HomeMy WebLinkAbout3rd QuarterGrayst ne
Consulting
QUNRTER] IN RERFOR.M.K.NGE.
Scott Owens, CFAI, CI AI
Associate Vice President
Institutional Consultant
U..MM NRY
Prepaxed for:
.As of Septeinber 30, 201.8
Graystone Consulting Tampa
Charles H. Mulfinger, 11, CIMA"
Managing Director, Wealth Managemen)
Institutional Consulting Director
Alternative Investment Director
100 North Tampa Street, Suite 3000
Tampa, FL 33602
Rnn-?R?-n6,)') ext. 2061 / 813-227-2061
David A. Wheeler, CFP1, CI AI
Senior Vice President
Institutional Consulting Director
Institutional Consultant
Three Years
Five Years
Seven Years
Quarter
12 Months
(annualized)
(annualized)
(annualized)
S&P 500Index
7.71
17.91
17.31
13.95
16.91
Dow Jones Industrial Average
9.63
20.76
20.49
14.57
16.35
Russell1000index
7.42
17.77
17.07
13.67
16.90
Russell 1000 Growth Index
9.17
26.30
20.55
16.58
18.69
Russell 1000 Value Index
5.70
9.45
13.55
10.72
15.02
Russell 2000 index
3.58
15.24
17.12
11.07
16.43
Russell 2000 Growth Index
5.52
21.06
17.98
12.14
17.52
Russell 2000 Value Index
1.61
9.33
16.12
9.92
15.26
Russell 3000 Index
7.13
17.58
17.07
13.46
16.86
Russell 3000 Growth Index
8.88
25.89
20.36
16.23
18.60
Russell 3000 Value Index
5.39
9.46
13.75
10.65
15.04
Russell Midcap Index
5.00
13.98
14.52
11.65
16.09
Russell Midcap Growth Index
7.58
21.10
16.65
13.00
16.87
Russell Midcap Value Index
3.30
8.81
13.09
10.72
15.54
Past Performance is not a guarantee of future
results. Indices are not available
for direct investment.
Source: MAX
ee
® e
Quarter
Health Care
14.50
Industrials
10.00
Communication Services
9.90
Technology
8.80
Consumer Discretionary
8.20
Consumer Staples
5.70
Financials
4.40
Utilities
2.40
Real Estate
0.90
Energy
0.60
Materials
0.40
Past Performance is not a guarantee of future results. Indices are not
available for direct investment.
Source: MAX
Page 1
/' /i, ti�a)re'- eE4Eijulk `6ReEifFHfif4fk."eP�: -� �,l��efn ", tip.. 4- iii
Dollar
Regional and Other Multi Country Indices
MSCI EAFE
1.36
2.74
2.42
5.62
MSCI Europe
0.80
(0.30)
1.24
2.66
MSCI Far East
3.15
9.45
5.32
10.33
MSCI Pacific ex. Japan
(0.55)
4.27
0.66
9.62
MSCI The World
5.10
11.84
N/A
N/A
MSCI World ex. U.S.
1.31
2.67
2.13
5.65
National Indices
MSCI Hong Kong
(0.95)
2.89
(1.19)
3.07
MSCI Ireland
(5.34)
(5.72)
N/A
N/A
MSCI Japan
3.81
10.57
6.46
11.57
MSCI Singapore
2.19
6.96
2.40
7.63
Past Performance is not a guarantee offuture results. Indices are not
available for direct investment.
Source: MAX
/iiii rr f„viii„Pn4'04 Entlin
Dollar
Quarter 12 Months Quarter 12 Months
Regional and Other Multi Country Indices
MSCI EM
(0.95)
(0.44)
0.11
3.03
National Indices
MSCI China
(7.42)
(2.05)
(7.56)
(1.83)
MSCI Malaysia
3.81
7.61
(7.56)
(1.83)
MSCI Taiwan
7.15
10.67
7.31
11.43
MSCI Thailand
13.72
15.50
13.72
15.50
Past Performance is not a guarantee of future results. Indices are not available for direct investment.
