks to Rise; Small to Outperform
RBC Capital Markets, LLC October 14, 2014 VIX to Fall; Stocks to Rise; Small to Outperform Market Delivers Above-Average Returns Following Volatility Spikes Investor concerns regarding global growth have
More informationCorrelation and Asset Management
Correlation and Asset Management Michael Mendelson Principal Ernst Schaumburg Vice President May 2017 AQR Capital Management, LLC Two Greenwich Plaza Greenwich, CT 06830 p: +1.203.742.3600 w: aqr.com 1
More informationINVESTMENT MANAGER SURVEY REPORT FOURTH QUARTER 2012
INVESTMENT MANAGER SURVEY REPORT FOURTH QUARTER 2012 CITING FISCAL UNCERTAINTY, MANAGERS STAY THE COURSE Half of investment managers surveyed during the fourth quarter 2012 believed the United States would
More informationCurrent equity offerings for equal weighted strategies from S&P and Russell
Insights on... global indexing R u s s e l l I n t r o d u c e s N e w A p p r o a c h t o E q u a l W e i g h t e d I n d i c e s Northern Trust Global Investments Limited 50 Bank Street London E14 5NT
More informationSight. combining RISK. line of. The Equity Imperative
line of Sight The Equity Imperative combining RISK FACTORS for SUPERIOR returns Over the years, academic research has well-documented the notion of compensated risk factors. In Northern Trust s 2013 paper,
More informationIntroducing BlackRock's Target Allocation ETF Models
Introducing BlackRock's Target Allocation ETF Models Eve Cout Director, Managed Accounts Business Thomas Wood, CFA Lead Strategist, US Model Portfolios Tuesday January 23 rd, 2018 BENEFIT # 1 Scale and
More informationCan We Lower Portfolio Volatility and Still Meet Equity Return Expectations?
Can We Lower Portfolio Volatility and Still Meet Equity Return Expectations? Richard Yasenchak, CFA Senior Vice President, Client Portfolio Manager, INTECH FOR INSTITUTIONAL INVESTOR USE/NOT FOR PUBLIC
More informationline of Sight Holistic Risk Management Building and Monitoring a Risk-Controlled Portfolio
line of Sight Holistic Risk Management Building and Monitoring a Risk-Controlled Portfolio We hope you enjoy the latest presentation from Northern Trust s Line of Sight. By providing research, findings,
More informationHOW TO VET TARGET DATE FUNDS
HOW TO VET TARGET DATE FUNDS Target date funds (TDFs) differ significantly in terms of asset classes, glidepath, fulfillment, and fees. It is a rich variety to choose from and at the same time may add
More informationFROM BEHAVIORAL BIAS TO RATIONAL INVESTING
FROM BEHAVIORAL BIAS TO RATIONAL INVESTING April 2016 Classical economics assumes individuals make rational choices, but human behavior is not always so rational. The application of psychology to economics
More informationActive management can add big value in small-cap equities
Principal Global Equities Active management can add big value in small-cap equities Brian Pattinson, CFA - Portfolio Manager Key points: Inefficiencies create opportunity Our approach to active investing
More informationINVESTMENT SERVICES. Topics in... AN INTRODUCTION TO GOALS DRIVEN WEALTH MANAGEMENT
Topics in... INVESTMENT SERVICES AN INTRODUCTION TO GOALS DRIVEN WEALTH MANAGEMENT A disciplined investment approach that empowers you with confidence. At first glance, the notion of setting goals for
More informationStrategy spotlight. Deploying multifactor strategies in portfolios. Analytic Investors
Strategy spotlight Analytic Investors October 2017 Deploying multifactor strategies in portfolios Factor-based investing has experienced a rapid increase in product innovation and development over the
More informationThe Case for Managed Volatility in Emerging Markets. Investment Focus
Investment Focus The Case for Managed Volatility in Emerging Markets While emerging markets equities have gained significant interest from global investors over the last several years, the asset class
More informationAsset Allocation Guide
JULY 2014 RBC WEALTH MANAGEMENT GLOBAL INSIGHT PERSPECTIVES FROM THE GLOBAL PORTFOLIO ADVISORY COMMITTEE Asset Allocation Guide In conjunction with the Global Insight publications, following is an updated
More informationTechnical Analysis: Market Insight
Technical Analysis: Market Insight October 1987 vs. October 2017 Today (Oct. 19, 2017) marks the 30 th anniversary of Black Monday a global market crash during which the S&P 500 dropped 20% in one day.
