2007 institutional client conference innovative leadership, creative solutions © 2007 northern...

31
2007 INSTITUTIONAL CLIENT CONFERENCE Innovative Leadership, Creative Solutions © 2007 Northern Trust Corporation N O R T H E R N T R U S T Portable Alpha Investing The Separation of Alpha and Beta John Krieg, CFA Director, Investment Product Management Northern Trust Global Investments Wayne Bowers Director, Global Fixed Income Northern Trust Global Investments

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Northern Trust2007 INSTITUTIONAL CLIENT CONFERENCE
Innovative Leadership, Creative Solutions
© 2007 Northern Trust Corporation
N O R T H E R N T R U S T
Portable Alpha Investing
John Krieg, CFA
What is Portable Alpha?
Alpha Generating Strategy Review
Concluding Thoughts
Lower return expectations, compressed spreads, and relatively low interest rates have resulted in investors “searching for alpha.”
Desire for efficient and flexible investment strategies that help manage (not eliminate) risk.
Hedge fund (and other risky asset classes) flows hit record levels in 2006.
Increased acceptance of derivatives, synthetics or structured products to implement an asset allocation.
Pension Protection Act (PPA) and FAS 158 have changed the landscape for defined benefit plans.
Why all of the Interest in Portable Alpha?
The market environment and changing objectives have led investors to consider alternatives to traditional portfolio management.
Marketing and Communications Council
Generated through market exposure
Hedge FOF /Market Neutral
Index Derivatives (exchange traded and OTC)
Separating Alpha & Beta create the building blocks of constructing portable alpha strategies.
β
α
(LIBOR + 100)
S&P 500 Futures Proceeds
A financial engineering process of applying the alpha generated by any asset class strategy to another distinct market index or portfolio.
β
α
Marketing and Communications Council
Derivatives Market – Depth and Breadth
The derivative market’s rapid growth and increasingly higher trading volumes are making derivative securities highly liquid investments.
The depth of OTC derivatives is evident by the active market across most market indices.
OTC Derivatives Market $450 trillion
Bond Market
$65 trillion
Equity Market
$40 trillion
Derivatives Market – Growth
The OTC Derivatives Market has grown approximately 30% per year since 2000
Marketing and Communications Council
Portable Alpha – Investor Activity
Growth in Derivative Based Enhanced Strategies (e.g., Stock Plus type products) has boomed over the past 3 years.
Assets in Derivative Based Enhanced exceeded $50 billion(1) as of 2006.
The Top 200 U.S. Pension Plans had nearly $33 billion in portable alpha strategies.
Investors are increasingly considering alternatives to traditional portfolio management.
FundFire.com (Feb ’07) cited a recent survey of over 200 US corporate and public plans:
28% of the survey indicated they are in portable alpha strategies and looking to expand their investments
Note: (1) Callan Associates and Northern Trust
Marketing and Communications Council
Portable Alpha - Market Summary
The market environment and changing objectives have led investors to consider alternatives to traditional portfolio management.
The concepts of alpha and beta separation are becoming widely accepted.
We are still in the early stages of using portable alpha.
The growth of the derivatives market makes portable alpha a reality.
We believe that portable alpha is a viable option in today’s market
Marketing and Communications Council
Choosing the market exposure (beta) first limits your opportunity set.
Once a strategic asset allocation is determined, investment strategies are chosen within each asset class.
For example, a 70% allocation to domestic large-cap equities is implemented through a S&P 500 Index, Enhanced Quantitative or Active strategy.
The Traditional Approach…..
The Alpha generating source is considered first under Portable Alpha.
Select consistent alpha sources, regardless of asset class or beta exposure.
Incorporates a broad set of investment strategies ranging from long-only to hedge funds.
Provides the flexibility of combining alpha strategies that are less than perfectly correlated.
Allows for more customized solutions to better fit your investment objectives and generate more risk-efficient returns.
The appropriate beta (market) exposure can be replicated through derivatives or synthetic instruments.