Source: MAX
Page 2
e
e
Three Years
Five Years
10Years
Quarter
12 Months
(annualized)
(annualized)
(annualized)
U.S. Fixed Income
90-Day Treasury Bill
0.50
1.57
0.80
0.49
0.32
Barclays Capital Aggregate
0.02
(1.22)
1.31
2.16
3.77
Barclays Capital Credit
0.89
(1.10)
2.98
3.40
5.94
Barclays Capital Govt/Credit
0.06
(1.37)
1.45
2.23
3.95
Barclays Capital Government
(0.57)
(1.57)
0.26
1.34
2.66
Barclays Capital High Yield
2.40
3.05
8.15
5.55
9.46
Barclays Capital IntermediateGovt/Credit
0.21
(0.96)
0.91
1.52
3.22
Barclays Capital Long Govt/Credit
(0.47)
(2.73)
3.43
5.18
7.11
Barclays Capital Mortgage Backed
(0.12)
(0.92)
0.98
2.02
3.33
Barclays Capital Municipal
(0.15)
0.35
2.24
3.54
4.75
Global Fixed Income
Merrill Lynch Global High Yield 2.01 1.25 7.86 4.78 9.24
Barclays Global Treasury ex. U.S. (1.66) (1.68) 2.44 (0.20) 2.35
Barclays Capital Majors ex. U.S. (2.56) (1.55) 2.17 (0.34) 2.08
Past Performance is not a guarantee of future results. Indices are not available for direct investment.
Source: MAX
Page 3
City of Sebastian Police Officers' Retirement System
as of September 30, 2018
Quarterly Summary of Relevant Facts
Eguit
Lame Cap Value
$3,480,884
Lar e Cap. Growth
$3,240,361
-SMID Cap. Value
$743,288
-S MID Cap. Growth
....................................................................................................................................................................................................................................................................................................
$838,517
-International Value
$761,476
-International Growth
$1,143,884
Total Egwty
$10,208,411
Fixed
....................................................................................................................................................................................................................................................................................................
$3,548,783
MLPs
$648,364
Private Real Estate
....................................................................................................................................................................................................................................................................................................
$691,372
Cash
70 390
Total Portfolio
$15,167,320
Egwty Breakdown
Lar e Cap. Value
21.25%
22.95%
15.00 - 25.00%
Lame Cap Growth
21 25%
21 36%
15.00 25.00%
-SMID Cap. Value
....................................................................................................................................................................................................................................................................................................
5.00%
4.90%
2.50 - 7.50%
SMID Cap Growth
5.00%
5„53%
2 50 7 50%..
-International Value
....................................................................................................................................................................................................................................................................................................
5.00%
5.02%
2.50 - 7.50%
nternational Growth
7 50%
7 54%
5.00 - 10.00%
Total Equity65
00 /
67,31 /
40 00 70.00%
Fixed
25.00%
23.40%
20.00-35.00%
MLPs
....................................................................................................................................................................................................................................................................................................
5.00 %
4.27 %
0.00 - 10.00%
Private Real Estate
5.00%
4.56%
0.00- 10.00%
Cash
0.00%
0.46%
Total Portfolio
100.00%
100.00%
Other Important Facts:
Total Portfolio
Total Gam/(Loss) - Gross -of -Fees
Total Fees
Total Gam/(Loss) - Net -of -Fees
Highland - Large Cap Value
Total Assets
Gain or (Loss) - Gross -of -Fees
Fees
Gain or (Loss) - Net -of -Fees
Boston Partners - SMID Value
Total Assets
Gain or (Loss) - Gross -of -Fees