More informationMSCI MINIMUM VOLATILITY INDEXES METHODOLOGY
INDEX METHODOLOGY MSCI MINIMUM VOLATILITY INDEXES METHODOLOGY May 2018 MAY 2018 CONTENTS 1 Introduction... 3 2 Characteristics of MSCI Minimum Volatility Indexes... 4 3 Constructing the MSCI Minimum Volatility
More informationDEFINING RESPONSIBLE INVESTING: AN INVESTMENT MANAGER DUE DILIGENCE PERSPECTIVE
DEFINING RESPONSIBLE INVESTING: AN INVESTMENT MANAGER DUE DILIGENCE PERSPECTIVE Perspectives on evaluating investment managers that incorporate responsible investing in their investment process As interest
More informationMSCI EQUITY INDEX POLICY REGARDING UNITED STATES IRS 871(M) REGULATIONS RELATING TO THE DEFINITION OF A QUALIFIED INDEX
MSCI EQUITY INDEX POLICY REGARDING UNITED STATES IRS 871(M) REGULATIONS RELATING TO THE DEFINITION OF A QUALIFIED INDEX August 2016 BACKGROUND On September 17, 2015, the U.S. Internal Revenue Service (
More informationTarget Retirement Performance Update
Target Retirement Update Q1 2017 CIT Strategy Highlights As of March 31, 2017 The State Street Target Retirement Collective Trust Strategies posted quarterly returns ranging from +2.44% (Income Strategy)
More informationHigh-conviction strategies: Investing like you mean it
BMO Global Asset Management APRIL 2018 Asset Manager Insights High-conviction strategies: Investing like you mean it While the active/passive debate carries on across the asset management industry, it
More informationThe common belief that international equities can
August 2005 International Equities Are Investors Missing the Opportunity? Robert E. Ginis, CFA Senior Investment Strategist Global Quantitative Management Group Steven A. Schoenfeld Chief Investment Strategist
More informationIPD AUSTRALIA HEALTHCARE INDEX
IPD AUSTRALIA HEALTHCARE INDEX Q4 2015 Results Index Sponsor 2016 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document. INDEX CONTRIBUTORS Australian Unity Generation
More informationQM U.S. Small-Cap Growth Equity Fund
SUMMARY PROSPECTUS PRDSX TQAIX TQAAX Investor Class I Class Advisor Class May 1, 2017 T. Rowe Price QM U.S. Small-Cap Growth Equity Fund A fund seeking long-term growth of capital through a broadly diversified
More informationTHE ROLE OF FIXED INCOME IN GOALS DRIVEN WEALTH MANAGEMENT
THE ROLE OF FIXED INCOME IN GOALS DRIVEN WEALTH MANAGEMENT In Goals Driven Wealth Management, we look at your portfolio as being composed of risk control assets (quality fixed income and cash) and risk
More informationMSCI CUSTOM RISK WEIGHTED INDEXES
INVESTOR INSIGHT MSCI RISK WEIGHTED INDEXES HEDGED TO CAD MSCI CUSTOM RISK WEIGHTED INDEXES An Approach to Combining Low Risk and Size Exposure Index Marketing June 2017 JUNE 2017 The MSCI Risk Weighted
More information2Q 30 JUNE 2018 MFS GLOBAL EQUITY (AUD)
2Q 30 JUNE 2018 MFS GLOBAL EQUITY (AUD) INVESTMENT OVERVIEW TEAM Name (Years of industry experience) Title Roger Morley (21 yrs.) Portfolio Manager Ryan P. McAllister, CFA (15 yrs.) Portfolio Manager Ben
More informationMSCI CARBON FOOTPRINT INDEX RATIOS METHODOLOGY
MSCI CARBON FOOTPRINT INDEX RATIOS METHODOLOGY MSCI Methodology for Carbon Footprint Index Ratios January 2018 JANUARY 2018 CONTENTS INTRODUCTION..3 1 DEFINITION AND CALCULATION METHODOLOGY... 3 1.1 SECURITY
More informationBeyond the usual suspects: Diversified sources of income
J.P. Morgan Asset Management Research Summit 2011 Passport to opportunity Beyond the usual suspects: Diversified sources of income Mariana Connolly, CFA Client Portfolio Manager, U.S. Equity Group Anne
More informationGlobal Family & Private Investment Offices Executive Summary
