Assessing the Risks of a Yield-Tilted Equity Portfolio

Size: px
Start display at page:

Download "Assessing the Risks of a Yield-Tilted Equity Portfolio"

Transcription

1 Engineered Portfolio Solutions RESEARCH BRIEF Summer 2011 Update 2014: This Parametric study from 2011 is intended to illustrate common risks and characteristics associated with dividendtilted equity portfolios, and the relationship between portfolio tracking error, systematic exposure, and the degree of factor tilt implemented. This is presented for illustrative purposes. Market conditions presented may have changed since the time of original publication. Rey Santodomingo, CFA Director of Investment Strategy - Tax Managed Equities Parametric Portfolio Associates LLC Gordon Wotherspoon Director - Advisor Channel Portfolio Management Parametric Portfolio Associates LLC Jackson Wang, FRM Vice President MSCI Assessing the Risks of a Yield-Tilted Equity Portfolio Recently, investors have shown an increased preference towards income versus capital appreciation. One option to increase income is to favor dividend-paying stocks over nondividend paying stocks within an index-based portfolio strategy known as yield tilting. For example, a yield-tilted portfolio can be constructed to deliver 1.5x or 2.0x the yield of the index. In other words, when the index yield is 2.0%, the 1.5x tilted portfolio seeks to deliver a yield of 3.0%. While this additional yield is attractive, it comes at a related cost. The process of tilting a portfolio toward dividend paying stocks introduces systematic risks relative to the target index. In this paper we explore the risk characteristics of the yield-tilted portfolio. Specifically, we examine the historical tracking error of 1.5x and 2.0x yield-tilted portfolios versus a market cap-weighted index. In addition, we decompose the tracking error to uncover the persistent and dynamic biases resulting from this strategy. Finally, we examine the current risk characteristics of yield-tilted portfolios managed by Parametric. Parametric 1918 Eighth Avenue Suite 3100 Seattle, WA T F Parametric Portfolio Associates LLC. For Informational Purposes Only. Not an Offer to Buy or Sell Securities.

2 OBSERVATIONS Through a monthly back test spanning 12 years, our results show that the 1.5x and 2.0x yield-tilted portfolios exhibit a realized tracking error of % and % respectively, when compared against the S&P 500 Index. The tracking error varies over time and is higher during periods of high cross-sectional volatility. 1 Related to the tracking error, we find that the magnitude of the systematic biases varies over time as well. Some systematic biases, such as exposure to the financial sector, changed quite dramatically over the test period. During most of the period, the financial sector bias was positive. However, more recently, the bias has become negative. By contrast, the Barra Size factor bias of the dividend-tilted portfolios remained slightly negative and relatively consistent during the same period. THE RESULTS We used a 12-year history of the S&P 500 as our base index. To tilt the index towards yield, we used an optimizer and the Barra USE3L Risk Model to construct portfolios with a constant positive bias, or overweight, to the Barra Yield factor, while simultaneously working to minimize the tracking error. The portfolios were rebalanced monthly and the constant bias to this factor on average resulted in portfolios with yields of 1.5x and 2.0x the yield of the S&P In Exhibit 1 we show the rolling 36-month annualized realized tracking error (standard deviation of excess returns) of the portfolios compared to the S&P 500. As expected, the more extreme the tilt, the higher the realized tracking error. The tracking error for the 1.5x yield portfolio is on average 1.60%, while the 2.0x portfolio shows an average closer to 3.7%. Tracking error increases substantially as we increase the yield tilt from 1.5x to 2.0x because the number of eligible securities is reduced substantially. Exhibit 1: Realized Tracking Error of the Yield-Tilted Portfolio Compared to the S&P Month Annualized Rolling Realized TE 1 Cross-sectional volatility is a measure of security return dispersion. When securities returns are similar, cross-sectional volatility is low. When security returns differ, cross-sectional volatility is high. 2 To facilitate our research, the optimizer was configured to seek a constant bias to the Barra Yield factor. The two test cases studied were a 0.5 and a 1.0 constant bias to this factor. The units of the exposures are standard deviations. The Barra Dividend Yield factor exposure is a standardized score of a combination of the firm s last four quarterly dividend payments and future dividend announcements. The actual yield multiple for each portfolio varied over time around 1.5x and 2.0x,and the actual average multiple for each case over the test period was 1.55x and 2.10x respectively. 7% 1.5X Yield 2.0X Yield 6% 5% 4% 3% 2% 1% 0% Feb-2002 May-2002 Aug-2002 Nov-2002 Feb-2003 May-2003 Aug-2003 Nov-2003 Feb-2004 May-2004 Aug-2004 Nov-2004 Feb-2005 May-2005 Aug-2005 Nov-2005 Feb-2006 May-2006 Aug-2006 Nov-2006 Feb-2007 May-2007 Aug-2007 Nov-2007 Feb-2008 May-2008 Aug-2008 Nov-2008 Feb-2009 May-2009 Aug-2009 Nov-2009 Feb-2010 May-2010 Aug-2010 Nov-2010 Feb Parametric Portfolio Associates LLC. For Informational Purposes Only. Not an Offer to Buy or Sell Securities. 2

3 The average number of securities in the 1.5x yield portfolio was 255, compared to 124 securities in the 2.0x yield portfolio. We also note that the tracking error varies during different market regimes. From the dataset, we see three distinct time periods: a period of high tracking error from , a period of low tracking error from , and a return to high tracking error from The periods of high and low tracking error coincide with periods of high and low cross-sectional volatility in the market. During periods of low cross sectional volatility, the tracking error of the 2.0x tilt portfolio is about double that of the 1.5x tilt portfolio. However, during periods of high cross-sectional volatility, the gap increases to as high as 2.5 times that of the 1.5x tilt portfolio. Exhibit 2: Rolling 12-Month Excess Total Returns of 1.5X and 2.0X Yield Strategies Relative to the S&P % 15.00% 1.5X Yield 2.0X Yield 10.00% 5.00% 0.00% -5.00% % % % Feb-2000 May-2000 Aug-2000 Nov-2000 Feb-2001 May-2001 Aug-2001 Nov-2001 Feb-2002 May-2002 Aug-2002 Nov-2002 Feb-2003 May-2003 Aug-2003 Nov-2003 Feb-2004 May-2004 Aug-2004 Nov-2004 Feb-2005 May-2005 Aug-2005 Nov-2005 Feb-2006 May-2006 Aug-2006 Nov-2006 Feb-2007 May-2007 Aug-2007 Nov-2007 Feb-2008 May-2008 Aug-2008 Nov-2008 Feb-2009 May-2009 Aug-2009 Nov-2009 Feb-2010 May-2010 Aug-2010 Nov-2010 Feb-2011 Hypothetical returns are presented net of 30 bps annual fee. From a performance perspective Exhibit 2 shows that the strategy did well during the bear market. It also did well from The strategy underperformed during the global financial crisis of 2008 and outperformed during the recovery. To gain more insight into the strategy s excess return patterns, we examine the historical risk factor exposures of the portfolio Parametric Portfolio Associates LLC. For Informational Purposes Only. Not an Offer to Buy or Sell Securities. 3