Fees
Gain or (Loss) - Net -of -Fees
Highland - Intl Value
Total Assets
Gain or (Loss) - Gross -of -Fees
Fees
Gain or (Loss) - Net -of -Fees
Highland - Fixed Income
Total Assets
Gain or (Loss) - Gross -of -Fees
Fees
Gain or (Loss) - Net -of -Fees
Receipt & Disbursement
Total Assets
Gain or (Loss) - Gross -of -Fees
Fees
Gain or (Loss) - Net -of -Fees
Graystone
Consulting
$15,167,320
$560,318
($26,570)
$533,748
Highland - Large Cap Growth
$3,480,884
Total Assets
$3,240,361
$202,562
Gain or (Loss) - Gross -of -Fees
$218,566
($4,065)
Fees
($3,455)
$198,497
Gain or (Loss) - Net -of -Fees
$215,111
Fiera Capital - SMID Growth
$743,288
Total Assets
$838,517
$4,328
Gain or (Loss) - Gross -of -Fees
$46,864
($1,784)
Fees
($1,488)
$2,544
Gain or (Loss) - Net -of -Fees
$45,376
Renaissance - International Growth
$761,476
Total Assets
$1,143,884
$13,172
Gain or (Loss) - Gross -of -Fees
$9,289
($896)
Fees
($1,632)
$12,276
Gain or (Loss) - Net -of -Fees
$7,658
Center Coast - MLP
$3,548,783
Total Assets
$648,364
$2,857
Gain or (Loss) - Gross -of -Fees
$41,038
($4,405)
Fees
($758)
($1,548)
Gain or (Loss) - Net -of -Fees
$40,280
Intercontinental - Private Real Estate
$70,390
Total Assets
$691,372
$1,042
Gain or (Loss) - Gross -of -Fees
$20,600
($6,285)
Fees
($1,802)
($5,243)
Gain or (Loss) - Net -of -Fees
$18,798
The prices, quotes, or statistics contained herein have been obtained from sources believed to be reliable, however, its accuracy cannot be guaranteed. Past performance is not a guarantee of
future results.
Page 4
City of Sebastian Police Officers' Retirement System Graystone
as of September 30, 2018 Consulting
Breakdown of Returns
Quarter
6.18
6.05
5.70 5.46
Fiscal Year to Date
11.10
10.28
9.45 11.01
Since 7/31/2017
12.14
11.43
9.72 NA
Quarter
7.64
7.50
9.17 7.79
Fiscal Year to Date
22.67
22.06
26.30 21.58
Since 7/31/2017
22.51
21.98
25.57 NA
Quarter
0.68
0.44
2.67 2.96
Fiscal Year to Date
6.19
4.91
10.24 9.78
Since 7/31/2017
7.49
6.38
11.59 NA
Quarter
5.91
5.72
7.17 6.94
Fiscal Year to Date
22.73
21.88
23.13 26.45
Since 7/31/2017
22.35
21.63
24.12 NA
IIIN IIIII
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...................................................................
V
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Quarter
1.83
1.71
1.36
Fiscal Year to Date
4.52
3.82
2.74
Since 7/31/2017
4.86
4.25
4.51
Quarter
0.91
0.76
0.71
Fiscal Year to Date
(0.80)
(1.40)
1.76
Since 7/31/2017
0.37
(0.15)
3.60
IIIIIII I�IIIIIIVIIIIII II IIIIIIIIIIIII II (IIIIIII
QuarterI�
0.08
(0.04)
0.02
Fiscal Year to Date
(1.07)
(1.71)
(1.22)
Since 7/31/2017
(0.57�
(1.12)
(0.69)
I IIIIIIIIIIIIIIIII�II�IIIIIIII�II�IIIIII�II�II161111II�III�III�IIIIIIIII�IIIIII
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IIIII
IIII
III IIII
Quarter
6.75
6.62
6.57
Fiscal Year to Date
0.25
(0.23)
4.89
Since 7/31/2017
(2.37)
(2.77)
0.34
The prices, quotes, or statistics contained herein have been obtained from sources believed to be reliable, however, its accuracy cannot be guaranteed. Past performance is not a guarantee of
future results.
Page 5
City of Sebastian Police Officers' Retirement System
as of September 30, 2018
Breakdown of Returns
Graystone
Consulting
Quarter 2.79 2.52
1.67
2.09 0.02
Fiscal Year to Date 12.18 11.00
7.16
(1.22) (1.22)
Since 9/30/2017 12.18 11.00
7.16
8.68 (1.22)
r IIIII III
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II
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II II
IIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIII
II
II
IIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIII
. � r ..,;.
Quarter 3.84 3.65
4.18
4.18
Fiscal Year to Date 8.33 7.56
9.61
9.61
1 Year 8.33 7.56
9.61
9.61
3 Year 9.95 9.30
10.43
10.73
5 Year 8.01 7.38
8.55
9.20
Since 1/31/2011 7.51 6.92
8.61
9.25
15 1/2 Years 6.37 5.70
7.06
r IIIII uu III
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Quarter 3.64
1.86
1..47.......................:...............................:........................
