Russell 1000 14.00 9.30 13.52 10.63 16.05 16.32 10.87 11 ... · 3 1-yr 3-yr 5-yr 10-yr Vol Vol Vol...
Transcript of Russell 1000 14.00 9.30 13.52 10.63 16.05 16.32 10.87 11 ... · 3 1-yr 3-yr 5-yr 10-yr Vol Vol Vol...
All “Traditional Weighted” benchmarks above have at least 10 years of actual performance that can be verified by accessing the provider’s website for further information. All “Alternatively Weighted” benchmarks include hypothetical back-tested information in the performance provided for the years where actual performance did not exist. LGIMA has obtained this information from the index provider and recommends that all information be verified on the provider’s website. Index provider information has not been independently verified by LGIMA for its accuracy or completeness, therefore the information obtained from third party sources
cannot be guaranteed. Please refer to the disclosures at the end of this presentation for more information.
1-yr 3-yr 5-yr 10-yr
Vol Vol Vol Vol
S&P 500 13.65 9.50 13.51 10.91 15.92 15.94 10.73 11.19 12.69
S&P 400 14.49 2.59 11.24 8.29 16.28 20.54 13.56 13.36 15.40
S&P 600 11.61 1.57 12.55 8.45 17.00 23.05 16.45 15.85 17.26
Russell 1000 14.00 9.30 13.52 10.63 16.05 16.32 10.87 11.31 12.92
Russell 1000 Growth 16.10 12.75 16.53 13.50 17.52 18.10 12.19 12.28 13.29
Russell 1000 Value 11.93 5.67 10.45 7.72 14.52 15.28 10.63 11.08 13.12
Russell 2000 14.58 2.05 12.92 7.05 15.36 22.96 15.90 16.15 17.71
Russell 3000 14.04 8.77 13.48 10.36 16.00 16.75 11.09 11.50 13.17
Russell 3000 Growth 16.18 12.06 16.40 13.10 17.44 18.55 12.32 12.44 13.53
Russell 3000 Value 11.93 5.30 10.50 7.56 14.50 15.60 10.89 11.27 13.35
DJ US Total Market 14.04 8.66 13.45 10.29 16.01 16.79 11.12 11.52 13.15
MSCI USA 13.91 9.47 13.60 10.79 15.91 16.09 10.78 11.26 12.76
5-yr 10-yrBenchmark Q1 1-yr 3-yr
Mark
et C
ap W
eig
hte
d
1-yr 3-yr 5-yr 10-yr
Vol Vol Vol Vol
MSCI ACWI IMI 12.29 1.89 10.58 6.33 12.27 14.77 10.17 11.14 14.08
MSCI ACWI ex USA IMI 10.31 -4.96 7.94 2.66 9.20 13.69 10.63 11.97 15.79
MSCI ACWI 12.18 2.60 10.67 6.45 11.98 14.36 10.01 11.06 13.92
MSCI ACWI ex USA 10.31 -4.22 8.09 2.57 8.85 13.60 10.56 12.01 15.75
MSCI World 12.48 4.01 10.68 6.78 12.38 14.61 10.06 10.98 13.62
MSCI World ex USA 10.45 -3.14 7.29 2.20 8.82 13.52 10.45 11.73 15.46
MSCI World ex USA Small 10.93 -8.66 7.28 3.69 12.25 15.21 11.90 12.31 16.34
MSCI EAFE 9.98 -3.71 7.27 2.33 8.96 13.15 10.47 11.77 15.55
Emerging Markets 9.91 -7.41 10.68 3.68 8.94 15.35 13.02 15.25 18.70
Emerging Markets Small Cap 7.76 -12.42 5.95 1.76 10.37 15.75 12.47 14.11 19.69
MSCI Frontier Markets 6.87 -15.00 6.88 0.57 7.49 14.06 11.28 12.06 14.05
Benchmark Q1 1-yr 3-yr 5-yr 10-yr
Mark
et C
ap W
eig
hte
d
2
1-yr 3-yr 5-yr 10-yr
Vol Vol Vol Vol
MSCI USA 13.91 9.47 13.60 10.79 15.91 16.09 10.78 11.26 12.76
S&P 500 Low Vol 13.62 14.92 11.95 11.87 15.45 12.66 9.46 9.59 9.41
SciBeta USA Low Vol DMS 13.01 11.69 12.33 11.94 16.83 13.60 9.42 9.49 10.15
