June 30, 2006
ICE BofA 1-Month LIBOR
60% MSCI World (ND)/ 40% FTSE WGBI (USD)
Total strategy assets†
(as of February 2020)
- 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
*The strategy also seeks a positive total return. 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. See the composite report for a summary of risk considerations. 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.
Annualized composite performance (%) as of February 29, 2020
|MTD||QTD||YTD||1 Year||3 Years||5 Years||10 Years|
|Total Return (gross)||-3.44%||-4.01%||-4.01%||2.99%||3.80%||3.25%||6.10%|
|Total Return (net)||-3.50%||-4.12%||-4.12%||2.21%||3.02%||2.42%||5.14%|
|ICE BofA 1-Month LIBOR||0.14%||0.30%||0.30%||2.22%||1.86%||1.26%||0.74%|
|60% MSCI World (ND)/ 40% FTSE WGBI (USD)||-4.67%||-4.41%||-4.41%||6.36%||6.38%||4.89%||6.26%|
Calendar-year composite performance (%) as of February 29, 2020
|Total Return (gross)||16.51%||-10.03%||14.73%||9.96%||-4.11%||3.43%||5.52%||13.13%||4.83%||14.83%|
|Total Return (net)||15.63%||-10.71%||13.87%||9.11%||-5.08%||2.39%||4.46%||11.99%||3.77%||13.68%|
|ICE BofA 1-Month LIBOR||2.34%||1.99%||1.07%||0.48%||0.18%||0.16%||0.19%||0.25%||0.23%||0.27%|
|60% MSCI World (ND)/ 40% FTSE WGBI (USD)||18.76%||-5.39%||16.24%||5.33%||-1.72%||2.80%||13.54%||10.15%||-0.63%||9.50%|
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. Please refer to the composite report and disclosures below for additional important information regarding performance disclosures and investments risks.
Periods less than one year are not annualized. Performance is stated in U.S. dollars. and includes the reinvestment of dividends and interest.
The Putnam Investments Total Return Composite (the "Composite") seeks to deliver a more efficient risk/return profile than a traditionally balanced global portfolio through dynamic risk allocation and drawdown control. The strategy also seeks a total positive return. Accounts in the Composite actively allocate across four major sources of market risk (equity, credit, rate, and inflation) vs. static risk parity and dynamically adjusts allocations to reflect active top-down views of future risk-adjusted return potential. Three key components of the investment process are building a strategic policy portfolio, dynamically allocating risk, and actively executing investment strategies. Th Composite's primary benchmark is the ICE BofA 1-Month LIBOR which is used as a cash benchmark for comparative purposes. As the strategy is designed to pursue a more efficient risk/return profile than a traditionally balanced global portfolio, the secondary benchmark is a 60% MSCI World Index/40% FTSE World Government Bond Index blended benchmark which performance is also monitored against. The 60/40 blended benchmark is rebalanced on a monthly basis. The Composite may include accounts with different benchmarks The Composite comprises all U.S. dollar based discretionary accounts, or accounts hedged to U.S. dollars, managed by the Putnam in this investment style. This strategy allows for the use of leverage and derivatives: including the use of "short" derivatives, for hedging, to obtain leverage, and to adjust the return and volatility characteristics of investments. The Composite inception date was June 30, 2006. The Composite creation date was July 29, 2008.
The 60/40 portfolio is based on account allocations of MSCI World Index unhedged and FTSE World Govt Bond Index unhedged. The MSCI World Index (ND) is an unmanaged index of equity securities from developed countries. The FTSE World Government Bond Index is an index of bonds issued by governments in the U.S., Europe and Asia.
The ICE BofA U.S. Dollar 1-Month LIBOR Constant Maturity Index tracks the performance of a synthetic asset-paying LIBOR to a stated maturity. The index is based on the assumed purchase at par of a synthetic instrument having exactly its stated maturity and with a coupon equal to that day's fixing rate. That issue is assumed to be sold the following business day (priced at a yield equal to the current day fixing rate) and rolled into a new instrument.
Composites may include portfolios with certain existing investment restrictions that the Firm believes do not materially impact the investment strategy. Benchmarks are generally taken from published sources and may have different calculation methodologies, pricing times, and/or foreign-exchange sources from the composite. The effect of those differences is generally deemed to be immaterial. The securities holdings of the Composite may differ materially from those of the index used for comparative purposes. Composites and benchmarks include the reinvestment of dividends and other earnings. Indexes are unmanaged and do not incur expenses. You cannot invest directly in an index. Gross-of-fee returns do not include the deduction of management fees and other expenses that may be incurred in managing an investment account. A portfolio's return will be reduced by advisory and other fees. Net-of-fee returns are calculated using a model fee. For the applicable time periods, net-of-fees returns reflect either the deduction of the highest management fee that is paid by a portfolio in the Composite during the performance period, applied on a monthly basis, or the deduction of the highest applicable management fee in effect during the performance period that would be charged based on the fee schedule appropriate to this mandate, without the benefit of breakpoints, applied on a monthly basis, whichever is higher. Net-of-fee calculation methodology may change over time. Actual investment advisory fees incurred by clients are typically negotiated on an individual basis and may vary depending upon, among other things, the applicable fee schedule and portfolio size. Our standard fee schedules are available upon request.