Fiscal Year to Date 7.60
5.58
6.44
1 Year 7.60
7.45
6.44
3 Year 9.28
145
6.07
5 Year 7.38
7.45
5.54
Since 1/31/2011 6.98
7.45
5.75
Policy Index (1) Composition
- 21.25% Russell 1000 Value / 21.25% Russell 1000 Growth / 5% Russell 2500 Value / 5% Russell
2500 Growth / 5% MSCI EAFE
(net) / 7.5% MSCI AC Wd
x US (net) / 25% BC Aggregate / 5% Alerian MLP / 5% NCREIF for periods since 7/31/2017
50% S&P 500 / 10% MSCI EAFE (net) / 40% BC Aggregate for periods since 12/31/2015
50% S&P 500 / 10% MSCI EAFE (net) / 40% BC Aggregate for periods since 6/30/2011
48% S&P 500 / 49% BC Gov/Credit / 3% Citi 3 Month T-Bill for periods prior to 6/30/2011
Policy Index (2) Composition
- 21.25% Russell 1000 Value / 21.25% Russell 1000 Growth / 5% Russell 2500 Value / 5% Russell
2500 Growth / 5% MSCI EAFE
(net) / 7.5% MSCI AC Wd
x US (net) / 25% BC Aggregate / 5% Alerian MLP / 5% NCREIF for periods since 7/31/2017
60% S&P 500 / 40% BC Aggregate for periods since 12/31/2015
60% S&P 500 / 40% BC Aggregate for periods since 6/30/2011
48% S&P 500 / 49% BC Gov/Credit / 3% Citi 3 Month T-Bill for periods prior to 6/30/2011
The prices, quotes, or statistics contained herein have been obtained from sources believed to be reliable, however, its accuracy cannot be guaranteed. Past performance is not a guarantee of
future results.
Page 6
City of Sebastian Police Officers' Retirement System 'Graystione
as of September 30, 2018Consulting
Trailing Returns
Manager vs Benchmark: Return through September 2018
(not annualized if less than 1 year)
12
1
• Sebastian Polic-
-------------- Sebastian Police Policy Index
1 quarter 1 year 3 years 5 years 10 years 15 years 3 quarters
Manager vs Benchmark: Return through September 2018
1 meter 1;Yyear i -,
„'" 'iiii
� y� ......
Sebastian Police (Net) 3.65% 7.56% 9.29% 7.39% 6.53% 5.70%
Sebastian Police Policy Index 4.18% 9.61 % 10.43% 8.55% 8.32% 7.06%
The prices, quotes, or statistics contained herein have been obtained from sources believed to be reliable, however, its accuracy cannot be guaranteed. Past performance is not a guarantee of
future results.
Page 7
City of Sebastian Police Officers' Retirement System
as of September 30, 2018
Risk/Return - 5 Year Analysis
Manager Performance
20-Quarter Moving Windows, Computed Quarterly
October 2013 - September 2018
150 -
140------
130-___________________________________
120------------------------------------
- ----------------------------
Manager Risk/Return
Single Computation
October 2013 - September 2018
10i
8%-
6%-
2%-
100 _____ m,
Q3 2013 Q4 2014 Q4 2015 04 2016 Q3 2018 Standard Deviation
Return & Risk Measurements
0ctober2013-September2018 Summary Statistics
• Sebas➢an Police (cross)
Market Benchnerk
Sebas➢an Police Policy Inez
Cash Equivalent
Ci➢group 3r,orrh T-dll
Sebastian Police (Gross) 8.01% -0.54% 4.82% 1.02 -5.60% 97.43% 123.31% -0.64% 1.56 87.15%
Sebastian Police Policy Index 8.55% 0.00% 4.42% 1.00 -4.22% 100.00% 100.00% 0.00% 1.82 100.00%
The prices, quotes, or statistics contained herein have been obtained from sources believed to be reliable, however, its accuracy cannot be guaranteed. Past performance is not a guarantee of
future results.