Marketing and Communications Council
=
Beta
R2000
Beta
Beta
(1)Interest Rate Swaps are the beta exposure used to hedge the interest rate risk of the DB Plan’s Liabilities.
A
B
C
D
Marketing and Communications Council
Identify an active investment manager who has consistently generated total returns in excess of the small-cap equity index.
Capture the active manager’s alpha by investing in this strategy while shorting the small-cap market exposure.
Beta
R2000
Alpha
Beta
The Anatomy of a Portable Alpha Strategy
The hedge is conducted through a short position in a total return swap on the Russell 2000 Index.
The investor pays the total return on the Russell 2000 Index and receives LIBOR (1).
LIBOR (1)
+
(1) For ease of explanation, this example assumes the swap trades at Libor flat.
B. Short unwanted Beta exposure
Marketing and Communications Council
The Anatomy of a Portable Alpha Strategy
Under an LDI framework, investors can use interest rate swaps to capture the necessary interest rate exposure (beta) to match the plan’s liabilities.
Going short the interest rate swap results in receiving a fixed-rate payment and paying LIBOR.
LIBOR
Beta
+
+
Receive
Pay
The Anatomy of a Portable Alpha Strategy
+
+
=
Alpha
Beta
Marketing and Communications Council
=
13.00%
2.30%
5.25%
5.25%
13.00%
5.00%
5.00%
(1)Interest Rate Swaps are the beta exposure used to hedge the interest rate risk of the DB Plan’s Liabilities.
Transporting Small Cap Equity Alpha
A
B
C
D
An efficient total return strategy generating an absolute return of 7.3% or 2.3% over any designated index.
Marketing and Communications Council
Identifying Alpha Generating Strategies
The alpha engines used in portable alpha strategies have expanded from long only equity and fixed income to alternative asset classes.
An alpha target or risk tolerance helps define the alpha sources used in portable alpha strategies.
Alpha sources need to consistently demonstrate out-performance (over rolling periods) and have high information ratios.
Liquid, diversified and uncorrelated strategies are ideal.
Investors should look for alpha that can be easily separated from known beta or alpha strategies with little to no underlying beta exposure.
Higher alpha generation eventually comes at the cost of increased beta exposure, lack of transparency, and/or increased leverage.
We believe identifying and generating consistent sources of alpha are a major challenge in a portable alpha strategy.
Marketing and Communications Council
Strategy:
Alpha:
Description:
(1) The beta exposure would need to be shorted to be used as an alpha strategy.
Enhanced Cash Libor + 100
Equity (1) (Long Only)
Hedge Fund FOF Multi-Strategy
50 – 100 bps
100 – 200 bps
200 – 400 bps
400 – 600 bps
Active portfolio of short duration fixed income securities with an average portfolio duration of less than 1 year. Goal is to outperform the short term financing rate of LIBOR.
Active portfolio that seeks to exceed the market return. A skilled portfolio manager generates alpha through security selection, sector allocation or other active investment decision.
130/30 is typically a quantitatively managed strategy that goes long 130% and short 30%, with a neutral beta of 1 to a particular index. A currency/credit strategy manages long/short currency in developed and emerging markets through pair trades. A market neutral HF minimizes market risk or beta exposure through long and short positions that offset each other.
Hedge FOF is a diversified pool of hedge funds that invests in a variety of strategies among multiple managers. Multi-Strategy hedge funds manage a basket of low correlation strategies determined by the manager.
Marketing and Communications Council
Multi-dimensional Exposure
Multi-exposure instruments
Buying three 20 year bond issues in Euros, Sterling, & Dollars from the same corporate issuer will impact duration, credit and currency exposure.
Source: Lehman Brothers, NTGI
Marketing and Communications Council
Single exposure instruments (Derivatives)
Targeting the risk you want; Eliminating the risks you don’t want.
The development of the derivatives market enabled efficient implementation of ideas.
Moving away from benchmarks towards absolute return strategies.
The risk budget sources remain the same (e.g., interest rate, currency and credit), however the implementation results in more efficient alpha.