4 SYSTEMATIC BIASES WITHIN THE YIELD-TITLED PORTFOLIO The yield tilted portfolio is constructed using an optimizer, which is configured to minimize the predicted tracking error while maintaining a constant positive bias to the Barra Yield factor. Selection of higher yielding securities results in systematic biases to certain risk factors. As of June 17, 2011, Parametric s composite of S&P 500 yield-tilted portfolios exhibits a negative bias to: The size, growth and volatility fundamental risk factors 3 The health, financial, transportation and technology sectors and a positive bias to: The value and earnings yield fundamental factors The utilities, basic materials, industrials and telecommunications sectors Our research shows that the systematic biases to these factors are dynamic. More recently, dividend portfolios exhibit a negative bias to financials, whereas during the study period the portfolio was typically overweight financials to varying degrees: Exhibit 3: Historical Relative Financial Sector Exposure Historical Relative Financial Sector Exposure X Yield 2.0X Yield Feb-1999 May-1999 Aug-1999 Nov-1999 Feb-2000 May-2000 Aug-2000 Nov-2000 Feb-2001 May-2001 Aug-2001 Nov-2001 Feb-2002 May-2002 Aug-2002 Nov-2002 Feb-2003 May-2003 Aug-2003 Nov-2003 Feb-2004 May-2004 Aug-2004 Nov-2004 Feb-2005 May-2005 Aug-2005 Nov-2005 Feb-2006 May-2006 Aug-2006 Nov-2006 Feb-2007 May-2007 Aug-2007 Nov-2007 Feb-2008 May-2008 Aug-2008 Nov-2008 Feb-2009 May-2009 Aug-2009 Nov-2009 Feb-2010 May-2010 Aug-2010 Nov-2010 Feb We examined the portfolios using the Barra USE3L risk model. The risk model is made up of industry and fundamental risk factors such as growth, value, size, volatility and momentum. For more information see the MSCI website at msci.com From , the 1.5x yield-tilted portfolio showed a 4% overweight to financials, while the 2.0x yield portfolio showed an overweight as high as 10%. Starting in November 2008, the portfolios began to exhibit a negative bias to financial stocks. The negative bias to financials coincides with the global financial crisis when many financial firms cut their dividends. In general, the larger the bias is to any given sector, the larger the expected tracking error will be. While the magnitude of the portfolio bias to financials varied over time, we find that the company size bias was relatively stable: 2014 Parametric Portfolio Associates LLC. For Informational Purposes Only. Not an Offer to Buy or Sell Securities. 4

5 Figure 4: Historical Size Factor Exposure Historical Size Factor Exposure Large Cap Bias X Yield 2.0X Yield 0.20 Neutral Small Cap Bias Feb-1999 May-1999 Aug-1999 Nov-1999 Feb-2000 May-2000 Aug-2000 Nov-2000 Feb-2001 May-2001 Aug-2001 Nov-2001 Feb-2002 May-2002 Aug-2002 Nov-2002 Feb-2003 May-2003 Aug-2003 Nov-2003 Feb-2004 May-2004 Aug-2004 Nov-2004 Feb-2005 May-2005 Aug-2005 Nov-2005 Feb-2006 May-2006 Aug-2006 Nov-2006 Feb-2007 May-2007 Aug-2007 Nov-2007 Feb-2008 May-2008 Aug-2008 Nov-2008 Feb-2009 May-2009 Aug-2009 Nov-2009 Feb-2010 May-2010 Aug-2010 Nov-2010 Feb-2011 It is interesting to note that there are more high dividend-yield small companies than large companies: Figure 5: S&P 500 Small Company Yields 120 S&P 500 Small Company Yields 100 # of Companies >8 3 This data is for illustrative purposes only. Indexes are unmanaged, cannot be invested in directly, and are not subject to fees or expenses. Each index will have different historical returns. This illustration is not intended to reflect the result of any investor. Any historical results presented herein should not and cannot be viewed as an indicator of future performance. 4 week returns are observed daily. Yield (%) 2014 Parametric Portfolio Associates LLC. For Informational Purposes Only. Not an Offer to Buy or Sell Securities. 5

6 Figure 6: S&P 500 Large Company Yields 120 S&P 500 Small Company Yields 100 # of Companies >8 Yield (%) Exhibit 5 and 6 show the frequency of dividend paying large and small companies in the S&P 500. Currently the index yield is 2%, so a 1.5x yield-tilted strategy would seek securities with yield greater than 3%. In the S&P 500 there are 71 small companies and only 18 large companies fitting this criterion. The larger high yield opportunity set in smaller companies combined with the objectives of higher yield and broad diversification result in portfolio biased slightly toward smaller companies. IMPLEMENTING A YIELD-TILTED PORTFOLIO Parametric currently manages portfolios with a 1.5x yield tilt to the S&P 500. To construct these dividend-tilted portfolios, we use an optimizer and constrain the portfolio indicated dividend yield to 1.5x the benchmark value. We also constrain the stock-level, industry-level, sector-level and Barra risk factor biases in the portfolios. Exhibits 7 and 8 show the current factor and sector biases of a representative 1.5x dividend yield-tilted portfolio: Figure 7: Current Barra Factor Bias Current Barra Factor Bias 4 For illustrative purposes only. Indexes are unmanaged, cannot be invested in directly, and are not subject to fees or expenses. NONESTU CURRSEN LEVERAGE SIZENONL MOMENTUM VOLTILTY VALUE EARNYLD EARNVAR SIZE TRADEACT GROWTH YIELD Source: Parametric Bias 2014 Parametric Portfolio Associates LLC. For Informational Purposes Only. Not an Offer to Buy or Sell Securities. 6