Page 8
City of Sebastian Police Officers' Retirement System
as of September 30, 2018
Risk/Return - 15 3/4 Year Analysis
Manager Performance
20-Quarter Moving Windows, Computed Quarterly
January 2003 - September 2018
3aa
zsa------------------------- _________,`_
.0--______________________!—
isa____________ _______ \/
� B
1aa1`__________________________________
Q42002 Q42005 Q4= CH 2003 Q42011 Q42013 Q42015 Q32C18
Manager Risk/Return
Single Computatim
January 2003 - September 2018
8',:,
7%
1(
•
6%
5%-
• Sebas➢an Pal— (Crass)
4% _
Market Benchnerk
Sebas➢an Pal— Pohcy nas.
Cash Equivalent
Crtgroup 3-n—h T-dll
3%
2%-
1%
01/o
1% 2% 3% 4% 5% 6%
7`6 8%
Standard Deviation
Return & Risk Measurements
January 2003 - September 2018 Summary Statistics
Sebastian Police (Gross) 6.37% -0.69% 7.32% 1.02-22.97% 96.75% 111.38% -0.77% 0.70 94.93%
Sebastian Police Policy Index 7.06% 0.00% 7.00% 1.00-21.59% 100.00% 100.00% 0.00% 0.83 100.00%
The prices, quotes, or statistics contained herein have been obtained from sources believed to be reliable, however, its accuracy cannot be guaranteed. Past performance is not a guarantee of
future results.
Page 9
City of Sebastian Police Officers' Retirement System
as of September 30, 2018
IPS Compliance Check List
Graystone
Consulting
llld
rlrlrlMlm
nc
d � �
"�iilll �I Mhi ��� o ���
i i i i iu uuuuu uuuuuuuum .....
ollrtfollioll
Total P
�IIIVd���S
5years Inception
=tv Portfolio
E
Yes
Exceed Index
d Tar
No No
Listed on recognized exchange
Yes
Exceed Target Rate of Return (7.45°l%y
No No
Single issue not to exceed 5% at market value for
Yes Yes
each equity in each separately managed portfolio
Exceed CPI + 4%'
-Performance compared to dollar -weighted net returns
Total equity portfolio < 70.00% & > 40.00% of total fund
Yes
at market
Hiahland Capital Larae Cap Value,
Large Caoitalization Value Eauity Portfolio
Market Value < 25.00% & > 15.00% of total fund
Performance (Since 8/31/2017)
Rank in the Top 50% of manager universe
Return > Russell 1000 Value
Hiahland Capital Laroe Cap Growth
Large Caoitalization Growth Eauity Portfolio
Market Value < 25.00% & > 15.00% of total fund
Performance (Since 813112017)
Rank in the Top 50% of manager universe
Return > Russell 1000 Growth
Boston Partners SMID Cap Value,
SMID Caoitalization Value Eouitv Portfolio
Market Value < 7.50% & > 2.50% of total fund
Performance (Since 8/31/2017)
Rank in the Top 50% of manager universe
Return > Russell Mid Value
Fiera Capital SMID Cap Growth
SMID Caoitalization Growth Eouitv Portfolio
Market Value < 7.50% & > 2.50% of total fund
Performance (Since 8/31/2017)
Rank in the Top 50% of manager universe
Return > Russell Mid Growth
Hiahland Capital International Value,
International Value Eouitv Portfolio
Market Value < 7.50% & > 2.50% of total fund
Performance (Since 8/31/2017)
Return > MSCI EAFE (Net)
Renaissance International Growth.