Global Family & Private Investment Offices Executive Summary 2018 1 Building a Long-Term Relationship Northern Trust As Your Family Office Advisor and Partner On behalf of Northern Trust, I would like
More informationLOW VOLATILITY: THE CASE FOR A STRATEGIC ALLOCATION IN A RISING RATE ENVIRONMENT
MFS White Capability Paper Series Focus Month February 212 217 Authors James C. Fallon Portfolio Manager Quantitative Solutions Christopher C. Callahan Regional Head North American Institutional R. Dino
More informationReturns on Small Cap Growth Stocks, or the Lack Thereof: What Risk Factor Exposures Can Tell Us
RESEARCH Returns on Small Cap Growth Stocks, or the Lack Thereof: What Risk Factor Exposures Can Tell Us The small cap growth space has been noted for its underperformance relative to other investment
More informationVideo: GIC Wealth Management Perspectives
GLOBAL INVESTMENT COMMITTEE FEB.8, 2017 Video: GIC Wealth Management Perspectives Video: The Case for Active Management A new video takes a deep dive into the drivers of recent Active Manager underperformance
More informationTHE IMPACT OF CURRENCY ON PERFORMANCE
CURRENCY MANAGEMENT THE IMPACT OF CURRENCY ON PERFORMANCE Amidst increasing demand for enhanced transparency around currency management, we examine the impact of currency movements on an investment portfolio,
More informationIs Your Manager Nimble? Why Size Matters in Investment Grade Credit
Is Your Manager Nimble? Why Size Matters in Investment Grade Credit Bigger is not necessarily better in the fixed income market. Smaller investment managers are demonstrating their ability to consistently
More informationWhat Does Recent Data Mean for US & European Equities? Investment Research & Advisory. Deltec International Group
Atul Lele alele@deltecinv.com +1 242 302 4135 David Munoz dmunoz@deltecinv.com +1 242 302 4106 David Frazer dfrazer@deltecinv.com +1 242 302 4156 Vivienne Watts vwatts@deltecinv.com +1 242 302 4155 What
More informationglobal index management index bulletin
global index management index bulletin second Quarter 2012 Summary In this issue: Seeking Low Volatility Index Construction Matters MSCI s Annual Market Classification Review A Missing Opportunity China
More informationRBS UK Balanced Sector Index
RBS UK Balanced Sector Index What is an index? An index is a tool for measuring the performance of a collection of financial assets. It may, for example, be composed of shares in companies from a specific
More information2Q 30 JUNE 2018 MFS EUROPEAN VALUE EQUITY (USD)
2Q 30 JUNE 2018 MFS EUROPEAN VALUE EQUITY (USD) INVESTMENT OVERVIEW TEAM Name (Years of industry experience) Title Benjamin Stone (22 yrs.) Portfolio Manager Pablo de la Mata (14 yrs.) Portfolio Manager
More informationTranslating Factors to International Markets
LEADERSHIP SERIES Translating Factors to International Markets Strategies that combine the potential diversification benefits of international exposure with the portfolio-enhancing benefits of factors
More informationMSCI CUSTOM RISK WEIGHTED INDEXES
INVESTOR INSIGHT MSCI RISK WEIGHTED INDEXES HEDGED TO CAD MSCI CUSTOM RISK WEIGHTED INDEXES An Approach to Combining Low Risk and Size Exposure Index Marketing December 2016 DECEMBER 2016 The MSCI Risk
More informationThe Low-volatility Equity Opportunity. Investment Focus
Investment Focus The Low-volatility Equity Opportunity Equities and low risk are rarely mentioned in the same sentence. The recent regular and extreme bouts of volatility have increased the questions raised
More informationBig Currency Depreciations: What Happens Next?