7 Figure 8: Current Barra Factor Bias Current Barra Sector Bias Telecommunications Utility Basic Materials Industrials Commercial Services Energy Consumer Services Consumer Cyclicals Consumer Noncyclicals Technology Health Transport Financial Bias -5% -4% -3% -2% -1% 0% 1% 2% 3% 4% 5% Source: Parametric % Overweight/Underweight S&P Sector Weight Given these biases, the current predicted tracking error of this portfolio is ~1.5%. SUMMARY Using an optimizer and a risk model we constructed dividend yield-tilted portfolios exhibiting a 1.5x and 2.0x yield compared to the S&P 500. Backtesting over this 12-year test period shows that these portfolios delivered excess yield over the benchmark and that they exhibit certain dynamic systematic biases, resulting in higher tracking error. The tracking error for these strategies ranged from % and % for the 1.5x and 2.0x yield-tilted portfolios. The tracking error varies depending on the degree of the yield tilt and the cross-sectional volatility of returns. Over the test period, we see that the the magnitude of systematic biases varied over time. For the 2.0x yield case, the financial sector bias ranged from +10% to neutral in more recent years. The portfolios also exhibited a small company bias which was relatively stable during the test period. Tilting towards dividends may lead to excess returns, but certainly creates active risk exposures Parametric Portfolio Associates LLC. For Informational Purposes Only. Not an Offer to Buy or Sell Securities. 7

8 Disclosures Parametric Portfolio Associates LLC ( Parametric ), headquartered in Seattle, Washington, is registered as an investment adviser under the United States Securities and Exchange Commission Investment Advisers Act of This material is intended for use with investment professionals. This information is intended solely to report on investment strategies and opportunities identified by Parametric. Opinions and estimates offered constitute our judgment and are subject to change without notice, as are statements of financial market trends, which are based on current market conditions. We believe the information provided here is reliable, but do not warrant its accuracy or completeness. This material is not intended as an offer or solicitation for the purchase or sale of any financial instrument. Past performance is not indicative of future results. The views and strategies described may not be suitable for all investors. Investing entails risks and there can be no assurance that Parametric will achieve profits or avoid incurring losses. Parametric does not provide legal, tax and/or accounting advice or services. Clients should consult with their own tax or legal advisor prior to entering into any transaction or strategy described herein. Charts, graphs and other visual presentations and text information were derived from internal, proprietary, and/ or service vendor technology sources and/or may have been extracted from other firm data bases. As a result, the tabulation of certain reports may not precisely match other published data. Data may have originated from various sources including, but not limited to, Bloomberg, MSCI/Barra, FactSet, and/or other systems and programs. Parametric makes no representation or endorsement concerning the accuracy or propriety of information received from any other third party. This material contains hypothetical, back-tested and/or model performance data, which may not be relied upon for investment decisions. Hypothetical, back-tested and/or model performance results have many inherent limitations, some of which are described below. Hypothetical returns are unaudited, are calculated in U.S. dollars using the internal rate of return, reflect the reinvestment of dividends, income and other distributions, include management fees, but exclude transaction costs, and do not take individual investor taxes into consideration. The deduction of such fees would reduce the results shown. No representation is being made that any client account will or is likely to achieve profits or losses similar to those shown. In fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program. One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. In addition, simulated trading does not involve financial risk, and no simulated trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results. Because there are no actual trading results to compare to the hypothetical, back-tested and/ or model performance results, clients should be particularly wary of placing undue reliance on these hypothetical results. Perspectives, opinions and testing data may change without notice. Detailed back-tested and/or model portfolio data is available upon request. No security, discipline or process is profitable all of the time. There is always the possibility of loss of investment. Benchmark/index information provided is for illustrative purposes only. Indexes are unmanaged and cannot be invested in directly. Deviations from the benchmarks provided herein may include, but are not limited to, factors such as: the purchase of higher risk securities, over/under-weighting specific sectors and countries, limitations in market capitalization, company revenue sources, and/or client restrictions. Parametric s proprietary investment process considers factors such as additional guidelines, restrictions, weightings, allocations, market conditions and other investment characteristics. Thus returns may at times materially differ from the stated benchmark and/or other disciplines provided for comparison. The S&P 500 Index represents the top 500 publicly traded companies in the U.S. Standard & Poor s and S&P are registered trademarks of Standard & Poor s Financial Services LLC ( S&P ), a subsidiary of The McGraw-Hill Companies, Inc. This strategy is not sponsored or endorsed by S&P, and S&P makes no representation regarding the content of this material. Please refer to the specific service provider s website for complete details on all indices. Parametric is located at th Avenue, Suite 3100, Seattle, WA For more information regarding Parametric and its investment strategies, or to request a copy of Parametric s Form ADV, please contact us at or visit our website, Parametric Portfolio Associates LLC. For Informational Purposes Only. Not an Offer to Buy or Sell Securities. 8

TAX-MANAGED SMAS: BETTER THAN ETFS?

TAX-MANAGED SMAS: BETTER THAN ETFS? September 2015 Rey Santodomingo, CFA Director of Investment Strategy Tax Managed Equities Tim Atwill, Ph.D., CFA Head of Investment Strategy TAX-MANAGED SMAS: BETTER THAN ETFS? Exchange traded funds, or

More information

Why Invest in Emerging Markets Small Cap Stocks?

Why Invest in Emerging Markets Small Cap Stocks? March 2015 Tim Atwill, Ph.D., CFA Head of Investment Strategy Mahesh Pritamani, Ph.D., CFA Senior Researcher Why Invest in Emerging Markets Small Cap Stocks? The notion of a small-cap premium (i.e. that

More information

CURRENCY HEDGING IN THE EMERGING MARKETS: ALL PAIN, NO GAIN

CURRENCY HEDGING IN THE EMERGING MARKETS: ALL PAIN, NO GAIN March 2016 Tim Atwill, Ph.D., CFA Head of Investment Strategy Parametric 1918 Eighth Avenue Suite 3100 Seattle, WA 98101 T 206 694 5575 F 206 694 5581 www.parametricportfolio.com CURRENCY HEDGING IN THE

More information

McKinley Capital U.S. Equity Income Prospects for Performance in a Changing Interest Rate Environment

McKinley Capital U.S. Equity Income Prospects for Performance in a Changing Interest Rate Environment March 25, 2014 McKinley Capital U.S. Equity Income Prospects for Performance in a Changing Interest Rate Environment This paper analyzes the historic performance of the McKinley Capital Management, LLC

More information

De-Risking Solutions: Low and Managed Volatility

De-Risking Solutions: Low and Managed Volatility De-Risking Solutions: Low and Managed Volatility NCPERS May 17, 2016 Richard Yasenchak, CFA Senior Vice President, Client Portfolio Manager, INTECH FOR INSTITUTIONAL INVESTOR USE C-0416-1610 12-30-16 AGENDA

More information

Navellier Tactical U.S. Equity Sector Plus

Navellier Tactical U.S. Equity Sector Plus Navellier Tactical U.S. Equity Sector Plus B-063014/NCD-14-846 www.navellier.com Tactical Series 1 U.S. Equity Sector Plus Navellier Tactical U.S. Equity Sector Plus Model a hypothetical example Hypothetical

