Hypothetical Backtested Performance Disclosures
The hypothetical performance results included in this material are for a back-tested model portfolio and are shown for illustrative purposes only. Neuberger Berman calculated the hypothetical results by running a model portfolio on a back-tested basis using the methodology described herein. The results do not represent the performance of any Neuberger Berman managed account or product and do not reflect the fees and expenses associated with managing a portfolio.
The model risk parity portfolio includes bonds, equities and commodities, with volatility contributions equally weighted based on two-year trailing realized volatility, and a target portfolio volatility of 10% annualized; bonds are represented by the Ibbotson U.S. Intermediate-Term Government Bond Index, equities by the S&P 500 Index and commodities by the GSCI Commodity Index after 1970, and commodity futures data from Bloomberg pre-1970. 60/40 portfolio consists of 60% S&P 500 Index and 40% Ibbotson U.S. Intermediate-Term Government Bond Index, rebalanced monthly. The results assume a minimum investment of $10 million, monthly rebalancing, no cash allocation, no withdrawals and reinvestment of any dividends and distribution. Model performance figures referenced are shown gross of fees, which do not reflects the deduction of investment advisory fees and other expense. If such fees and expense were reflected, returns referenced would be lower.
There may be material differences between the hypothetical back-tested performance results and actual results achieved by actual accounts. Back-tested model performance is hypothetical and does not represent the performance of actual accounts. Hypothetical performance has certain inherent limitations. Unlike actual investment performance, hypothetical results do not represent actual trading and accordingly the performance results may have under- or over-compensated for the impact, if any, that certain economic or other market factors, such as lack of liquidity or price fluctuations, might have had on the investment decision-making process or results if assets were actually being managed. Hypothetical performance may also not accurately reflect the impact, if any, of other material economic and market factors, or the impact of financial risk and the ability to withstand losses. Hypothetical performance results are also subject to the fact that they are generally designed with the benefit of hindsight. As a result, the back-tested models theoretically may be changed from time to time to obtain more favorable performance results. In addition, the results are based, in part, on hypothetical assumptions. Certain of the assumptions have been made for modeling purposes and may not have been realized in the actual management of accounts. No representation or warranty is made as to the reasonableness of the assumptions made or that all assumptions used in achieving the hypothetical results have been stated or fully considered. Changes in the model assumptions may have a material impact on the hypothetical returns presented. There are frequently material differences between hypothetical performance results and actual results achieved by any investment strategy. Neuberger Berman did not manage any accounts in this manner reflected in the models during the backtested time periods shown.
This material is provided for informational purposes only and nothing herein constitutes investment, legal, accounting or tax advice. This material is general in nature and is not directed to any category of investors and should not be regarded as individualized, a recommendation, investment advice or a suggestion to engage in or refrain from any investment-related course of action. Investment decisions and the appropriateness of this material should be made based on an investor's individual objectives and circumstances and in consultation with his or her advisors. Information is obtained from sources deemed reliable, but there is no representation or warranty as to its accuracy, completeness or reliability. All information is current as of the date of this material and is subject to change without notice. Any views or opinions expressed may not reflect those of the firm as a whole. This material may include estimates, outlooks, projections and other “forward-looking statements.” Due to a variety of factors, actual events or market behavior may differ significantly from any views expressed. Neuberger Berman products and services may not be available in all jurisdictions or to all client types. The use of tools cannot guarantee performance. Diversification does not guarantee profit or protect against loss in declining markets. Indices are unmanaged and are not available for direct investment. Investing entails risks, including possible loss of principal. Investments in hedge funds and private equity are speculative and involve a higher degree of risk than more traditional investments. Investments in hedge funds and private equity are intended for sophisticated investors only. Indexes are unmanaged and are not available for direct investment. Past performance is no guarantee of future results.
Options involve investment strategies and risks different from those associated with ordinary portfolio securities transactions. By writing put options, an investor assumes the risk of declines in the value of the underlying instrument and the risk that it must purchase the underlying instrument at an exercise price that may be higher than the market price of the instrument, including the possibility of a loss up to the entire strike price of each option it sells but without the corresponding opportunity to benefit from potential increases in the value of the underlying instrument. The investor will receive a premium from writing options, but the premium received may not be sufficient to offset any losses sustained from exercised put options.
The S&P 500 consists of 500 stocks chosen for market size, liquidity, and industry group representation. It is a market value weighted index (stock price times number of shares outstanding), with each stock’s weight in the Index proportionate to its market value. The “500” is one of the most widely used benchmarks of U.S. equity performance. As of September 16, 2005, S&P switched to a float-adjusted format, which weights only those shares that are available to investors, not all of a company’s outstanding shares. The value of the index now reflects the value available in the public markets.
The CBOE S&P 500 PutWrite Index (PUT) is designed to track the performance of an index option put writing strategy that sells a sequence of one-month, at-the-money, S&P 500 Index puts and invest cash at one- and three-month Treasury Bill rates. The number of puts sold varies from month to month, but is limited so that the amount held in Treasury Bills can finance the maximum possible loss from final settlement of the SPX puts, i.e., put options are fully collateralized.
The S&P 500® Low Volatility Index measures performance of the 100 least volatile stocks in the S&P 500. The index benchmarks low volatility or low variance strategies for the U.S. stock market. Constituents are weighted relative to the inverse of their corresponding volatility, with the least volatile stocks receiving the highest weights.
The GSCI Commodity Index, published by Standard & Poor’s, is a world production-weighted index of the most liquid futures contracts in 24 commodity sectors.
The Bloomberg Barclays Global Aggregate Index is an index of global investment grade debt from twenty-four developed and emerging local currency markets, including government, corporate and securitized fixed-rate bonds.
Ibbotson U.S. Intermediate-Term Government Bond Index is a one-bond index that tracks the total return of the shortest non-callable bond with a maturity of not less than five years for one calendar year, before choosing a new bond on the same criteria.
The MSCI USA Minimum Volatility (USD) Index aims to reflect the performance characteristics of a minimum variance strategy applied to the large and mid cap USA equity universe. The index is calculated by optimizing the MSCI USA Index, its parent index, in USD for the lowest absolute risk (within a given set of constraints). Historically, the index has shown lower beta and volatility characteristics relative to the MSCI USA Index.
The SG Trend Index is a cross-asset indicator and is an equal-weighted index track the largest trend-following hedge fund strategies. The index is published by SG Prime Services.
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