MSCI USA Min Vol 12.70 15.69 12.62 12.73 16.29 12.44 9.17 9.09 9.64
MSCI USA Risk Weighted 14.47 9.51 12.39 10.62 16.84 15.75 10.43 10.67 11.74
MSCI USA Value 11.48 7.18 10.97 8.31 14.44 14.43 10.16 10.65 12.54
FTSE RAFI US 1000 12.21 5.50 11.39 8.59 17.16 15.90 11.21 11.37 14.81
SciBeta USA Value DMS 11.97 2.71 10.50 8.72 15.41 16.62 10.99 11.03 12.57
MSCI USA Quality 16.86 12.36 15.20 13.11 16.93 16.51 11.22 11.30 11.98
MSCI USA Momentum 12.89 8.04 17.16 14.90 18.15 16.96 12.12 11.66 12.70
SciBeta USA Momentum DMS 14.45 3.46 11.00 9.42 15.06 17.35 11.23 11.08 12.52
MSCI USA High Div Yield 10.65 10.44 12.52 11.17 16.86 13.33 9.31 9.85 10.92
MSCI USA Equal Weighted 15.18 6.37 12.26 9.11 17.24 17.98 11.81 12.13 14.68
Russell 1000 Equal Weighted 16.14 7.09 12.50 8.80 18.35 19.26 12.54 12.99 16.23
S&P 500 Equal Weighted 14.91 7.22 12.03 9.52 17.75 17.38 11.53 11.81 14.82
V
ola
tility
Mkt
Cap
3-yr 5-yr 10-yrBenchmark Q1 1-yr
Mom
E
qual
Y
ldV
alu
eQ
ual
1-yr 3-yr 5-yr 10-yr
Vol Vol Vol Vol
MSCI World ex USA 10.45 -3.14 7.29 2.20 8.82 13.52 10.45 11.73 15.46
MSCI World ex USA Min Vol 8.60 2.25 6.35 6.21 10.62 9.99 8.36 8.95 10.82
SciBeta Dev ex USA Low Vol Multi-Strat 8.74 -0.99 6.52 5.04 11.36 11.49 9.50 10.07 12.39
MSCI World ex USA Value 8.49 -5.46 7.13 0.68 8.25 13.85 11.11 12.52 16.67
FTSE RAFI Developed ex USA 1000 8.55 -5.82 8.10 1.66 9.32 14.11 11.25 12.60 17.98
SciBeta Dev ex USA Value Multi-Strat 9.23 -6.95 7.07 2.80 9.90 14.24 11.22 11.92 15.71
MSCI World ex USA Quality 12.53 2.46 7.53 3.69 10.19 12.88 10.45 11.35 14.55
SciBeta Dev ex USA Momentum 10.40 -7.11 5.70 4.14 11.05 14.37 11.60 11.46 13.91
MSCI World ex USA Momentum 11.24 -3.80 7.11 3.49 9.14 14.11 11.03 11.13 14.10
Yld MSCI World ex USA High Dividend Yield 10.52 -0.71 6.07 0.87 9.48 13.43 10.24 11.74 16.06
Eql
MSCI World ex USA Equal Weighted 9.59 -5.15 7.52 3.56 10.09 13.78 10.67 11.88 15.40
Valu
eQ
ual
Mkt
Cap
Benchmark Q1 1-yr 3-yr 5-yr 10-yr
Vol
Mom
All “Traditional Weighted” benchmarks above have at least 10 years of actual performance that can be verified by accessing the provider’s website for further information. All “Alternatively Weighted” benchmarks include hypothetical back-tested information in the performance provided for the years where actual performance did not exist. LGIMA has obtained this information from the index provider and recommends that all information be verified on the provider’s website. Index provider information has not been independently verified by LGIMA for its accuracy or completeness, therefore the information obtained from third party sources cannot be guaranteed. Please refer to the disclosures at the end of this presentation for more information.
Hypothetical performance results have many inherent limitations and no representation is being made that any 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. Please refer to the disclosures at the end of this presentation for more information.
