
Equity Market Stress Monitor
The Equity Market Stress Monitor may be used to gain insight to market risk regimes, contextualize beta risk management and complement investors’ conventional risk metrics.
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Details | Yields | Morningstar (As of 01/31/19) | ||||||
---|---|---|---|---|---|---|---|---|
12/15/11
Inception Date
$265.78M
Total Net Assets
(As of 01/31/19)
(As of fiscal year end 06/30/18)
Morningstar Fee Level
(As of 01/31/19)
Fee Level Group World Stock No Load (out of 204 funds) ![]() |
3.48%
Distribution Yield at NAV
(As of 12/31/18)
Monthly
Distribution Frequency
Performance
(As of 02/14/19)
0.07%
1 Day Return %
5.49%
YTD Return
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Category
World Large Stock
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This long-only, global developed-markets equity fund seeks smaller drawdowns and a smoother ride over time by balancing downside mitigation with upside participation for any market environment. The Fund employs a systematic “dynamic beta” investment approach designed to adjust to changing risk environments, seeking up to 45% less volatility versus the MSCI World High Dividend Yield IndexSM.
Past performance is no guarantee of future results.
Inception: Dec 15, 2011 | 3M | YTD | 1YR | 3YR | 5YR | 10YR | Since Inception |
---|---|---|---|---|---|---|---|
Global Income Managed Volatility Fund – N Shares | -3.96% | -2.64% | -2.64% | 5.87% | 4.57% | - | 7.94% |
MSCI World Index℠ | -13.42% | -8.71% | -8.71% | 6.30% | 4.56% | 9.67% | 9.53% |
MSCI World High Dividend Yield Index | -8.71% | -7.56% | -7.56% | 6.07% | 3.43% | 9.01% | 7.66% |
Inception: Dec 15, 2011 | 3M | YTD | 1YR | 3YR | 5YR | 10YR | Since Inception |
---|---|---|---|---|---|---|---|
Global Income Managed Volatility Fund – N Shares | 2.95% | 4.32% | 0.79% | 7.41% | 6.32% | - | 8.48% |
MSCI World Index℠ | 0.72% | 7.78% | -6.54% | 11.26% | 6.94% | 11.51% | 10.56% |
MSCI World High Dividend Yield Index | 1.10% | 5.67% | -5.82% | 9.33% | 5.42% | 11.24% | 8.40% |
1 YR | 3 YR | 5 YR | 10 YR | SINCE INCEPTION | |
---|---|---|---|---|---|
Percentile Ranking (%) | 5 | 42 | 23 | - | 54 |
World Large Stock Category Rank/Count |
51/929 | 298/795 | 177/730 | -/- | 331/609 |
1 YR | 3 YR | 5 YR | 10 YR | SINCE INCEPTION | |
---|---|---|---|---|---|
Percentile Ranking (%) | 1 | 86 | 39 | - | 61 |
World Large Stock Category Rank/Count |
12/933 | 670/798 | 281/735 | -/- | 380/615 |
RISK / REWARD
|
3 YEAR | 5 YEAR |
---|---|---|
Information Ratio | -0.33 | 0.22 |
Alpha | 1.33 | 3.15 |
Tracking Error | 5.18 | 6.09 |
Beta | 0.67 | 0.65 |
R-Squared (%) | 68.94 | 63.57 |
UP AND DOWN MARKET CAPTURE (%)
|
3 YEAR | 5 YEAR |
---|---|---|
Up Capture Ratio | 75.63 | 75.37 |
Down Capture Ratio | 72.05 | 55.79 |
STANDARD DEVIATION |
3 YEAR | 5 YEAR |
---|---|---|
Global Income Managed Volatility Fund | 7.53 | 8.24 |
MSCI World High Dividend Yield Index | 9.29 | 10.09 |
SHARPE RATIO |
3 YEAR | 5 YEAR |
---|---|---|
Global Income Managed Volatility Fund | 0.87 | 0.74 |
MSCI World High Dividend Yield Index | 0.89 | 0.47 |
ANNUAL FEES & EXPENSES(As of Fiscal Year End, 06/30/18) |
CLASS N SHARES |
---|---|
Management Fees | 0.55% |
12b-1 Fees | - |
Other Expenses | 0.15% |
Total Gross Expenses | 0.70% |
Waivers | -0.20% |
Total Net Expenses | 0.50% |
Index represents the MSCI World High Dividend Yield Index℠.
TOP HOLDINGS(As of 01/31/2019) |
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CLP Holdings Ltd | |
CME Group Inc | |
Consolidated Edison Inc | |
Daito Trust Construction Co Ltd | |
Darden Restaurants Inc | |
Hang Seng Bank Ltd | |
Kimberly-Clark Corp | |
Lockheed Martin Corp | |
Power Assets Holdings Ltd | |
Valero Energy Corp | |
TOTAL | 36.66 |
PORTFOLIO CHARACTERISTICS(As of 01/31/19) |
FUND | INDEX |
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DEVELOPED VS. EMERGING MARKET(As of 01/31/19) |
% OF FUND | % OF INDEX |
---|---|---|
U.S. | 55.84 | 49.64 |
Non-U.S. Developed | 43.01 | 50.36 |
Cash & Equivalents | 1.15 | - |
SECTOR ALLOCATION(As of 01/31/19) |
% OF FUND | % OF INDEX |
---|---|---|
Utilities | 30.14 | 7.20 |
Consumer Discretionary | 13.15 | 6.70 |
Communication Services | 11.54 | 9.68 |
Industrials | 10.65 | 9.82 |
Consumer Staples | 10.00 | 17.38 |
Financials | 8.89 | 11.81 |
Real Estate | 5.63 | 1.08 |
Health Care | 4.57 | 18.94 |
Energy | 3.07 | 7.69 |
Information Technology | 1.18 | 5.51 |
Materials | 0.03 | 4.19 |
Cash & Equivalents | 1.15 | - |
MARKET CAPITALIZATION RANGE OF EQUITY HOLDINGS(As of 01/31/2019) |
% OF FUND | % OF INDEX |
---|---|---|
Over $100B | 7.05 | 40.48 |
$25B to $100B | 41.30 | 40.21 |
$15B to $25B | 15.33 | 7.65 |
$2B to $15B | 35.17 | 11.61 |
REGIONAL ALLOCATION(As of 01/31/19) |
% OF FUND | % OF INDEX |
---|---|---|
North America | 60.50 | 54.87 |
Asia/Pacific Ex Japan | 21.04 | 5.57 |
Japan | 14.26 | 5.62 |
Europe | 3.05 | 33.82 |
Cash & Equivalents | 1.15 | - |