Fixed Income as an Alpha Source
Markets & Solutions have been evolving - and so have the approaches to managing risk
Marketing and Communications Council
Forecasting expected ranges and price movements across interest rates, credit and currencies is required to generate alpha.
Combining these forecasts provides the framework for managing risk.
Dollar Index – Investment Strategy
Investment Grade Credit Spread
Marketing and Communications Council
3/13/07
0.25
2.00
2.90
4.50
2.00
2.51
2.00
4.5244
4.549
4.365
4.39
4.3368
4.3741
4.3559
4.38
4.4133
4.4179
4.3537
4.3388
4.367
4.429
4.424
4.5185
4.4622
4.5501
4.3154
4.4072
4.4027
4.4864
4.46
4.56
4.4445
4.6359
4.3967
4.5886
4.2306
4.4084
4.2543
4.4898
4.1876
4.3653
4.1606
4.3388
4.0675
4.2989
3.9252
4.2535
3.9182
4.1688
3.7462
4.0337
4.0336
4.1572
4.0383
4.2291
4.057
4.2631
4.129
4.4056
4.0356
4.3127
3.9161
4.2246
3.8979
4.2245
3.7084
4.0604
3.7826
4.0875
3.5996
3.9218
3.7284
4.1286
3.6933
4.0832
3.575
3.9674
3.6072
4.0299
3.6637
4.1249
3.6036
4.12
3.7253
4.2657
3.6588
4.1985
3.6255
4.2488
3.4958
4.2344
3.7721
4.4824
3.7257
4.4658
3.8609
4.5993
3.7093
4.5147
3.718
4.5388
3.5694
4.3031
3.5132
4.2716
3.436
4.28
3.3419
4.0915
3.2864
4.0734
3.2221
4.114
3.1567
4.15
3.224
4.216
3.19
4.25
3.1
4.25
Euro
young39
2.9
3.4
3.2
Euro
38898
38898
38747
38747
38740
38740
38734
38734
38726
38726
38720
38720
38713
38713
38705
38705
38698
38698
38691
38691
38684
38684
38677
38677
38670
38670
38663
38663
38656
38656
38649
38649
38642
38642
38635
38635
38628
38628
38621
38621
38614
38614
38607
38607
38600
38600
38593
38593
38586
38586
38579
38579
38572
38572
38565
38565
38558
38558
38551
38551
38544
38544
38539
38539
38530
38530
38523
38523
38516
38516
38509
38509
38503
38503
38495
38495
38488
38488
38481
38481
38474
38474
38467
38467
38460
38460
38453
38453
38446
38446
38439
38439
38432
38432
38425
38425
38418
38418
38411
38411
38405
38405
38397
38397
38390
38390
38383
38383
38376
38376
38369
38369
38362
38362
38355
38355
38348
38348
38341
38341
38334
38334
38327
38327
38320
38320
38313
38313
38306
38306
38299
38299
38292
38292
38285
38285
38278
38278
38271
38271
38264
38264
38257
38257
38250
38250
38243
38243
38236
38236
38229
38229
38222
38222
38215
38215
38208
38208
38201
38201
38194
38194
38187
38187
38180
38180
38174
38174
38166
38166
2.977
3.499
2.908
3.38
2.819
3.258
2.786
3.26
2.91
3.361
2.872
3.325
2.823
3.339
2.787
3.431
2.664
3.427
2.731
3.418
2.829
3.521
2.73
3.511
2.71
3.485
2.644
3.409
2.48
3.224
2.487
3.291
2.452
3.162
2.415
3.179
2.313
3.117
2.238
3.092
2.216
3.112
2.126