3
1-yr 3-yr 5-yr 10-yr
Vol Vol Vol Vol
MSCI EM 9.91 -7.41 10.68 3.68 8.94 15.35 13.02 15.25 18.70
MSCI EM Min Vol 6.24 -1.84 7.82 3.40 10.86 11.28 9.67 11.59 14.42
MSCI EM Risk Weighted 9.63 -5.83 6.37 1.28 9.63 13.77 11.69 13.58 17.14
Sci Beta EM Low Vol DMS 6.12 -4.41 5.59 2.32 11.07 12.77 10.54 11.67 14.80
MSCI EM Value 7.85 -5.27 9.54 2.21 7.83 14.98 12.99 16.10 19.25
FTSE RAFI EM 8.34 -4.84 14.54 4.82 8.82 15.07 15.67 19.28 20.80
SciBeta EM Value DMS 7.10 -6.15 8.66 2.69 9.83 14.66 12.48 14.82 17.88
Qual
MSCI EM Quality 9.77 -8.21 7.85 3.31 10.26 14.44 11.88 13.15 16.60
SciBeta EM Momentum DMS 6.31 -11.02 6.08 1.00 10.18 13.04 11.62 12.45 16.30
MSCI EM Momentum 9.15 -8.15 11.60 3.83 10.67 14.42 13.70 15.06 17.68
Yld MSCI EM Dividend Yield 6.63 -6.10 9.76 1.80 8.25 14.33 12.17 15.63 18.14
Eql
MSCI EM Equal Weighted 12.57 -7.07 7.27 1.74 8.99 15.78 12.99 15.01 19.62
Mkt
Cap
10-yrBenchmark Q1 1-yr 3-yr 5-yr
Vola
tility
Valu
eM
om
1-yr 3-yr 5-yr 10-yr
Vol Vol Vol Vol
MSCI World 12.48 4.01 10.68 6.78 12.38 14.61 10.06 10.98 13.62
Russell 1000 14.00 9.30 13.52 10.63 16.05 16.32 10.87 11.31 12.92
MSCI World ESG 12.04 4.47 10.17 6.50 12.34 14.47 9.95 10.78 13.63
MSCI Wld Low Carbon Ldrs 12.46 3.57 10.64 6.83 14.73 10.15 11.05
MSCI Wld Low Carbon Trgt 12.54 3.80 10.45 6.82 14.63 10.10 11.01
MSCI World SRI 11.76 4.95 11.23 7.14 12.44 14.44 9.99 10.86 13.53
SR
I
Russell 1000 Climate 14.20 9.50 13.40 10.80 15.50 11.30 11.30
FTSE4Good US 13.40 10.94 14.65 12.47 16.90 15.75 10.91 11.46 12.96
Mkt
Cap
Benchmark Q1 1-yr 3-yr 5-yr 10-yr
ES
G
1-yr 3-yr 5-yr 10-yr
Vol Vol Vol Vol
Barclays Global Agg 2.20 -0.38 1.49 1.04 3.05 3.88 4.71 4.49 4.94
Barclays US Agg 2.94 4.48 2.03 2.74 3.77 3.21 2.97 2.86 2.84
iBoxx US Investment Grade 6.24 5.40 3.70 4.03 6.91 5.42 4.72 4.76 5.13
iBoxx US High Yield 7.53 7.01 7.93 4.17 9.86 6.01 4.44 5.38 7.39
Barclays US TIPS 3.19 2.70 1.70 1.94 3.41 3.20 3.04 3.58 4.53
Barclays US Treasury 2.11 4.22 1.04 2.16 2.43 3.50 3.35 3.28 3.51
Barclays US Treasury: Intermediate 1.59 3.80 0.95 1.66 1.98 2.26 2.21 2.18 2.43
Barclays US Treasury: Long 4.67 6.24 1.47 5.44 5.13 9.94 9.63 10.02 10.93
EM JPM Emerging Market Global Core 7.42 3.96 5.58 5.29 8.52 7.67 6.22 5.92 7.07
10-yrBenchmark Q1 1-yr 3-yr 5-yr
Agg
Rate
sC
redit
Hypothetical performance results have many inherent limitations and no representation is being made that any 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. Please refer to the disclosures at the end of this presentation for more information.
