Total Return

The strategy seeks to deliver a more efficient risk/return profile than a traditionally balanced global portfolio through dynamic risk allocation and drawdown control.*

Strategy highlights

Inception date

June 30, 2006

Benchmark

ICE BofA U.S. Dollar 1-month Constant Maturity
60% MSCI World (ND)/ 40% FTSE WGBI (USD)

Total strategy assets

$8.6M

(as of December 2022)

Investment vehicles

  • Separate account
  • Institutional commingled

We believe the dynamic risk allocation process leads to a more efficient risk/return profile

  • Actively allocates across four major sources of market risk (equity, credit, rate, and inflation) vs. static risk parity
  • Three key components of our investment process are building a strategic policy portfolio, dynamically allocating risk, and actively executing investment strategies
  • Can potentially be used as an effective complement to static risk parity strategies and is designed to be a core portfolio holding

 

 

*No assurance can be given that the investment objective will be achieved or that an investor will receive a return of all or part of his or her initial investment. Actual results could be materially different from the stated goals. Investors should carefully consider the risks involved before deciding to invest. As with any investment, there is a potential for profit as well as the possibility of loss.

Assets may include accounts that are not reflected in the composite.

Investment team

Performance

Annualized composite performance (%) as of December 31, 2022

  MTD QTD 1 Year 3 Years 5 Years 10 Years
Total Return (gross) -0.82% 5.15% -18.82% -5.92% -2.69% 1.43%
Total Return (net) -0.88% 4.95% -19.43% -6.63% -3.42% 0.58%
ICE BofA U.S. Dollar 1-month Constant Maturity 0.35% 0.88% 1.58% 0.78% 1.33% 0.87%
60% MSCI World (ND)/ 40% FTSE WGBI (USD) -2.62% 7.45% -17.97% 0.91% 2.92% 4.95%

Calendar-year composite performance (%) as of December 31, 2022

  2022 2021 2020 2019 2018 2017 2016 2015 2014 2013
Total Return (gross) -18.82% -0.21% 2.78% 16.51% -10.03% 14.73% 9.96% -4.11% 3.43% 5.52%
Total Return (net) -19.43% -0.96% 2.00% 15.64% -10.71% 13.87% 9.11% -5.08% 2.39% 4.46%
ICE BofA U.S. Dollar 1-month Constant Maturity 1.58% 0.10% 0.66% 2.34% 1.99% 1.07% 0.48% 0.18% 0.16% 0.19%
60% MSCI World (ND)/ 40% FTSE WGBI (USD) -17.97% 9.56% 14.34% 18.76% -5.39% 16.24% 5.33% -1.72% 2.80% 13.54%

Past performance is not a guarantee of future results. An investment in this strategy could lose value. Most recent month-end performance is preliminary. Returns are subject to change.

Periods less than one year are not annualized. Performance is stated in U.S. dollars and includes the reinvestment of dividends and interest.