More information

S&P 500 Low Volatility Index

S&P 500 Low Volatility Index S&P 500 Low Volatility Index Craig J. Lazzara, CFA S&P Indices December 2011 For Financial Professional/Not for Public Distribution There s nothing passive about how you invest. PROPRIETARY. Permission

More information

Overview. October 2013. Investment Portfolios & Products. Approved for public distribution. Investment Advisory Services

Overview. October 2013. Investment Portfolios & Products. Approved for public distribution. Investment Advisory Services Equity Risk Management Strategy Overview Approved for public distribution October 2013 Services Portfolios & Products Equity Risk Management Strategy* Tactical allocation strategy that seeks to adjust

More information

Alternative Sector Rotation Strategy

Alternative Sector Rotation Strategy Alternative Sector Rotation Strategy Alternative Sector Rotation Strategy INVESTMENT OBJECTIVE: Seeks long term growth of capital by investing in alternative asset classes as a way to compliment a traditional

More information

Evolving beyond plain vanilla ETFs

Evolving beyond plain vanilla ETFs SCHWAB CENTER FOR FINANCIAL RESEARCH Journal of Investment Research Evolving beyond plain vanilla ETFs Anthony B. Davidow, CIMA Vice President, Alternative Beta and Asset Allocation Strategist, Schwab

More information

The Coming Volatility

The Coming Volatility The Coming Volatility Lowell Bolken, CFA Vice President and Portfolio Manager Real estate Securities June 18, 2015 www.advantuscapital.com S&P 500 Percent Daily Change in Price September 2008 to April

More information

Active indexing: Being passive-aggressive with ETFs

Active indexing: Being passive-aggressive with ETFs Active indexing: Being passive-aggressive with ETFs Jim Rowley, CFA Senior Investment Analyst Vanguard Investment Strategy Group FOR FINANCIAL ADVISORS ONLY. NOT FOR PUBLIC DISTRIBUTION. Agenda Evolution

More information

Historical Drawdowns & Recoveries of the Salient Risk Parity V15 Index

Historical Drawdowns & Recoveries of the Salient Risk Parity V15 Index Historical Drawdowns & Recoveries of the Salient Risk Parity V15 Index July 1, 2013 Lee Partridge, CFA Rusty Guinn This information is being provided to you by Salient Index Management, LLC. It is intended

More information

TOOLS FOR EFFICIENTLY MANAGING BETA EXPOSURE: Index Funds, Futures, and Exchange-Traded Funds

TOOLS FOR EFFICIENTLY MANAGING BETA EXPOSURE: Index Funds, Futures, and Exchange-Traded Funds WHITE PAPER February 2015 Daniel Wamre, CFA Senior Portfolio Manager Emily Pechacek Investment Specialist TOOLS FOR EFFICIENTLY MANAGING BETA EXPOSURE: Index Funds, Futures, and Exchange-Traded Funds Beta

More information

Exchange Traded Funds A Brief Introduction

Exchange Traded Funds A Brief Introduction Exchange Traded Funds A Brief Introduction spdrs.com What You Need to Know about ETFs ETF Basics Potential Benefits of ETFs ETFs versus Mutual Funds The Role of ETFs in Your Portfolio Our Next Steps Frequently

More information

Best Styles: Harvesting Risk Premium in Equity Investing

Best Styles: Harvesting Risk Premium in Equity Investing Strategy Best Styles: Harvesting Risk Premium in Equity Investing Harvesting risk premiums is a common investment strategy in fixed income or foreign exchange investing. In equity investing it is still

More information

PARAMETRIC DELTASHIFT: USING CALL WRITING TO EXPLOIT VOLATILITY

PARAMETRIC DELTASHIFT: USING CALL WRITING TO EXPLOIT VOLATILITY May 2015 Brad Berggren Managing Director - & Chief Investment Officer Westport Investment Center PARAMETRIC DELTASHIFT: USING CALL WRITING TO EXPLOIT VOLATILITY Parametric s DeltaShift option-overlay program

More information

Defensive equity. A defensive strategy to Canadian equity investing

Defensive equity. A defensive strategy to Canadian equity investing Defensive equity A defensive strategy to Canadian equity investing Adam Hornung, MBA, CFA, Institutional Investment Strategist EXECUTIVE SUMMARY: Over the last several years, academic studies have shown

More information

Registered Investment Advisor. 595 E. Colorado Blvd., Suite 518 Pasadena, CA 91101 (626) 535-0630 www.dorseywrightmm.com

Registered Investment Advisor. 595 E. Colorado Blvd., Suite 518 Pasadena, CA 91101 (626) 535-0630 www.dorseywrightmm.com Registered Investment Advisor 595 E. Colorado Blvd., Suite 518 Pasadena, CA 91101 (626) 535-0630 www.dorseywrightmm.com Process We use Relative Strength to identify Fast stocks and Slow stocks Like building

More information

Seek Opportunity in Lower Starting Valuations While Avoiding Crowded Trades

Seek Opportunity in Lower Starting Valuations While Avoiding Crowded Trades Seek Opportunity in Lower Starting Valuations While Avoiding Crowded Trades Developed Market (DM) Valuations Remain Attractive Developed Market (ex US) valuations remain attractive relative to history

More information

EVIL TWINS: COMMODITY PRICES AND THE STRENGTH OF THE U.S. DOLLAR

EVIL TWINS: COMMODITY PRICES AND THE STRENGTH OF THE U.S. DOLLAR January 2016 Tim Atwill, Ph.D., CFA Head of Investment Strategy Seattle Investment Center Greg Liebl, CFA Portfolio Manager Minneapolis Investment Center EVIL TWINS: COMMODITY PRICES AND THE STRENGTH OF

More information

An Economic Perspective on Dividends

An Economic Perspective on Dividends 2016 An Economic Perspective on Dividends Table of Contents Corporate Outlook... 1 2 Market Environment... 3 4 Payout Ratio... 5 Long-term View... 6 8 Global View... 9 12 Active Management... 13 Risk Considerations

More information

HIGH DIVIDEND STOCKS IN RISING INTEREST RATE ENVIRONMENTS. September 2015

HIGH DIVIDEND STOCKS IN RISING INTEREST RATE ENVIRONMENTS. September 2015 HIGH DIVIDEND STOCKS IN RISING INTEREST RATE ENVIRONMENTS September 2015 Disclosure: This research is provided for educational purposes only and is not intended to provide investment or tax advice. All

More information

Are Bonds Going to Outperform Stocks Over the Long Run? Not Likely.

