Objective*

The objective of the strategy is to have significantly less volatility than the relevant equity market while delivering returns that meet or exceed the assigned benchmark over a full risk cycle.

*There is no guarantee that the investment objective will be met.

Process

The strategy employs a risk forecasting and optimization process pioneered by Analytic to achieve a more effective risk/return trade-off than a capitalization weighted approach.

Low Volatility Equity has a lower correlation to the overall market than traditional long only equity strategies. The strategy tends to outperform in falling markets and lag in sharply rising markets. It may also produce a high tracking error relative to capitalization-weighted indices.

Portfolio Characteristics

Benchmark:
  • U.S Low Volatility Equity:  Russell 1000 Index®
  • Global Low Volatility Equity:  MSCI World Index®
  • U.S. All Cap Low Volatility Equity:  Russell 3000 Index®
  • Emerging Markets Low Volatility Equity:  MSCI Emerging Markets Index®
  • U.S. Small Cap Low Volatility Equity:  Russell 2500 Index®
Absolute Risk Target: Overall volatility target (as measured by standard deviation) between 20% – 40% less than the applicable benchmark.
Strategy Inception:
  • U.S Low Volatility Equity:  November 2004
  • Global Low Volatility Equity:  August 2006
  • U.S. All Cap Low Volatility Equity:  June 2013
  • Emerging Markets Low Volatility Equity:  June 2013
  • U.S. Small Cap Low Volatility Equity:  June 2013
Investor Fit: Investors seeking exposure to equities with significantly less risk than the capitalization weighted indices or other actively managed strategies with low tracking error to the capitalization weighted indices.

Please click on the following link to obtain a Fact Sheet which will contain more detailed information, including performance information, for this solution.