US Equity Select
Total Page:16
File Type:pdf, Size:1020Kb
US Equity Select - SMA Select UMA Lazard Asset Management LLC Style: US Large Cap Value Year Founded: 1970 Sub-Style: Relative Value GIMA Status: Approved 30 Rockefeller Plaza Firm AUM: $214.0 billion Firm Ownership: Lazard Freres & Co. LLC New York, New York 10112 Firm Strategy AUM: $4.3 billion Professional-Staff: 262^ PRODUCT OVERVIEW TARGET PORTFOLIO CHARACTERISTICS PORTFOLIO STATISTICS Lazard Asset Management LLC's large cap value equity investment Number of stock holdings: 35 to 55 ---------------06/18------ 12/17 strategy utilizes a bottom-up, value-oriented approach with the goal of ---------- Average dividend yield: Above the S&P 500 Lazard Index*** Lazard out-performing the S&P 500 Index over a market cycle. Lazard has a value-oriented investment approach that emphasizes bottom-up stock P/E ratio: Similar to/Below the S&P 500 Number of stock holdings 55 730 54 selection and strives to identify what they believe to be are inexpensively Cash level over market cycle: 0 to 10% Wtd avg dividend yield 1.8% 2.5% 1.9% priced companies that are financially productive. Key components of Lazard's process include accounting validation, which uncovers potential Risk (standard deviation): Similar to/Below the S&P 500 Wtd avg P/E ratio ¹ 20.30x 18.80x 21.00x opportunities and determines whether value is real; and fundamental Average turnover rate: 0 to 50% Wtd avg portfolio beta ——— research, which identifies companies that they believe are selling at a discount from their intrinsic business value. Lazard's process may, at Use ADRs: 0 to 0% Mega capitalization ⁺ 0.0% 39.5% 0.0% times, result in portfolios that will be over/underweighted in particular Mega, Large and Medium Capitalization: Large capitalization 0.0% 45.2% 0.0% sectors/industries versus the S&P 500 Index. companies ⁺ Medium capitalization ⁺ 0.0% 15.1% 0.0% Small capitalization ⁺ 0.0% 0.1% 0.0% Micro capitalization ⁺ 0.0% 0.1% 0.0% PORTFOLIO'S EQUITY SECTOR WEIGHTINGS ⁺ --------------- 06/18 --------- 12/17 Sector Lazard Index*** Lazard Energy 10.60 11.10 10.90 PORTFOLIO'S TOP FIVE EQUITY HOLDINGS % Materials 0.00 4.10 0.50 Alphabet Inc. Class A 5.5 Microsoft Corporation 4.9 Industrials 12.20 7.87 11.50 Apple Inc. 4.6 Consumer Discretionary 8.50 8.34 7.60 Johnson & Johnson 3.4 Medtronic plc 3.2 Consumer Staples 5.60 7.27 8.50 Health Care 14.60 13.85 12.00 16.20 23.26 14.90 Financials % PROCESS BASED ON Information Technology 28.00 9.89 24.60 0 Asset allocation - cash vs. stock Telecomm Services 0.00 3.63 3.10 10 Industry or sector weighting Utilities 0.00 5.72 0.00 90 Stock Selection MANAGER'S INVESTMENT STRATEGY Real Estate/REITs 1.40 4.91 0.00 £ Top-down / portfolio structures based on economic trends 2.90 0.00 6.40 X Bottom-up / portfolio structure based on individual securities Cash/Cash Equivalents ^As of 03/31/2016. Information as of 06/30/2018 is not yet available. *** Index : Russell 1000 Vl ¹The P/E used here is calculated by the harmonic mean. ⁺Total may not equal 100% due to rounding. Past performance is no guarantee of future results. This profile is not complete without the pages, which contain important notes, including disclosures about the composite, index descriptions and a glossary of terms. Information shown is as of June 30, 2018, unless otherwise noted. All data are subject to change. Page 1 of 6 US Equity Select - SMA Select UMA MANAGER'S INVESTMENT PROCESS RISK CONSIDERATIONS PORTFOLIO'S ALLOCATION HISTORY (%) ⁺ • Identify value universe through proprietary screening process Equity securities prices may fluctuate in response to specific 06/18 03/18 12/17 09/17 • Fundamental analysis of stocks including accounting validation situations for each company, industry, market conditions and U.S. Stocks 97 97 94 96 general economic environment. Companies paying dividends • Select stocks with low price/book, low price/cash flow, high return on ADRs/Non -U.S. Stocks 0 0 6 0 equity and assets can reduce or cut payouts at any time. Strategies that invest a large percentage of assets in only one industry sector (or in only Cash/Cash Equivalents 3 3 0 4 • Lazard will sell securities when they become fairly valued, a few sectors) are more