Are Bonds Going to Outperform Stocks Over the Long Run? Not Likely. July 2009 Page 1 Are Bonds Going to Outperform Stocks Over the Long Run? Not Likely. Given the poor performance of stocks over the past year and the past decade, there has been ample discussion about the

More information

AN INSIDE LOOK AT S&P MILA 40

AN INSIDE LOOK AT S&P MILA 40 DID YOU KNOW? This article originally appeared in the Summer 2013 edition of INSIGHTS, a quarterly publication from S&P DJI, and summarizes key aspects of the S&P MILA 40 Index originally featured in Benchmarking

More information

A Case for Dividend Investing

A Case for Dividend Investing A Case for Dividend Investing Many investors may be surprised to learn that dividends paid by companies have accounted for 45% of the total return for Australian equities over the last 10 years 1. Buying

More information

ishares MINIMUM VOLATILITY SUITE SEEKING TO WEATHER THE MARKET S UP AND DOWNS

ishares MINIMUM VOLATILITY SUITE SEEKING TO WEATHER THE MARKET S UP AND DOWNS ishares MINIMUM VOLATILITY SUITE SEEKING TO WEATHER THE MARKET S UP AND DOWNS Table of Contents 1 Introducing the ishares Minimum Volatility Suite... 02 2 Why Consider the ishares Minimum Volatility Suite?...

More information

Definitions of Earnings Quality Factors

Definitions of Earnings Quality Factors Definitions of Earnings Quality Factors 1. Total Accruals to Total Assets: A company s reported earnings are made up of cash received and changes to accrual accounts and thus a company s earnings will

More information

GUIDE TO RESPONSIBLE INVESTING STRATEGIES

GUIDE TO RESPONSIBLE INVESTING STRATEGIES 2016 GUIDE TO RESPONSIBLE INVESTING STRATEGIES CATHOLIC VALUES SHARIAH COMPLIANT FOSSIL FREE ESG TILT Parametric offers a series of index-based responsible investing strategies: ESG, Fossil Free, Catholic

More information

THE U.S. INFRASTRUCTURE EFFECT INTERVIEW BY CAROL CAMERON

THE U.S. INFRASTRUCTURE EFFECT INTERVIEW BY CAROL CAMERON This interview originally appeared in the Summer 24 edition of InSIGHTS, a quarterly publication from S&P Dow Jones Indices. THE U.S. INFRASTRUCTURE EFFECT INTERVIEW BY CAROL CAMERON Every four years,

More information

Investment Insight Diversified Factor Premia Edward Qian PhD, CFA, Bryan Belton, CFA, and Kun Yang PhD, CFA PanAgora Asset Management August 2013

Investment Insight Diversified Factor Premia Edward Qian PhD, CFA, Bryan Belton, CFA, and Kun Yang PhD, CFA PanAgora Asset Management August 2013 Investment Insight Diversified Factor Premia Edward Qian PhD, CFA, Bryan Belton, CFA, and Kun Yang PhD, CFA PanAgora Asset Management August 2013 Modern Portfolio Theory suggests that an investor s return

More information

Market Linked Certificates of Deposit

Market Linked Certificates of Deposit Market Linked Certificates of Deposit This material was prepared by Wells Fargo Securities, LLC, a registered brokerdealer and separate non-bank affiliate of Wells Fargo & Company. This material is not

More information

Changing the Conversation: Goals-Based Investing

Changing the Conversation: Goals-Based Investing Changing the Conversation: Goals-Based Investing JOHN E. COYNE, III, Vice Chairman, Brinker Capital Brinker Capital, a Registered Investment Advisor.. For financial professional use only. Brinker Capital:

More information

J.P. Morgan Equity Risk Premium Multi-Factor (Long Only) Index Series

J.P. Morgan Equity Risk Premium Multi-Factor (Long Only) Index Series J.P. Morgan Equity Risk Premium Multi-Factor (Long Only) Index Series QUESTIONS AND ANSWERS These Questions and Answers highlight selected information to help you better understand: 1. JPERPLMF: J.P. Morgan

More information

MSCI BUYBACK YIELD INDEXES METHODOLOGY

MSCI BUYBACK YIELD INDEXES METHODOLOGY INDEX METHODOLOGY MSCI BUYBACK YIELD INDEXES METHODOLOGY Mrig, Lokesh June 2015 JUNE 2015 CONTENTS 1 Introduction... 3 2 Index Construction Methodology... 4 2.1 Applicable Universe... 4 2.2 Determining

More information

Mechanics of Currency Hedged Indices

Mechanics of Currency Hedged Indices EQUITY 101 Global Mechanics of Currency Hedged Indices CONTRIBUTORS Sabrina Salemi Manager, Strategy and Global Equity Indices sabrina.salemi@spdji.com Philip Murphy, CFA Vice President, North American

More information

A Tracking Error Primer

A Tracking Error Primer December 2013 Brandon Thomas Chief Investment Officer Dale Rottschafer, CFA Vice President Senior Portfolio Manager Janis Zvingelis, PhD Director of Quantitative Research Understanding the dimensions of

More information

Implementing Point and Figure RS Signals

Implementing Point and Figure RS Signals Dorsey Wright Money Management 790 E. Colorado Blvd, Suite 808 Pasadena, CA 91101 626-535-0630 John Lewis, CMT August, 2014 Implementing Point and Figure RS Signals Relative Strength, also known as Momentum,

More information

Navellier Covered Call Portfolio

Navellier Covered Call Portfolio Navellier Covered Call Portfolio Process and results for the quarter ending December 31, 2014 Please see important disclosures at the end of the presentation NCD 15 121 NAVELLIER.COM 800.887.8671 Firm

More information

Russell Low Volatility Indexes: Helping moderate life s ups and downs

Russell Low Volatility Indexes: Helping moderate life s ups and downs Russell Indexes Russell Low Volatility Indexes: Helping moderate life s ups and downs By: David Koenig, CFA, FRM, Investment Strategist February 2013 Key benefits: Potential downside protection and upside

More information

J.P. Morgan Structured Investments

J.P. Morgan Structured Investments October 2010 J.P. Morgan Structured Investments THE S&P 500 RISK CONTROL 10% EXCESS RETURN INDEX STRATEGY GUIDE THE S&P 500 RISK CONTROL 10% EXCESS RETURN INDEX STRATEGY GUIDE The S&P 500 Risk Control

More information

Value vs. Glamour: A Study of the Indices

Value vs. Glamour: A Study of the Indices Value vs. Glamour: A Study of the Indices By examining returns for U.S. stocks from 1968-2012 and stocks outside of the United States from 1980-2012, the Brandes Institute s Value vs. Glamour: A Global

