Alceda

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Alceda

  1. 1. Navigator Fixed Income Total Return
  2. 2. Overview Founded in 1986, Clark Capital Management Group, Inc. is an independent employee owned investment advisory firm, managing over $2.6* billion in client assets and based in Philadelphia, PA. Clark Capital is focused on both long only and innovative risk management strategies, with a goal of successful capital preservation. Clark Capital tailors its Navigator Investment Solutions to the unique requirements of high net worth individuals, corporations, trusts, endowments, foundations, and retirement plans.* As of 3/31/2012 2
  3. 3. Investment Professionals Harry Clark K. Sean Clark, CFA Chief Executive Officer Chief Investment Officer Years Experience: 42 Years Experience: 18 Seasoned investment David J. Rights Steven T. Grant management Director of Research Senior Portfolio Manager Years Experience: 43 Years Experience: 36 team with an Jamie Mullen Senior Portfolio Manager Maira Thompson Senior Portfolio Manager average of 28 Years Experience: 26 Years Experience: 30 years of Mason Wev, CFA Elizabeth A. Schoenberg industry Portfolio Manager Portfolio Manager Years Experience: 16 Years Experience: 25 experience. John Clark Robin Lane, CFA Portfolio Manager Portfolio Liaison Years Experience: 20 Years Experience: 19 3
  4. 4. Portfolio Management Team Navigator Fixed Income Total Return  K. Sean Clark, CFA The members of the • Chief Investment Officer investment team have  David J. Rights • Director of Research extensive experience  Jamie Mullen utilizing rigorous • Senior Portfolio Manager research to develop  Mason Wev, CFA • Portfolio Manager disciplined  Elizabeth A. Schoenberg investment • Portfolio Manager processes. 4
  5. 5. Investment Philosophy We Believe … Managing portfolio volatility is the key to consistently generating excess risk adjusted returns over full market cycles. Proper risk management takes into consideration both the strengths and weaknesses of diversification. Portfolio volatility Our prudent, flexible and highly adaptable approach enables us to constantly balance risk while pursuing alpha. should be An opportunistic asset allocation and security selection process can systematically create value for our clients. managed. 5
  6. 6. Investment Philosophy Our Research Demonstrates Relative Strength… Our relative Adapts to changing themes and is not biased to an asset class, style, or capitalization approach strength research Follows a quantitative process for identifying market/asset class utilizes the leadership Is disciplined and unemotional, agnostic to market biases collective Does not depend on forecasting and is adaptive to global themes knowledge of the Is designed to participate in long-term themes that demonstrate strength markets in an effort Has flexibility to respond to event-driven market movements to identify performance leading assets. 6
  7. 7. Research Process Step 1 – Macro Analysis & Rankings Three asset classes constitute our investable universe: Short Term Treasuries; Intermediate Government Debt/High Quality Corporate Bonds; and Low Quality Corporate Bonds. Each asset class is analyzed and ranked in an attempt to take advantage of the relative strength of credit spreads. Portfolio Managers focus on the highest ranked asset class. 7
  8. 8. Research Process Step 2 – Security Analysis & Rankings Each security is analyzed and ranked against every other security in the universe. Each buy candidate is analyzed for external events, liquidity constraints and overall portfolio diversification needs 8
  9. 9. Portfolio ConstructionStep 3 – Portfolio Construction Step 4 – Portfolio Top-down quantitative relative Monitoring & Sell strength research seeks to identify Discipline leading fixed income ETFs in the favored asset class. Trim / Add around established A disciplined positions. Final buy candidates are determined through quantitative relative strength Declining relative strength portfolio research. triggers watch list. construction Debt market review of macro policies Inflection point in relative and events. strength reversal confirmed. process seeks to Portfolio management team provide the determines size of an individual security position. foundation for consistent results. 9
  10. 10. Portfolio Characteristics & Allocation History as of 3/31/2012 # of Current Portfolio Characteristics* Holdings Ticker % Positions Yield* Total Holdings Exposure 730 Barclays High Yield Bond SPDR JNK 24.00% 228 7.31% Estimated Current Yield 7.10% iShares iBoxx $ High Yield Bond HYG 23.00% 519 7.32% Average Coupon 7.97% Pioneer High Yield Y TAHYK 17.00% 346 5.63% Average Duration 4.25 Blackrock High Yield Bond BHYAX 17.00% 596 6.27% Average Credit Quality B JP Morgan High Yield Bond Select OHYAK 16.00% 1088 7.11% Cash 3.00% 100% 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% 1/1/2005 1/1/2006 1/1/2007 1/1/2008 1/1/2009 1/1/2010 1/1/2011 1/1/2012 Low Quality (High Yield ETFs) High Quality (Treasury ETFs) Short Term (Treasury Bill ETFs)* Source: Morningstar Direct 10
  11. 11. Fixed Income Total Return Portfolio Objective: The Fixed Income Total Return strategy is designed to deliver excess alpha over a full market cycle measured against Barclays Capital U.S. High Yield Bond Index and Barclays Capital U.S. Aggregate Bond Low Quality Bond Index. The strategy seeks total return with a secondary goal of current income. Fixed Income Total ReturnU.S. Short-Term High Quality Treasuries U.S. Government/ Corporate Bond 11
  12. 12. Competitive Advantage Our Results, Size, Style, and Flexibility Research driven, more than two decades of experience Excellence is Independent and invested alongside our clients pursued through a Consistent excess performance versus peer managers Quantitative, repeatable investment process dedication to Flexibility providing the key to portfolio alpha continual improvement. 12
  13. 13. Source: Morningstar Direct. Pure gross returns do not include the deduction of transaction costs, and are shown as Supplemental Information. 13
  14. 14. Source: Morningstar Direct. Pure gross returns do not include the deduction of transaction costs, and are shown as Supplemental Information. 14
  15. 15. Source: Morningstar Direct. Pure gross returns do not include the deduction of transaction costs, and are shown as Supplemental Information. 15
  16. 16. Source: Morningstar Direct. Pure gross returns do not include the deduction of transaction costs, and are shown as Supplemental Information. 16
  17. 17. Source: Morningstar Direct. Pure gross returns do not include the deduction of transaction costs, and are shown as Supplemental Information. 17