4
1-yr 3-yr 5-yr 10-yr
Vol Vol Vol Vol
BBG Commodity 7.52 -2.76 4.78 -7.64 -0.61 10.74 10.26 12.44 14.72
S&P GSCI 14.97 -3.04 6.18 -12.61 -3.37 20.30 15.92 19.29 19.26
US Dollar Index 1.16 8.12 0.94 3.96 1.31 3.77 5.77 6.67 7.75
FTSE EPRA Nareit United States 15.88 20.80 5.63 8.72 18.29 16.93 13.93 14.68 19.16
FTSE EPRA Nareit Dv ex US 13.54 6.97 7.15 5.31 11.92 13.42 11.08 11.76 16.83
FTSE EPRA Nareit Global 14.73 11.38 6.60 6.62 13.76 14.47 11.21 11.99 16.41
FTSE Global Core Infrastructure 14.08 16.77 10.46 7.85 12.08 11.13 9.10 9.74 10.00
MSCI ACWI Infrastructure 9.23 6.60 4.19 3.08 7.56 10.30 9.03 9.61 11.12
MSCI USA Infrastructure 10.95 15.98 6.91 7.58 11.57 10.03 10.06 9.87 10.55
Infr
astr
uctu
re
Benchmark Q1 1-yr 3-yr 5-yr 10-yr
RE
ITS
Com
mod
1-yr 3-yr 5-yr 10-yr
Vol Vol Vol Vol
MSCI ACWI 12.18 2.60 10.67 6.45 11.98 14.36 10.01 11.06 13.92
MSCI ACWI Div. Multi-Factor 11.95 -3.58 10.26 7.64 14.27 16.27 11.09 11.44 13.91
SciBeta Global MBMS 4F EW 11.27 0.16 8.62 6.41 12.89 14.08 9.60 10.00 12.34
SciBeta Global HFI 6F EW 11.12 1.35 8.45 7.46 13.66 13.43 9.23 9.56 11.42
FTSE AW Comprehensive Factor 10.76 -0.58 8.75 6.86 13.75 13.39 9.47 10.04 12.54
S&P 500 13.65 9.50 13.51 10.91 15.92 15.94 10.73 11.19 12.69
MSCI USA Div. Multi-Factor 11.97 1.63 11.00 9.63 16.51 16.83 11.39 11.42 12.88
SciBeta US MBMS 4F EW 13.62 6.13 11.19 9.86 15.97 16.02 10.38 10.44 11.70
SciBeta US HFI 6F EW 13.17 7.62 10.86 10.99 16.53 14.97 10.02 10.08 10.94
Russell 1000 Cmprhnsve Factor 13.76 4.30 10.64 9.99 17.63 16.69 10.99 10.84 12.74
MSCI World ex USA 10.45 -3.14 7.29 2.20 8.82 13.52 10.45 11.73 15.46
MSCI World ex USA DMF 10.50 -6.51 6.89 4.36 11.84 15.14 11.57 11.57 15.40
SciBeta Dev xUS MBMS 4F EW 9.41 -5.32 6.34 3.95 10.79 13.20 10.58 10.97 13.75
SciBeta Dev xUS HFI 6F EW 9.43 -4.10 7.31 5.19 12.03 12.89 10.24 10.75 13.27
FTSE Dev xUS Cmprhnsve Factor 9.79 -3.59 7.21 5.25 11.70 12.85 10.12 10.68 13.46
MSCI Emerging Markets 9.91 -7.41 10.68 3.68 8.94 15.35 13.02 15.25 18.70
MSCI EM Div. Multi-Factor 9.39 -13.74 9.40 3.73 11.22 16.28 13.22 15.57 19.72
SciBeta EM MBMS 4F EW 6.79 -7.16 6.60 1.96 10.61 13.57 11.48 12.85 16.37
SciBeta EM HFI 6F EW 7.09 -6.39 6.51 2.59 11.74 13.47 11.16 12.20 15.19
FTSE EM Comprehensive Factor 5.93 -9.84 5.73 2.35 11.08 14.07 12.42 14.04 16.83Em
erg
ing
M
kt
C
ap
Dev x
US
A
M
kt
C
ap
US
A
Mkt
Cap
Glo
bal
Mkt
Cap
10-yrBenchmark Q1 1-yr 3-yr 5-yr
Hypothetical performance results have many inherent limitations and no representation is being made that any 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. Please refer to the disclosures at the end of this presentation for more information.
5
Yearly Returns MSCI ACWISciBeta Global MBMS
4F EWMSCI ACWI DMF
FTSE AW
Comprehensive Factor
SciBeta Global High-Factor Intensity
MBMS 6F EW
2003 33.99 37.52 42.35 38.06 34.92
2004 15.23 25.21 26.92 27.12 26.72
2005 10.84 16.15 19.97 20.66 15.56
2006 20.95 24.77 29.31 26.81 26.49
2007 11.66 10.08 12.41 14.78 11.30
2008 -42.19 -38.76 -43.04 -36.84 -33.81
2009 34.63 31.07 40.39 35.38 28.09
2010 12.67 19.42 19.29 18.20 20.23
2011 -7.35 -4.69 -3.86 -2.43 -0.49
2012 16.13 16.73 16.20 18.22 15.76
2013 22.80 23.30 26.28 22.08 24.34
2014 4.16 7.17 7.66 6.49 9.12
2015 -2.36 0.48 1.61 -0.33 3.04
2016 7.86 6.03 5.67 6.18 6.11
2017 23.97 23.41 29.44 25.45 22.86
2018 -9.42 -10.37 -12.63 -10.43 -9.61
Q1 2019 12.18 11.27 11.95 10.76 11.12
Live track record
Outperform ACWI
Underperform ACWI
Hypothetical performance results have many inherent limitations and no representation is being made that any 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. Please refer to the disclosures at the end of this presentation for more information.