JUNE 2018 INTERNATIONAL EQUITY WHITEPAPER Big Currency Depreciations: What Happens Next? Leila Heckman, Ph.D., Founder John Mullin, Ph.D., Chief Strategist For More Information (917) 386-6261 www.heckmanglobal.com
More informationInvestors Have Allocated Less to Value
Investors Have Allocated Less to Value by Over $1 Trillion Compared to 10 Years Ago Equity Asset Under Management $20,000,000,000,000 $18,000,000,000,000 $16,000,000,000,000 $14,000,000,000,000 $12,000,000,000,000
More information2017 ORDER EXECUTION REPORT- DERIVATIVES
2017 ORDER EXECUTION REPORT- DERIVATIVES As part of the MiFID II Directive, which came into force on 3rd January 2018, NTGIL is required to summarise and make public on an annual basis, for each class
More informationAn Economic Perspective on Dividends
2017 An Economic Perspective on Dividends Table of Contents Corporate Outlook... 1 2 Market Environment... 3 7 Payout Ratio... 8 9 Long-term View...10 12 Global View... 13 16 Active Management... 17 Risk
More informationMSCI TOP 50 DIVIDEND INDEXES METHODOLOGY
INDEX METHODOLOGY MSCI TOP 50 DIVIDEND INDEXES METHODOLOGY September 2017 SEPTEMBER 2017 CONTENTS 1 Introduction... 3 2 Constructing the MSCI Top 50 Dividend Indexes... 4 2.1 Applicable Universe... 4 2.2
More informationProduct Profile. Performance Data. Average Annual Total Returns (USD %) 2,
Unconstrained Fixed Income Product Profile Product Details Composite Assets $612,308,518.31 Inception Date 30/11/2005 Base Currency USD Investment Style Unconstrained Overview 1 High alpha-seeking regional
More informationSAMPLE. Portfolio Insights Analysis. May 16, years, 1 month. Improve growth. Minimize impact of market volatility BENCHMARK DATE RANGE GOAL
May 16, 2018 Portfolio Insights Analysis ILOVEJP Sample Portfolio BENCHMARK JPMorgan 80-20 Benchmark DATE RANGE 10 years, 1 month GOAL Improve growth CONCERN Minimize impact of market volatility As the
More informationMarket Bulletin. July 30, Preparing for Liftoff: The impact of rate hikes on stock returns
July 30, 2014 Preparing for Liftoff: The impact of rate hikes on stock returns James C. Liu, CFA Global Market Strategist J.P. Morgan Funds Anthony M. Wile Global Research Analyst J.P. Morgan Funds Tai
More informationQuantitative Easing and the Dollar-Yen Carry Trade
MARCH 2018 INTERNATIONAL EQUITY WHITEPAPER Quantitative Easing and the Dollar-Yen Carry Trade Leila Heckman, Ph.D., Founder John Mullin, Ph.D., Chief Strategist For More Information (917) 386-6261 www.heckmanglobal.com
More informationQuarterly Investment Update
Quarterly Investment Update Third Quarter 2017 Dimensional Fund Advisors Canada ULC ( DFA Canada ) is not affiliated with The CM Group DFA Canada is a separate and distinct company Market Update: A Quarter
More informationHSBC Vantage5 Index Methodology Guide
HSBC Vantage5 Index Methodology Guide Table of contents Index overview 1 Index components 2 Vantage5 Index methodology 3 Monthly rebalancing process 4 Simulated historic volatility 5 Simulated portfolio
More informationStrategy Based Investment Portfolios. Summary of Strategy Based Investment Portfolios Composite Performance
Strategy Based Investment Portfolios Summary of Strategy Based Investment Portfolios Performance Strategy Based Investing (SBI) Global Growth Annual Returns Net of Fees Average Annual Returns Through 12/31/16
More informationMSCI USA ESG SELECT INDEX METHODOLOGY
INDEX METHODOLOGY MSCI USA ESG SELECT INDEX METHODOLOGY February 2013 FEBRUARY 2013 CONTENTS 1 Introduction... 3 2 ESG Research Framework... 4 2.1 MSCI ESG Intangible Value Assessment... 4 2.2 MSCI ESG
More informationCONSTRUCTING AND ANALYSING MULTI-ASSET CLASS PORTFOLIOS
CONSTRUCTING AND ANALYSING MULTI-ASSET CLASS PORTFOLIOS Yana Vardarska, Vice President, MSCI Sam Rubandhas, Executive Director, MSCI #MSCIconf AGENDA Overview of the wealth management Investment problem
More informationTHE EMERGING OPPORTUNITY IN CHINA A-SHARES
THE EMERGING OPPORTUNITY IN CHINA A-SHARES JANUARY 218 China s equity market is one of the world s largest and most liquid, reflecting the economic and financial strength that China has achieved in recent
More informationManulife Financial Corp.