More information

State Street Target Retirement Funds - Class K

State Street Target Retirement Funds - Class K The State Street Target Retirement Funds - Class K (the "Funds") represent units of ownership in the State Street Target Retirement Non-Lending Series Funds. The Funds seek to offer complete, low cost

More information

INTRODUCING TRACKING ERROR

INTRODUCING TRACKING ERROR Engineered Portfolio Solutions RESEARCH BRIEF Updated May 04 David Stein, Ph.D. Chief Investment Officer INTRODUCING TRACKING ERROR As an integral aspect of portfolio management, Parametric controls a

More information

Lake Hill Crude Oil Market Update

Lake Hill Crude Oil Market Update Lake Hill Crude Oil Market Update Oil markets are experiencing forced hedging, unwinds and de-risking by both producers and consumers, exacerbating the recent spike in volatility. This distressed trading

More information

Modernizing Portfolio Theory & The Liquid Endowment UMA

Modernizing Portfolio Theory & The Liquid Endowment UMA Modernizing Portfolio Theory & The Liquid Endowment UMA Michael Featherman, CFA Director of Portfolio Strategies November 2012 Modern Portfolio Theory Definition and Key Concept Modern Portfolio Theory

More information

Low-Volatility Investing for Retirement

Low-Volatility Investing for Retirement Low-Volatility Investing for Retirement MODERATOR Robert Laura President SYNERGOS Financial Group PANELISTS Frank Barbera Executive VP & Co-Portfolio Manager Company Paul Frank Lead Portfolio Manager Stadion

More information

Active U.S. Equity Management THE T. ROWE PRICE APPROACH

Active U.S. Equity Management THE T. ROWE PRICE APPROACH PRICE PERSPECTIVE October 2015 Active U.S. Equity Management THE T. ROWE PRICE APPROACH In-depth analysis and insights to inform your decision-making. EXECUTIVE SUMMARY T. Rowe Price believes that skilled

More information

Currency Risk, In Context. Seafarer Capital Partners, LLC. March 2015

Currency Risk, In Context. Seafarer Capital Partners, LLC. March 2015 Currency Risk, In Context Seafarer Capital Partners, LLC March 2015 Disclosures ALPS Distributors, Inc. is the distributor for the Seafarer Overseas Growth and Income Fund. This material must be accompanied

More information

MSCI CHINA AND USA INTERNET TOP 50 EQUAL WEIGHTED INDEX

MSCI CHINA AND USA INTERNET TOP 50 EQUAL WEIGHTED INDEX INDEX METHODOLOGY MSCI CHINA AND USA INTERNET TOP 50 EQUAL WEIGHTED INDEX September 2014 SEPTEMBER 2014 CONTENTS 1 Introduction... 3 2 Constructing the MSCI China and USA Internet Top 50 Equal Weighted

More information

11.3% -1.5% Year-to-Date 1-Year 3-Year 5-Year Since WT Index Inception

11.3% -1.5% Year-to-Date 1-Year 3-Year 5-Year Since WT Index Inception WisdomTree ETFs WISDOMTREE HIGH DIVIDEND FUND DHS Nearly 10 years ago, WisdomTree launched its first dividend-focused strategies based on our extensive research regarding the importance of focusing on

More information

High Yield Fixed Income Credit Outlook

High Yield Fixed Income Credit Outlook High Yield Fixed Income Credit Outlook Brendan White, CFA Portfolio Manager, Touchstone High Yield Fund Fort Washington Investment Advisors, Inc. September 28, 2011 The opinions expressed are current as

More information

ML Strategic Balanced Index. Dynamically Blending Equity and Fixed Income Indices to Help Stabilize Returns

ML Strategic Balanced Index. Dynamically Blending Equity and Fixed Income Indices to Help Stabilize Returns ML Strategic Balanced Index Dynamically Blending Equity and Fixed Income Indices to Help Stabilize Returns What Is the ML Strategic Balanced Index? The ML Strategic Balanced Index uses a rules-based approach

More information

J.P. Morgan Structured Investments

J.P. Morgan Structured Investments July 2012 J.P. Morgan Structured Investments The JPMorgan ETF Efficiente 5 Index Strategy Guide Important Information The information contained in this document is for discussion purposes only. Any information

More information

MSCI Dividend Masters Indexes Methodology

MSCI Dividend Masters Indexes Methodology Index Methodology MSCI es Methodology July 2014 msci.com Contents 1 Introduction... 3 2 Index Construction Methodology... 3 Section 2.1: Applicable Universe... 3 Section 2.2: Security Selection... 3 Section

More information

Understanding the JPMorgan ETF Efficiente SM 5 Index

Understanding the JPMorgan ETF Efficiente SM 5 Index Fact Sheet Understanding the JPMorgan ETF Efficiente SM 5 Index FAM-1197 3/15 Important Information Disclaimers This document contains important information prepared by Symetra Life Insurance Company (

More information

Examining Share Repurchasing and the S&P Buyback Indices in the U.S. Market

Examining Share Repurchasing and the S&P Buyback Indices in the U.S. Market April 2016 CONTRIBUTOR Liyu Zeng, CFA Director Global Research & Design liyu.zeng@spdji.com Examining Share Repurchasing and the S&P Buyback Indices in the U.S. Market Since 1997, share repurchases have

More information

ALPS Equal Sector Factor Series ALPS SECTOR LEADERS ETF. www.alpsfunds.com 866.759.5679

ALPS Equal Sector Factor Series ALPS SECTOR LEADERS ETF. www.alpsfunds.com 866.759.5679 ALPS Equal Sector Factor Series ALPS SECTOR LEADERS ETF www.alpsfunds.com 866.759.5679 Why and Growth? Tilting exposure towards high-quality companies has historically produced higher returns on an absolute

More information

A Leveraged Portfolio Management Approach Applying The CBOE S&P 500 PutWrite Index

A Leveraged Portfolio Management Approach Applying The CBOE S&P 500 PutWrite Index A Leveraged Portfolio Management Approach Applying The CBOE S&P 500 PutWrite Index The CBOE S&P 500 PutWrite Index ( SM Index) is an index that depicts a systematic cash secured put selling investment

More information

SPDR S&P Software & Services ETF

SPDR S&P Software & Services ETF SPDR S&P Software & Services ETF Summary Prospectus-October 31, 2015 XSW (NYSE Ticker) Before you invest in the SPDR S&P Software & Services ETF (the Fund ), you may want to review the Fund's prospectus

More information

Styles vs. Factors: What they are, how they re similar/ different and how they fit within portfolios