3.05
2.229
3.141
2.198
3.195
2.236
3.273
2.329
3.371
2.281
3.286
2.186
3.231
2.211
3.259
2.146
3.181
2.165
3.218
2.026
3.117
2.146
3.314
2.072
3.183
2.1
3.219
2.166
3.289
2.288
3.378
2.235
3.31
2.267
3.445
2.246
3.396
2.312
3.469
2.321
3.456
2.403
3.563
2.462
3.604
2.594
3.711
2.538
3.703
2.435
3.767
2.411
3.686
2.493
3.71
2.483
3.7
2.395
3.492
2.402
3.497
2.391
3.549
2.401
3.573
2.392
3.56
2.448
3.615
2.48
3.667
2.43
3.61
2.375
3.594
2.327
3.61
2.313
3.738
2.37
3.817
2.44
3.78
2.352
3.766
2.487
3.896
2.429
3.873
2.406
3.867
2.423
3.89
2.504
3.946
2.611
4.04
2.599
3.976
2.586
4.053
2.565
4.062
2.62
4.13
2.455
4.074
2.436
4.06
2.43
4.05
2.457
4.074
2.626
4.216
2.66
4.247
2.565
4.194
2.61
4.235
2.63
4.26
2.72
4.32
JGBs
young39
2.9
3.4
3.2
JGBs
38898
38898
38747
38747
38740
38740
38734
38734
38726
38726
38720
38720
38713
38713
38705
38705
38698
38698
38691
38691
38684
38684
38677
38677
38670
38670
38663
38663
38656
38656
38649
38649
38642
38642
38635
38635
38628
38628
38621
38621
38614
38614
38607
38607
38600
38600
38593
38593
38586
38586
38579
38579
38572
38572
38565
38565
38558
38558
38551
38551
38544
38544
38539
38539
38530
38530
38523
38523
38516
38516
38509
38509
38503
38503
38495
38495
38488
38488
38481
38481
38474
38474
38467
38467
38460
38460
38453
38453
38446
38446
38439
38439
38432
38432
38425
38425
38418
38418
38411
38411
38405
38405
38397
38397
38390
38390
38383
38383
38376
38376
38369
38369
38362
38362
38355
38355
38348
38348
38341
38341
38334
38334
38327
38327
38320
38320
38313
38313
38306
38306
38299
38299
38292
38292
38285
38285
38278
38278
38271
38271
38264
38264
38257
38257
38250
38250
38243
38243
38236
38236
38229
38229
38222
38222
38215
38215
38208
38208
38201
38201
38191
38191
38187
38187
38180
38180
38173
38173
38166
38166
Japanese Govt Bonds - 6 month Forecast Range vs. Market Rates
0.315
1.565
0.255
1.45
0.255
1.435
0.288
1.45
0.296
1.48
0.294
1.5
0.26
1.545
0.275
1.605
0.254
1.575
0.24
1.465
0.25
1.485
0.276
1.523
0.336
1.63
0.291
1.554
0.266
1.51
0.27
1.575
0.226
1.521
0.235
1.51
0.195
1.405
0.17
1.365
0.175
1.371
0.144
1.34
0.156
1.365
0.152
1.478
0.164
1.468
0.137
1.413
0.129
1.353
0.08
1.239
0.08
1.279
0.081
1.215
0.09
1.255
0.08
1.189
0.09
1.294
0.09
1.246
0.095
1.249
0.09
1.249
0.099
1.3
0.095
1.31
0.081
1.226
0.084
1.24
0.084
1.299
0.08
1.28
0.099
1.369
0.099
1.355
0.125
1.377
0.119
1.43
0.135
1.49
0.135
1.512
0.125
1.435
0.119
1.439
0.129
1.45
0.099
1.331
0.099
1.315
0.1
1.355
0.1
1.393
0.109
1.414
0.115
1.441
0.114
1.405
0.094
1.389
0.099
1.394
0.114
1.45
0.115
1.459
0.11
1.44
0.12