  18. 18. Source: Morningstar Direct. Pure gross returns do not include the deduction of transaction costs, and are shown as Supplemental Information. 18
  19. 19. Source: Morningstar Direct. Pure gross returns do not include the deduction of transaction costs, and are shown as Supplemental Information. 19
  20. 20. Source: Morningstar Direct. Pure gross returns do not include the deduction of transaction costs, and are shown as Supplemental Information. 20
  21. 21. Source: Morningstar Direct. Pure gross returns do not include the deduction of transaction costs, and are shown as Supplemental Information. 21
  22. 22. Disclosure and GIPS® Performance Presentation 22
  23. 23. Disclosure and GIPS® Performance Presentation 23
  24. 24. Standard Deviation - A statistical measurement of dispersion about an average, which, Sharpe Ratio - A risk-adjusted measure developed by Nobel Laureate William for a mutual fund, depicts how widely the returns varied over a certain period of time. Sharpe. It is calculated by using standard deviation and excess return to determine Investors use the standard deviation of historical performance to try to predict the reward per unit of risk. The higher the Sharpe Ratio, the better the funds historical range of returns that are most likely for a given fund. When a fund has a high standard risk-adjusted performance. The Sharpe ratio is calculated for the past 36-month deviation, the predicted range of performance is wide, implying greater period by dividing a funds annualized excess returns by the standard deviation of volatility. Standard deviation is most appropriate for measuring risk if it is for a fund a funds annualized excess returns. Since this ratio uses standard deviation as its that is an investors only holding. The figure cannot be combined for more than one risk measure, it is most appropriately applied when analyzing a fund that is an fund because the standard deviation for a portfolio of multiple funds is a function of investors sole holding. The Sharpe Ratio can be used to compare two funds directly not only the individual standard deviations, but also of the degree of correlation among on how much risk a fund had to bear to earn excess return over the risk-free rate. the funds returns. If a funds returns follow a normal distribution, then approximately 68 percent of the time they will fall within one standard deviation of the mean return R-Squared - Reflects the percentage of a portfolios movements that can be for the fund, and 95 percent of the time within two standard deviations. Morningstar explained by movements in its benchmark. computes standard deviation using the trailing monthly total returns for the appropriate time period. All of the monthly standard deviations are then annualized. Downside Capture Ratio – Measures a managers performance in down markets. A down-market is defined as those periods (months or quarters) in which market 3 Year Standard Deviation - The 3-Year Standard Deviation represents the annualized return is less than 0. In essence, it tells you what percentage of the down-market standard deviation of annualized standard deviation of actual composite and was captured by the manager. For example, if the ratio is 110%, the manager has benchmark returns, using the rolling 36-months ended each year-end. captured 110% of the down-market and therefore underperformed the market on the downside. Beta - A measure of systematic risk with respect to a benchmark. Systematic risk is the tendency of the value of the fund and the value of benchmark to move together. Beta Upside Capture Ratio - Measures a managers performance in up markets relative measures the sensitivity of the fund’s excess return (total return minus the risk-free to the market (benchmark) itself. It is calculated by taking the security’s upside return) with respect to the benchmark’s excess return that results from their systematic capture return and dividing it by the benchmark’s upside capture return. co-movement. It is the ratio of what the excess return of the fund would be to the excess return of the benchmark if there were no fund-specific sources of return. If beta is Bull Beta - A measure of the sensitivity of a fund’s return to positive changes in its greater than one, movements in value of the fund that are associated with movements benchmark’s return. in the value of the benchmark tend to be amplified. If beta is one, they tend to be the same, and if beta is less than one, they tend to be dampened. If such movements tend to Bear Beta - Bear Beta is a measure of the sensitivity of a fund’s return to negative be in opposite directions, beta is negative. Beta is measured as the slope of the changes in its benchmark’s return. regression of the excess return on the fund as the dependent variable and the excess return on the benchmark as the independent variable. Best Month - This is the highest monthly return of the investment since its inception or for as long as data is available. The beta of the market is 1.00 by definition. Morningstar calculates beta by comparing a portfolios excess return over T-bills to the benchmarks excess return over T-bills, so a Worst Month - This is the lowest monthly return of the investment since its beta of 1.10 shows that the portfolio has performed 10% better than its benchmark in up inception or for as long as data is available. markets and 10% worse in down markets, assuming all other factors remain constant. Conversely, a beta of 0.85 indicates that the portfolios excess return is expected to Maximum Gain - The peak to trough incline during a specific record period of an perform 15% worse than the benchmark’s excess return during up markets and 15% investment or fund. It is usually quoted as the percentage between the peak to the better during down markets. trough. Alpha - A measure of the difference between a portfolio’s actual returns and its Maximum Drawdown - The peak to trough decline during a specific record period expected performance, given its level of risk as measured by beta. A positive Alpha of an investment or fund. It is usually quoted as the percentage between the peak to figure indicates the portfolio has performed better than its beta would predict. In the trough. contrast, a negative Alpha indicates the portfolio has underperformed, given the expectations established by beta. Alpha is calculated by taking the excess average monthly return of the investment over the risk free rate and subtracting beta times the excess average monthly return of the benchmark over the risk free rate.Source: Morningstar Direct. Pure gross returns do not include the deduction of transaction costs, and are shown as Supplemental Information. 24

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