Global Allocation

Overview

The strategy seeks to achieve attractive total returns without taking undue risk by dynamically allocating across a variety of asset classes with a short-to-medium term horizon.

Strategy Inception Date
February 29, 2012
Composite Inception Date
February 29, 2012
Composite AUM
(as of 07/31/2019)
$1.40 BN
Composite Benchmark
60% MSCI ACWI/40% BBG Barc Gbl Agg Hdg
Available Vehicles
Separate Account
Commingled Vehicle
Performance
Average Annual Returns
Calendar Year Returns
as of 07/31/2019
as of 06/30/2019

Cumulative
Annualized
3 mo ytd as of 2019-06-30
1 yr 3 yr 5 yr since inception
Global Allocation (gross of fees)
3.05% 11.29% 2.49% 6.76% 4.89% 6.66%
Global Allocation (net of fees)
2.87% 10.90% 1.75% 6.00% 4.14% 5.90%
60% MSCI ACWI/40% BBG Barc Gbl Agg Hdg
3.37% 12.11% 6.76% 8.20% 4.65% 6.30%
Cumulative
Annualized
3 mo ytd as of 2019-07-31
1 yr 3 yr 5 yr since inception
Global Allocation (gross of fees)
2.17% 11.77% 1.62% 5.93% 5.38% 6.64%
Global Allocation (net of fees)
1.98% 11.31% 0.89% 5.17% 4.63% 5.88%
60% MSCI ACWI/40% BBG Barc Gbl Agg Hdg
1.80% 12.66% 5.37% 7.38% 4.99% 6.29%

Year Global Allocation (gross of fees) Global Allocation (net of fees) 60% MSCI ACWI/40% BBG Barc Gbl Agg Hdg
2013 19.36% 18.52% 12.87%
2014 1.54% 0.81% 3.36%
2015 1.74% 1.01% -1.70%
2016 6.15% 5.40% 6.52%
2017 16.34% 15.51% 15.19%
2018 -8.52% -9.18% -4.91%
Portfolio

Top Holdings

(67.7% of assets as of 07/31/2019)


Portfolio Positioning

(75.6% of assets as of 07/31/2019)


US Equity International Fixed Income International Equity US Fixed Income Alternatives Emerging Equity Other FX Overlays
33.4% 24.5% 11.7% 10.6% 7.0% 5.7% 2.4% -19.7%

Portfolio Holdings Breakdown

Country
Developed Markets
Emerging Markets
Equity Sector
Fixed Income Sector
Country Global Allocation 60% MSCI ACWI/40% BBG Barc Gbl Agg Hdg
Overweight / Underweight
United States 50.2% - -
France 8.1% - -
Germany 5.7% - -
Australia 5.4% - -
Supranational (non-iso) 5.3% - -
Sweden 4.0% - -
Japan 3.8% - -
China 3.0% - -
Spain 1.9% - -
Italy 1.6% - -
Netherlands 1.5% - -
Taiwan 1.5% - -
Brazil 1.4% - -
India 1.3% - -
South Africa 1.1% - -
Switzerland 1.1% - -
Mexico 0.9% - -
Russia 0.8% - -
Indonesia 0.8% - -
Malaysia 0.7% - -
Developed Markets Global Allocation 60% MSCI ACWI/40% BBG Barc Gbl Agg Hdg
Overweight / Underweight
Americas 48.8% - -
Asia Pacific 9.8% - -
Europe 5.4% - -
Supranational 5.3% - -
Middle East 0.1% - -
Emerging Markets Global Allocation 60% MSCI ACWI/40% BBG Barc Gbl Agg Hdg
Overweight / Underweight
Asia Pacific 7.6% - -
Americas 2.4% - -
Africa 1.1% - -
Europe 0.9% - -
Multi -1.7% - -
Equity Sector Global Allocation 60% MSCI ACWI/40% BBG Barc Gbl Agg Hdg
Overweight / Underweight
Information Technology 10.9% - -
Consumer Discretionary 9.5% - -
Industrials 9.0% - -
Financials 8.0% - -
Health Care 6.0% - -
Consumer Staples 4.8% - -
Communication Services 4.8% - -
Materials 2.8% - -
Real Estate 2.1% - -
Utilities 1.5% - -
Energy 1.4% - -
Broad Market -9.9% - -
Fixed Income Sector Global Allocation 60% MSCI ACWI/40% BBG Barc Gbl Agg Hdg
Overweight / Underweight
Treasuries 33.1% - -
Catastrophe 5.8% - -
Analytics
(As of 07/31/2019)

Performance Statistics
3Y
5Y
Alpha
-1.55
0.41
Beta
1.04
1.00
Information Ratio
-0.78
0.18
Sharpe Ratio
0.63
0.61
Standard Deviation
7.20
7.48
Upside Capture
96.07
100.23
Downside Capture
115.06
95.28
Sortino Ratio
0.92
0.94
Tracking Error
1.87
2.25
Yields
Portfolio Characteristics
Rep Portfolio
Composite Benchmark
Current Duration
3.44 yrs
2.48 yrs
Turnover Ratio
151%
-
Team
  1. 1. Holdings are subject to change and are dollar-weighted based on assets.
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