Sources: LGIMA, MSCI, S&P, Bloomberg as of end of Q1 2019
6
3M 1-yr 3M 1-yr 3M 1-yr
MSCI ACWI ex US 10.31% -4.22% 10.53% 1.90% -0.22% -6.05%
MSCI USA 13.91% 9.47% 13.91% 9.47% 0.00% 0.00%
MSCI World ex US 10.45% -3.14% 10.79% 3.19% -0.30% -6.12%
MSCI EAFE 9.98% -3.71% 10.59% 2.83% -0.54% -6.36%
MSCI Canada 15.37% 3.11% 12.85% 6.84% 2.23% -3.50%
MSCI EM 9.91% -7.41% 9.83% -1.94% 0.01% -5.84%
MSCI Frontier Markets 6.87% -15.00% 7.20% -12.89% -0.32% -1.67%
1.16% 8.12%US Dollar Index
USD Return % Local Return % Currency Impact %Index
Sources: LGIMA, MSCI, S&P, Bloomberg as of end of Q1 2019
Sources: LGIMA, MSCI, S&P, Bloomberg
Hypothetical performance results have many inherent limitations and no representation is being made that any 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. Please refer to the disclosures at the end of this presentation for more information.
7
Sources: LGIMA, Scientific Beta, Morningstar Direct
Hypothetical performance results have many inherent limitations and no representation is being made that any 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. Please refer to the disclosures at the end of this presentation for more information.
8
Sources: LGIMA, Scientific Beta, Morningstar Direct
Hypothetical performance results have many inherent limitations and no representation is being made that any 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. Please refer to the disclosures at the end of this presentation for more information.
9
Sources: MSCI, Data as of Jan 22, 2019
Hypothetical performance results have many inherent limitations and no representation is being made that any 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. Please refer to the disclosures at the end of this presentation for more information.
10
Contributors
Contact LGIMA
Follow us on LinkedIn
http://www.lgima.com/
11
DISCLOSURES Disclosures: This is not a solicitation to purchase any product and is not intended as a solicitation to buy or sell any securities or
other financial instruments or to provide any investment advice or service.
The performance set forth below does not represent the results of actual trading, but rather was achieved by means of the
retroactive application of a model designed with the benefit of hindsight.
Index provider information has not been independently verified by LGIMA for its accuracy or completeness, therefore the
information obtained from third party sources cannot be guaranteed. Accordingly, the information herein should not be relied on in
making any investment decision, as an investment always carries with it the risk of loss and the vulnerability to changing economic,
market or political conditions, including but not limited to changes in interest rates, issuer, credit and inflation risk, foreign exchange
rates, securities prices, market indexes, operational or financial conditions of companies or other factors. Past performance should
not be taken as an indication or guarantee of future performance and no representation, express or implied, is made regarding
future performance or that LGIMA’s investment or risk management process will be successful.
Hypothetical performance results have many inherent limitations and no representation is being made that any 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, hypothetical trading does not involve financial risk, and no hypothetical 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.
The use of hypothetical performance is subject to inherent limitations derived from the reliance on historical data and the benefit of
hindsight. All trading strategies applied to the analysis were available throughout the performance period. However, the analysis
includes certain assumptions where actual performance could be different from the hypothetical performance presented.
In order to match the index returns a fund would need to track the security weightings in a way that would exactly match the Index
and that the economic and market conditions were sufficient to have allowed effective execution of replicate the risk and return
characteristics of the index. There are a number of factors that could reduce our ability to track index positions perfectly, including
small position sizes and/or available liquidity in some securities. We estimate the net effects of index- and trading-related factors on
the passive components of the strategy would affect performance either favorably or unfavorably depending on the size of the
portfolio.
A review of the ERI Scientific Beta index methodology has been conducted by: a) comparing in and out of sample performance of
the hypothetical back-tested information provided by Scientific Beta; b) testing the returns against the intended factor biases; c)
conducting a comparison of similar multi-factor indices to Scientific Beta’s multi-factor index; and d) reviewing the reasonability of
portfolio characteristics. The output of the indices appears reasonable given the methodology and targeted portfolio risk biases and
opinions expressed herein are as of October 2018 and may change based on market and other conditions. The material contained
here is confidential and intended for the person to whom it has been delivered and may not be reproduced or distributed. The
material is for informational purposes only and is not intended as a solicitation to buy or sell any securities or other financial
instrument or to provide any investment advice or service. Legal & General Investment Management America, Inc. does not
guarantee the timeliness, sequence, accuracy or completeness of information included. Past performance should not be taken as
an indication or guarantee of future performance and no representation, express or implied, is made regarding future performance.