I N S T I T U T I O N A L E Q U I T Y R E S E A R C H Robert Sedran, CFA 1 (416) 594-7874 Robert.Sedran@cibc.com Koki Akala, CFA 1 (416) 956-3723 Koki.Akala@cibc.com Maurissa Bell, CPA, CA 1 (416) 594-7283
More informationThe Impact of Commodity Prices on the Terms of Trade
JUNE 2018 INTERNATIONAL EQUITY WHITEPAPER The Impact of Commodity Prices on the Terms of Trade Leila Heckman, Ph.D., Founder Vijay Chopra, Ph.D., CFA Managing Director For More Information (917) 386-6261
More informationMSCI INFRASTRUCTURE INDEXES METHODOLOGY
INDEX METHODOLOGY MSCI INFRASTRUCTURE INDEXES METHODOLOGY September 2017 SEPTEMBER 2017 CONTENTS 1 Introduction... 3 2 Constructing the MSCI Infrastructure Indexes... 4 2.1 Infrastructure Sectors and Corresponding
More information3Q 30 SEPTEMBER 2018 MFS EUROPEAN EQUITY EX U.K. (USD)
3Q 30 SEPTEMBER 2018 MFS EUROPEAN EQUITY EX U.K. (USD) INVESTMENT OVERVIEW TEAM Name (Years of industry experience) Title Matthew Barrett, ASIP (22 yrs.) Portfolio Manager Gabrielle Gourgey (23 yrs.) Institutional
More informationAddition Through Subtraction: Thinking Strategically About Managing Tax Liabilities
Strategic Advisory Solutions April 2015 Addition Through Subtraction: Thinking Strategically About Managing Tax Liabilities Maximizing returns is a key goal for most investors, but many overlook an important
More informationQuantitative. Quantitative Viewpoint. Investment Highlights: An Analysis of CFROI. United States
United States 27 January 2003 (Corrected) Savita Subramanian (1) 212 449-3254 savita_subramanian@ml.com Richard Bernstein Chief Quantitative Strategist (1) 212-449-0905 richard_bernstein@ml.com Quantitative
More informationFactor Mixology: Blending Factor Strategies to Improve Consistency
May 2016 Factor Mixology: Blending Factor Strategies to Improve Consistency Vassilii Nemtchinov, Ph.D. Director of Research Equity Strategies Mahesh Pritamani, Ph.D., CFA Senior Researcher Factor strategies
More information3Q 30 SEPTEMBER 2018 MFS CANADIAN MONEY MARKET (CAD)
3Q 30 SEPTEMBER 2018 MFS CANADIAN MONEY MARKET (CAD) INVESTMENT OVERVIEW TEAM Name (Years of industry experience) Title Cindy Neville, CFA (15 yrs.) Fixed Income Trader Jeremy Bau, CFA (10 yrs.) Fixed
More informationAlphaSolutions Sector Rotation Model
AlphaSolutions Sector Rotation Model An investment model based on trending and momentum strategies Portfolio Goals Primary: Seeks long term growth of capital by investing in highranked U.S. Equity Sectors
More information3Q 30 SEPTEMBER 2018 MFS U.K. EQUITY (USD)
3Q 30 SEPTEMBER MFS U.K. EQUITY (USD) INVESTMENT OVERVIEW TEAM Name (Years of industry experience) Title Christopher Jennings, CFA (20 yrs.) Portfolio Manager David Shindler (17 yrs.) Portfolio Manager
More informationInternational Stock Fund
SUMMARY PROSPECTUS PRITX PRIUX PAITX RRITX Investor Class I Class Advisor Class R Class March 1, 2018 T. Rowe Price International Stock Fund A fund seeking long-term growth of capital through investments
More informationHARNESSING THE POWER OF FACTOR MODELS
HARNESSING THE POWER OF FACTOR MODELS Enabling an Integrated View of Risk and Return Jean-Maurice Ladure, CFA Head of Equity Applied Research in EMEA, MSCI October 2017 2015 MSCI Inc. All rights reserved.