1.48
0.134
1.515
0.13
1.499
0.131
1.435
0.14
1.456
0.14
1.578
0.149
1.544
0.142
1.424
0.143
1.53
0.147
1.52
0.165
1.62
0.175
1.579
0.156
1.574
0.171
1.58
0.2
1.698
0.221
1.859
0.196
1.813
0.175
1.776
0.164
1.81
0.174
1.789
0.2
1.849
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0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
TIPSdata
young39
1.956
1.886
1.922
1.9
2.009
1.89
1.826
1.826
1.848
1.773
1.726
1.779
1.58
1.447
1.496
1.417
1.444
1.658
1.783
1.828
2.082
2.08
2.227
2.135
2.034
1.973
2.068
2.17
2.116
2.5
2.114
2.5
1.917
2.5
2.021
2.5
1.948
2.5
2.005
2.5
2.01
2.5
1.831
2.5
1.77
2.5
1.775
2.5
1.831
2.5
1.8
2.5
1.812
2.5
1.79
2.25
1.77
2.25
1.84
2.25
1.765
2.25
1.68
2.25
1.605
2.25
1.62
2.25
1.69
2
1.675
2
1.67
2
1.67
2
1.66
2
1.59
2
1.59
2
1.679
2
1.63
2
1.71
2
1.723
2
1.68
2
1.66
2
1.645
1.75
1.553
1.75
1.67
1.75
1.639
1.75
1.637
1.75
1.816
1.75
1.76
1.75
1.901
1.75
1.762
1.75
1.827
1.75
1.625
1.75
1.581
1.75
1.595
1.75
1.671
1.75
1.64
1.75
1.661
1.75
1.627
1.75
1.586
1.75
1.757
1.75
1.743
1.75
1.635
1.75
1.788
1.75
1.805
1.75
1.968
1.75
1.885
1.75
1.915
1.75
2.003
2
1.925
2
1.864
2
1.768
2
1.576
2
1.679
2
1.696
2
1.785
2
1.777
2
1.894
2
1.934
2
1.903
2
2.014
2
2.023
2
2.08
2
2.074
2
2.033
2
2.153
2
2.168
2
2.09
2
2.052
2
2.085
2
US Range
4.5244
4.549
4.4808
4.572
4.365
4.39
4.3038
4.412
4.3368
4.3741
4.2771
4.3937
4.3559
4.38
4.3223
4.4054
4.4133
4.4179
4.3913
4.4434
4.3537
4.3388
4.3307
4.3669
4.367
4.429
4.372
4.4602
4.424
4.5185
4.456
4.5639
4.4622
4.5501
4.4863
4.5944
4.3154
4.4072
4.3181
4.4478
4.4027
4.4864
4.4135
4.5264
4.46
4.56
4.51
4.61
4.4445
4.6359
4.5069
4.6894
4.3967
4.5886
4.4392
4.6379
4.2306
4.4084
4.2418
4.4497
4.2543
4.4898
4.3036
4.5388
4.1876
4.3653
4.2447
4.4149
4.1606
4.3388
4.2314
4.3933
4.0675
4.2989
4.1234
4.3555
3.9252
4.2535
3.9599
4.3127
3.9182
4.1688
3.9596
4.2241
3.7462
4.0337
3.7909
4.0904
4.0336
4.1572
4.0834
4.197
4.0383
4.2291
4.0912
4.2795
4.057
4.2631
4.1327
4.3163
4.129
4.4056
4.2472
4.4715
4.0356
4.3127
4.1392
4.3774
3.9161
4.2246
4.0187
4.2909
3.8979
4.2245
4.0198
4.2981
3.7084
4.0604
3.815
4.1326
3.7826
4.0875
3.891
4.159
3.5996
3.9218
3.6937
3.9943
3.7284
4.1286
3.8827
4.2164
3.6933
4.0832
3.8527
4.1697
3.575
3.9674
3.7109
4.0499
3.6072
4.0299
3.7604
4.1218
3.6637
4.1249
3.8451
4.2199
3.6036
4.12
3.7653
4.2178
3.7253
4.2657
3.8951
4.372
3.6588
4.1985
3.8065
4.2978
3.6255
4.2488
3.7965
4.3571
3.4958
4.2344
3.6679
4.346
3.7721
4.4824
4.0307
4.6055
3.7257
4.4658
3.9821
4.5863
3.8609
4.5993
4.1571
4.728
3.7093
4.5147
3.9779
4.6405
3.718
4.5388
4.0425
4.6703