Styles vs. Factors: What they are, how they re similar/ different and how they fit within portfolios INDEX INSIGHTS Styles vs. Factors: What they are, how they re similar/ different and how they fit within portfolios By: David A. Koenig, CFA, FRM, Investment Strategist JUNE 2014 Key points: Traditional

More information

Goldman Sachs ActiveBeta Equity Indexes Methodology

Goldman Sachs ActiveBeta Equity Indexes Methodology GOLDMAN SACHS ASSET MANAGEMENT Goldman Sachs ActiveBeta Equity Indexes Methodology Last updated 14 August 2015 Table of Contents I. Introduction... 1 A. Index Overview... 1 B. Index Details... 1 II. Index

More information

MSCI AUSTRALIA SELECT HIGH DIVIDEND YIELD INDEX

MSCI AUSTRALIA SELECT HIGH DIVIDEND YIELD INDEX INDEX METHODOLOGY MSCI AUSTRALIA SELECT HIGH DIVIDEND YIELD INDEX March 2014 MARCH 2014 CONTENTS 1 Introduction... 3 2 Constructing the MSCI Australia Select High Dividend Yield Index... 4 3 Maintaining

More information

MSCI DIVERSIFIED MULTIPLE-FACTOR INDEXES METHODOLOGY

MSCI DIVERSIFIED MULTIPLE-FACTOR INDEXES METHODOLOGY INDEX METHODOLOGY MSCI DIVERSIFIED MULTIPLE-FACTOR INDEXES METHODOLOGY October 2015 APRIL 2015 CONTENTS 1 Introduction... 3 2 Index Construction Methodology... 4 2.1 Applicable Universe... 4 2.2 Constituent

More information

Income dividend distributions and distribution yields

Income dividend distributions and distribution yields Income dividend distributions and distribution yields Why do they vary from period to period and fund to fund? JULY 2015 Investors often rely on income dividend distributions from mutual funds to satisfy

More information

Porter, White & Company

Porter, White & Company Porter, White & Company Optimizing the Fixed Income Component of a Portfolio White Paper, September 2009, Number IM 17.2 In the White Paper, Comparison of Fixed Income Fund Performance, we show that a

More information

dividend-focused investing

dividend-focused investing Topics in... dividend-focused investing quality, dividends and portfolio application Using a quality dividend focus strategy to enhance outcomes Portfolios created through the proprietary Quality Dividend

More information

When rates rise, do stocks fall?

When rates rise, do stocks fall? PRACTICE NOTE When rates rise, do stocks fall? The performance of equities and other return-seeking assets in rising and falling interest rate scenarios, January 1970 through September 2013 William Madden,

More information

Montag & Caldwell Fixed Income Strategy

Montag & Caldwell Fixed Income Strategy Montag & Caldwell Fixed Income Strategy Montag & Caldwell utilizes a total return approach to fixed income portfolio management. Both sector weightings and weighted average duration targets are actively

More information

SPDR S&P 400 Mid Cap Value ETF

SPDR S&P 400 Mid Cap Value ETF SPDR S&P 400 Mid Cap Value ETF Summary Prospectus-October 31, 2015 Before you invest in the SPDR S&P 400 Mid Cap Value ETF (the Fund ), you may want to review the Fund's prospectus and statement of additional

More information

Intelligent Systematic Value Investing

Intelligent Systematic Value Investing Intelligent Systematic Value Investing 2 ND Quarter 2015 Overview of the Markets Contents: A NEWSLETTER FOR OUR CLIENTS Investment Overview Required Disclosures GIPS Compliant Performance Reports Global

More information

The Role of Alternative Investments in a Diversified Investment Portfolio

The Role of Alternative Investments in a Diversified Investment Portfolio The Role of Alternative Investments in a Diversified Investment Portfolio By Baird Private Wealth Management Introduction Traditional Investments Domestic Equity International Equity Taxable Fixed Income

More information

The Case for a Custom Fixed Income Benchmark. ssga.com/definedcontribution REFINING THE AGG

The Case for a Custom Fixed Income Benchmark. ssga.com/definedcontribution REFINING THE AGG The Case for a Custom Fixed Income Benchmark ssga.com/definedcontribution REFINING THE AGG For decades, the Barclays US Aggregate Index (the Agg ) has been a popular benchmark for core bond investment

More information

INVESTMENT INSIGHTS. All-access, Flexible Approach to Emerging Markets

INVESTMENT INSIGHTS. All-access, Flexible Approach to Emerging Markets INVESTMENT INSIGHTS All-access, Flexible Approach to Emerging Markets Second Quarter 2015 1 1 Please note that the information herein represents the opinion of the portfolio manager and these opinions

More information

INTERNATIONAL SMALL CAP STOCK INVESTING

INTERNATIONAL SMALL CAP STOCK INVESTING INTERNATIONAL SMALL CAP STOCK INVESTING J U N E 3 0, 2 0 1 4 Copyright 2014 by Lord, Abbett & Co. LLC. All rights reserved. Lord Abbett mutual fund shares are distributed by Lord Abbett Distributor LLC.

More information

Prospectus Socially Responsible Funds

Prospectus Socially Responsible Funds Prospectus Socially Responsible Funds Calvert Social Investment Fund (CSIF) Balanced Portfolio Equity Portfolio Enhanced Equity Portfolio Bond Portfolio Money Market Portfolio Calvert Social Index Fund

More information

Measuring Volatility in Australia

Measuring Volatility in Australia CONTRIBUTOR Berlinda Liu Director Global Research & Design berlinda_liu@spdji.com How is VIX computed? Select first and second month OTM puts and OTM calls Compute implied volatility for each maturity

More information

Navigator Fixed Income Total Return

Navigator Fixed Income Total Return CCM-15-08-1 As of 8/31/2015 Navigator Fixed Income Total Return Navigate Fixed Income with a Tactical Approach With yields hovering at historic lows, bond portfolios could decline if interest rates rise.