More informationPersonal Strategy Income Fund
SUMMARY PROSPECTUS PRSIX PPIPX Investor Class I Class October 1, 2017 T. Rowe Price Personal Strategy Income Fund A fund seeking primarily income through a diversified portfolio of stocks, bonds, and other
More informationNikko Asset Management and ARK Invest Partner for Disruptive Innovation Investment Solutions
PRESS RELEASE 4 AUGUST 2017 NIKKO ASSET MANAGEMENT CO., LTD. Nikko Asset Management and ARK Invest Partner for Disruptive Innovation Investment Solutions Nikko Asset Management ( Nikko AM ) today announces
More informationFactor Investing & Smart Beta
Factor Investing & Smart Beta Raina Oberoi VP, Index Applied Research MSCI 1 Outline What is Factor Investing? Minimum Volatility Index Methodology Historical Performance and Index Characteristics Risk
More informationAlternatives in action: A guide to strategies for portfolio diversification
October 2015 Christian J. Galipeau Senior Investment Director Brendan T. Murray Senior Investment Director Seamus S. Young, CFA Investment Director Alternatives in action: A guide to strategies for portfolio
More informationLazard Insights. Distilling the Risks of Smart Beta. Summary. What Is Smart Beta? Paul Moghtader, CFA, Managing Director, Portfolio Manager/Analyst
Lazard Insights Distilling the Risks of Smart Beta Paul Moghtader, CFA, Managing Director, Portfolio Manager/Analyst Summary Smart beta strategies have become increasingly popular over the past several
More informationOFI REVENUE WEIGHTED GLOBAL ESG INDEX METHODOLOGY. May 2018
OFI REVENUE WEIGHTED GLOBAL ESG INDEX METHODOLOGY May 2018 MAY 2018 CONTENTS 1 Introduction... 3 2 Index Construction Methodology... 4 2.1 Defining the Eligible Universe... 4 2.2 Security Selection...
More informationNon-US US Non-US US Non-US US. What does that mean for you as an investor? Why Invesco International Growth Fund? 1 Consistency of performance
Invesco International Growth Fund Seeking quality growth abroad Equity Objective Seeks long-term growth of capital A: AIIEX C: AIECX Y: AIIYX R: AIERX R5: AIEVX R6: IGFRX Fund facts and figures 26 years
More informationTransportation Revolution October 17
Beyond the IRR Model Beyond the IRR Model Uncertainty in the distant future is high. Great humility is in order. Ride-Hailing is Already Here Driverless Vehicles Are on the Way Potential Benefits Safety
More informationHOW TO HARNESS VOLATILITY TO UNLOCK ALPHA
HOW TO HARNESS VOLATILITY TO UNLOCK ALPHA The Excess Growth Rate: The Best-Kept Secret in Investing June 2017 UNCORRELATED ANSWERS TM Executive Summary Volatility is traditionally viewed exclusively as
More informationHEALTHCARE INDEX ADVISORY GROUP
HEALTHCARE INDEX ADVISORY GROUP 2 nd March 218 218 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document. INDEX CONTRIBUTORS Arena Investment Management Australian Unity
More informationAspiriant Risk-Managed Equity Allocation Fund RMEAX Q4 2018
Aspiriant Risk-Managed Equity Allocation Fund Q4 2018 Investment Objective Description The Aspiriant Risk-Managed Equity Allocation Fund ( or the Fund ) seeks to achieve long-term capital appreciation
More informationExchange Traded Fund Strategies
Exchange Traded Fund Strategies 221 W. 6 th Street, Suite 1210 Austin, Texas 78701 Phone 512.477.3110 Fax 512.472.1046 Teresa Finney Senior Vice President, Investments Richard A. Funk, CFP First Vice President,
More information