vulnerable to price fluctuation than fundamentals change, or more attractive opportunities exist portfolios that diversify among a broad range of sectors. Investing in securities entails risks, including: When investing in value securities, the market may not necessarily have the same value assessment as the manager, and, therefore, the performance of the securities may decline. Value investing involves the risk that the market may not recognize that securities are undervalued and they may not appreciate as anticipated. Growth investing does not guarantee a profit or eliminate risk. The stocks of these companies can have relatively high valuations. Because of these high valuations, an investment in a growth stock can be more risky than an investment in a company with more modest growth expectations. Value investing does not guarantee a profit or eliminate risk. Not all companies whose stocks are considered to be value stocks are able to turn their business around or successfully employ corrective strategies which would result in stock prices that do not rise as initially expected. ^As of 03/31/2016. Information as of 06/30/2018 is not yet available. *** Index : Russell 1000 Vl ¹The P/E used here is calculated by the harmonic mean. ⁺Total may not equal 100% due to rounding. Past performance is no guarantee of future results. This profile is not complete without the pages, which contain important notes, including disclosures about the composite, index descriptions and a glossary of terms. Information shown is as of June 30, 2018, unless otherwise noted. All data are subject to change. Page 2 of 6 US Equity Select - SMA Select UMA RISK/RETURN ANALYSIS - 5 YEARS ENDING 06/30/18 AVERAGE ANNUAL TOTAL RETURN (%) - PERIODS ENDING 06/30/18 R R a a t t e e o o f f R R e e t t u u r r n n s Standard Deviation s STD ROR INVESTMENT RESULTS Annual Rates of Return (%) 10 Year - Ending 06/30/18 Lazard (Gross) 7.33 12.34 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 Annual Std. Dev. 7.30 9.18 Lazard (Gross) -32.39 30.47 12.78 3.19 15.46 31.67 12.32 1.66 10.90 18.58 10.15 14.65 Lazard (Net) Russell 1000 Vl 7.78 10.34 Lazard (Net) -34.51 26.99 9.65 0.35 12.20 28.08 9.11 -1.19 7.73 15.26 7.05 14.62 90-Day T-Bills 0.26 0.39 -36.85 19.69 15.51 0.39 17.50 32.54 13.46 -3.84 17.33 13.66 8.49 17.00 Russell 1000 Vl RISK VOLATALITY (%) PORTFOLIO'S QUARTERLY RETURNS (%) PORTFOLIO'S RISK STATISTICS - PERIODS ENDING 06/30/18 ¹ ² R Quarter1 Quarter2 Quarter3 Quarter4 3 Year 5 Year a Gross Net Gross Net Gross Net Gross Net Standard Deviation 7.34% 7.33% t 2008 -8.13 -8.85 -1.61 -2.33 -7.02 -7.74 -19.55 -20.27 e 8.32% 7.78% 2009 -6.10 -6.82 13.81 13.09 15.14 14.43 6.03 5.31 Standard Deviation of Primary Benchmark o 2010 4.50 3.78 -11.77 -12.49 11.29 10.57 9.90 9.19 1.23 1.63 f 2011 5.47 4.75 -0.93 -1.65 -12.24 -12.88 12.54 11.81 Sharpe Ratio 2012 12.29 11.51 -4.24 -4.94 7.19 6.43 0.18 -0.55 Sharpe Ratio of Primary 0.92 1.28 R Benchmark e 2013 8.25 7.51 3.47 2.75 6.21 5.49 10.67 9.91 t 2014 0.60 -0.15 4.53 3.77 0.34 -0.40 6.46 5.72 Alpha 3.29% 3.66% u 2015 2.03 1.27 0.63 -0.09 -6.48 -7.14 5.88 5.17 Beta 0.74 0.82 r 2016 -0.41 -1.16 2.98 2.25 5.84 5.11 2.16 1.41 Downside Risk 3.16% 2.66% n s 2017 6.74 5.99 1.87 1.15 4.14 3.40 4.72 3.97 R-Squared 0.72 0.75 2018 -0.68 -1.36 2.08 1.35 Tracking Error 4.44% 3.93% Related Select UMA Information Ratio 0.32 0.51 *07/01/13-12/31/13 **01/01/18-06/30/18 Number Of Up Qtrs. Down Qtrs. PORTFOLIO DIVERSIFICATION - R² (INCEPTION THROUGH 12/14)+ 1. Statistics are calculated using gross of fee performance only. Lazard (Gross) 17 3 R² 2. Russell 1000 Vl was used as the primary Lazard (Net) 14 6 0.92 Lazard vs. Russell 1000 Vl benchmark and the 90-Day T-Bills Index as the Russell 1000 Vl 16 4 risk-free benchmark. +Statistics are calculated using gross of fee performance only. See important notes and disclosures pages for a discussion of the sources of the performance data used to calculate the performance results and related analyses shown above. Past performance is no guarantee of future results. This profile is not complete without the pages, which contain important notes, including disclosures about the composite, index descriptions and a glossary of terms.