International Growth Portfolio
Yes
Market Value < 10.00% & > 5.00% of total fund
Yes
3 years
Since Inception
Performance (Since 8/31/2017)
5 years
Sire Inception
No
NIA
Yes
Return > MSCI World Ex US (Net)
N/A
N/A
Yes
Hiahland Fixed Income
Fixed Income Portfolio
Yes
Market Value < 35.00% & > 20.00% of total fund
Yes
3 years
Since Inception
Performance (Since 3/31/2014)
3 years
Since Inception
Yes
N/A
No
Return > BC Agg
N/A
NIA
No
U.S. Government / Agency or U.S. Corporations
Yes
Bonds rated "A" or better
Yes
Single corporate issuer not exceed 10% of bond portfolio
Yes
(except U.S. Government/Agency)
Yes
s years
Since Inception
Center Coast MLPs
N/A
No
Master LimitedPartnershiDS
N/A
No
Market Value < 10.00% & > 0.00% of total fund
Yes
Performance (Since 8131/2017)
5 years
Since Inception
Return > Alerian MLP
N/A
No
Yes
Intercontinental
5 years
Since Inception
Core Private Real Estate,
Market Value < 10.00% & > 0.00% of total fund
Yes
N/A
NIA
No
No
Performance (Inception 10/31/2017)
3 years
Since Inception
Return > NCREIF Property Index
N/A
Yes
Return > NCREIF ODCE Index
NIA
Yes
Return > BC Agg Index
N/A
Yes
Yes
3 years
since Incention
N/A
Yes
The prices, quotes, or statistics contained herein have been obtained from sources believed to be reliable, however, its accuracy cannot be guaranteed. Past performance is not a guarantee of
future results. Page 10
Tactical Asset Allocation Reasoning
Q:ullap "fill III!!: i.I1II1I ',
US
International Equities (Developed
Markets)
Emerging Markets
US Investment Grade
International Investment Grade
Inflation -Protected Securities
High Yield
A 1111111 %¢rIII irV11WIII I,
Real Estate/REITS
Master Limited Partnerships/Energy
Infrastructure
Hedged Strategies (Hedge Funds and
Managed Futures)
Relative Weights
US equities have done exceptionally well since the global financial crisis, but they are now in the latter stages of a cyclical bull market. While the acceleration ofthe
Equal Weight Trump/Republican progrowth agenda has created a booming economy and earnings outlook, it may also be sowing the seeds for the end of the cycle as the Fed is
forced to raise rates and tighten policy in a more deliberate manner. With the exceptional run in growth and small -cap stocks, we recently reduced positions in
both and favor large -cap value stocks.
Overweight
We maintain a positive bias for Japanese and European equity markets. The populist movements around the world are now spreading to Italy, which may spur
further fiscal support from Germany and France. This would be a potential positive catalyst but not likely to develop until September.
Emerging market (EM) equities have been the strongest -performing region over the past 24 months but are underperforming so far in 2018. Some ofthis is simply
Overweight the result of a market that needs to consolidate strong gains the past few years. However, it is also directly related to the Fed's tightening campaign. We expect EM
to find support not far from current levels and have a strong finish to the year.
Underweight We have recommended shorter -duration (maturities) since March 2013, given the extremely low yields and potential capital losses associated with rising interest
rates from such low levels. While interest rates have remained exceptionally low, US economic data have been very strong recently and the Fed is now raising rates
at an accelerating pace. Adding some longer duration when 10-year US Treasury yields are above 3% makes sense.
Underweight Yields are even lower outside the US, leaving very little value in international fixed income, particularly as the global economy begins to recover more broadly.
While interest rates are likely to stay low, the offsetting diversification benefits do not warrant much, if any, position, in ourview.
With deflationary fears having become extreme in 2015 and early 2016, these securities still offer relative value in the context of our forecasted acceleration in
Overweight global growth and our expectations for oil prices and the US dollar's year -over -year rate of change to revert toward 0%. That view played out in 2016 and 2017 but
has not yet run its course.
High yield has performed exceptionally well since early 2016 with the stabilization in oil prices and retrenchment by the weaker players. We recently took our
Underweight remaining high yield positions to zero as we prepare for deterioration in quality of earnings in the US led by lower operating margins. Credit spreads have likely
reached a low for this cycle.
Real estate investment trusts (REITs) have underperformed global equities since mid-2016 when interest rates bottomed. We think it is still too early to reconsider
Underweight our underweight zero allocation given the further rise in rates we expect and deteriorating fundamentals for the industry. Non -US REITs should be favored relative
to domestic REITs.
Overweight
Master limited partnerships (MLPs) have traded better since their capitulation in March around the FERC regulatory announcement. With oil prices much more
stable and on an upward path, MLPs have garnered more interest given their 8%to 10%yields.
Equal Weight This asset category can provide uncorrelated exposure to traditional risk -asset markets. It tends to outperform when traditional asset categories are challenged by
growth scares and/or interest rate volatility spikes. As volatility becomes more persistent in 2018, these strategies should do better than in recent years.
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