More information

NorthCoast Investment Advisory Team 203.532.7000 info@northcoastam.com

NorthCoast Investment Advisory Team 203.532.7000 info@northcoastam.com NorthCoast Investment Advisory Team 203.532.7000 info@northcoastam.com NORTHCOAST ASSET MANAGEMENT An established leader in the field of tactical investment management, specializing in quantitative research

More information

The New GICS Framework: The Impact of Adding Real Estate as the 11th Equity Sector

The New GICS Framework: The Impact of Adding Real Estate as the 11th Equity Sector JUNE 2016 The New GICS Framework: The Impact of Adding Real Estate as the 11th Equity Sector Denise Chisholm l Sector Strategist Michael Escovitz l Quantitative Analyst Matt Goulet, CFA l VP, Sector and

More information

May 1, 2015 as amended June 1, 2015

May 1, 2015 as amended June 1, 2015 INSTITUTIONAL INVESTOR May 1, 2015 as amended June 1, 2015 DATE TARGET FUNDS MyDestination 2005 Fund MyDestination 2015 Fund MyDestination 2025 Fund MyDestination 2035 Fund MyDestination 2045 Fund MyDestination

More information

Looking Down Under: An Approach to Global Equity Indexing in Australia

Looking Down Under: An Approach to Global Equity Indexing in Australia January 2015 CONTRIBUTOR Michael Orzano, CFA Director, Global Equity Indices michael.orzano@spdji.com Looking Down Under: An Approach to Global Equity Indexing in Australia The benefits of incorporating

More information

A Case for Index Fund Portfolios A study of strategy, probability and payout

A Case for Index Fund Portfolios A study of strategy, probability and payout A Case for Index Fund Portfolios A study of strategy, probability and payout Richard A. Ferri, CFA, Portfolio Solutions Alex C. Benke, CFP, Betterment The Shift to Indexing ICI 2014 Factbook Scope of the

More information

Nuveen Real Estate Securities Fund

Nuveen Real Estate Securities Fund Nuveen Real Estate Securities Fund Summary Prospectus April 30, 2015 Ticker: Class A FREAX, Class C FRLCX, Class R3 FRSSX, Class R6 FREGX, Class I FARCX This summary prospectus is designed to provide investors

More information

Considering Capex Efficiency

Considering Capex Efficiency EQUITY 101 U.S. Considering Capex Efficiency CONTRIBUTOR Kelly Tang, CFA Director, Global Research & Design kelly.tang@spdji.com Financial theory states that if management cannot find enough valuecreating

More information

Recent increases in tax rates have

Recent increases in tax rates have TAX-EFFICIENT INVESTING Tactics and Strategies Paul Bouchey, CFA, Rey Santodomingo, CFA, and Jennifer Sireklove, CFA Recent increases in tax rates have increased the importance of taxefficient investing.

More information

Concentrated Stock Overlay INCREMENTAL INCOME FROM CONCENTRATED WEALTH

Concentrated Stock Overlay INCREMENTAL INCOME FROM CONCENTRATED WEALTH Concentrated Stock Overlay INCREMENTAL INCOME FROM CONCENTRATED WEALTH INTRODUCING RAMPART CONCENTRATED STOCK OVERLAY STRATEGY When a portfolio includes a concentrated equity position, the risk created

More information

THE DURSO WEALTH MANAGEMENT GROUP S DISCRETIONARY PORTFOLIO MANAGEMENT INVESTMENT STRATEGIES

THE DURSO WEALTH MANAGEMENT GROUP S DISCRETIONARY PORTFOLIO MANAGEMENT INVESTMENT STRATEGIES Morgan Stanley 20 Linden Place Red Bank, NJ 07701 (732) 936-3400 THE DURSO WEALTH MANAGEMENT GROUP AT MORGAN STANLEY THE DURSO WEALTH MANAGEMENT GROUP S DISCRETIONARY PORTFOLIO MANAGEMENT INVESTMENT STRATEGIES

More information

Building and Interpreting Custom Investment Benchmarks

Building and Interpreting Custom Investment Benchmarks Building and Interpreting Custom Investment Benchmarks A White Paper by Manning & Napier www.manning-napier.com Unless otherwise noted, all fi gures are based in USD. 1 Introduction From simple beginnings,

More information

Volatility: A Brief Overview

Volatility: A Brief Overview The Benefits of Systematically Selling Volatility July 2014 By Jeremy Berman Justin Frankel Co-Portfolio Managers of the RiverPark Structural Alpha Fund Abstract: A strategy of systematically selling volatility

More information

Making Sense of Market Volatility: Retirement Planning Strategies for the Everyday Investor. October, 2008

Making Sense of Market Volatility: Retirement Planning Strategies for the Everyday Investor. October, 2008 Making Sense of Market Volatility: Retirement Planning Strategies for the Everyday Investor October, 2008 1 Market Ups and Downs Recent news is full of anxiety-causing developments: Credit crunch Bank

More information

CURRENCY HEDGED INDEXES

CURRENCY HEDGED INDEXES INVESTOR INSIGHT CURRENCY HEDGED INDEXES Why Do They Matter? March 2015 CURRENCY HEDGED INDEXES Currency exposure has substantially impacted the performance and the volatility of global equity indexes

More information

Does trend following work on stocks? Part II

Does trend following work on stocks? Part II Does trend following work on stocks? Part II Trend following involves selling or avoiding assets that are declining in value, buying or holding assets that are rising in value, and actively managing the

More information

Today s bond market is riskier and more volatile than in several generations. As

Today s bond market is riskier and more volatile than in several generations. As Fixed Income Approach 2014 Volume 1 Executive Summary Today s bond market is riskier and more volatile than in several generations. As interest rates rise so does the anxiety of fixed income investors

More information

Diversify your global asset allocation approach by focusing on income and income growth.

Diversify your global asset allocation approach by focusing on income and income growth. Diversify your global asset allocation approach by focusing on income and income growth. Institutional investors have embraced global asset allocation (GAA) strategies as a way to pursue returns with low

More information

From liability to volatility driven investing

From liability to volatility driven investing Asset Management White Paper November 2015 From liability to volatility driven investing A practical way to improve LDI outcomes for pension plans. by Neil Olympio, CFA, FIA, CMT As more and more corporate

More information

Navigating Rising Rates with Active, Multi-Sector Fixed Income Management

Navigating Rising Rates with Active, Multi-Sector Fixed Income Management Navigating Rising Rates with Active, Multi-Sector Fixed Income Management With bond yields near 6-year lows and expected to rise, U.S. core bond investors are increasingly questioning how to mitigate interest

More information

Exchange Traded Funds A Brief Introduction

Exchange Traded Funds A Brief Introduction Exchange Traded Funds A Brief Introduction 1 What You Need to Know about ETFs 2 ETF Basics Benefits of ETFs ETFs vs. Mutual Funds The Role of ETFs in Your Portfolio Our Next Steps Appendix: FAQs 3 ETF

More information

About Our Private Investment Benchmarks

About Our Private Investment Benchmarks 1. What is a benchmark? FREQUENTLY ASKED QUESTIONS A benchmark is a standard of measurement for investment performance. One of the more common types of benchmarks is an index which, in this case, measures

More information

MML SERIES INVESTMENT FUND

MML SERIES INVESTMENT FUND This Prospectus describes the following Funds. MML SERIES INVESTMENT FUND MML Money Market Fund seeks to maximize current income, preserve capital and maintain liquidity by investing in money market instruments.

More information