3.5694
4.3031
3.8099
4.4199
3.5132
4.2716
3.7592
4.3945
3.436
4.28
3.68
4.4166
3.3419
4.0915
3.5548
4.2096
3.2864
4.0734
3.4931
4.1937
3.2221
4.114
3.45
4.2799
3.1567
4.15
3.3708
4.2755
3.224
4.216
3.4754
4.3709
3.19
4.25
3.43
4.42
3.1
4.25
3.41
4.43
3.025
4.24
3.26
4.3923
2.991
4.185
3.25
4.32
2.92
4.14
3.186
4.3121
2.924
4.25
3.22
4.4277
3.045
4.31
3.36
4.492
2.93
4.194
3.24
4.3692
2.814
4.175
3.08
4.3563
2.794
4.202
3.067
4.3942
2.565
4.03
2.72
4.2353
2.508
3.976
2.789
4.1675
2.516
4.055
2.82
4.2545
2.58
4.133
2.9
4.335
2.66
4.214
2.98
4.42
2.59
4.05
2.88
4.24
2.408
4.072
2.73
4.31
2.473
4.172
2.81
4.4237
2.48
4.17
2.83
4.42
2.47
4.21
2.82
4.46
2.401
4.225
2.8
4.48
2.43
4.2
2.65
4.35
2.375
4.214
2.7753
4.4565
2.64
4.45
3.09
4.71
2.657
4.444
3.186
4.6946
2.5
4.37
2.98
4.61
2.51
4.46
3.01
4.71
2.51
4.45
3.02
4.72
2.74
4.65
3.24
4.89
2.76
4.7
3.36
4.98
2.88
4.84
3.53
5.12
2.7
4.76
3.37
5.1
2.54
4.676
3.24
5.01
2.525
4.732
3.26
5.05
2.48
4.71
3.07
4.92
2.561
4.752
3.22
5.1
2.331
4.52
2.9
4.81
2.233
4.446
2.82
4.73
1.985
4.324
2.59
4.68
1.883
4.234
2.42
4.53
1.887
4.199
2.39
4.51
1.62
3.882
2.01
4.17
1.502
3.752
1.519
3.762
1.504
3.774
1.641
3.969
1.652
4.036
1.67
4.04
1.737
4.069
1.827
4.153
1.676
4.084
1.669
4.047
1.672
4.107
1.948
4.399
1.827
4.185
1.743
4.11
1.826
4.257
1.851
4.221
2.132
4.434
1.848
4.196
2.008
4.424
1.818
4.293
1.716
4.22
1.855
4.388
1.641
4.269
1.633
4.199
1.458
3.938
1.629
4.205
1.588
4.277
1.689
4.357
2.004
4.595
1.894
4.475
1.734
4.363
1.723
4.428
1.681
4.285
1.616
4.282
1.622
4.212
1.34
3.726
1.354
3.733
1.304
3.515
1.139
3.313
1.157
3.173
1.182
3.278
1.31
3.41
38898
38898
38747
38747
38740
38740
38734
38734
38726
38726
38720
38720
38713
38713
38705
38705
38698
38698
38691
38691
38684
38684
38677
38677
38670
38670
38663
38663
38656
38656
38649
38649
38642
38642
38635
38635
38628
38628
38621
38621
38614
38614
38607
38607
38600
38600
38593
38593
38586
38586
38579
38579
38572
38572
38565
38565
38558
38558
38551
38551
38544
38544
38539
38539
38530
38530
38523
38523
38516
38516
38509
38509
38503
38503
38495
38495
38488
38488
38481
38481
38474
38474
38467
38467
38460
38460
38453
38453
38446
38446
38439
38439
38432
38432
38425
38425
38418
38418
38411
38411
38405
38405
38397
38397
38390
38390
38383
38383
38376
38376
38369
38369
38362
38362
38355
38355
38348
38348
38341
38341
38334
38334
38327
38327
38320
38320
38313
38313
38306
38306
38299
38299
38292
38292
38285
38285
38278
38278
38271
38271
38264
38264
38257
38257
38250
38250
38243
38243
38236
38236
38229
38229
38222
38222
38215
38215
38208
38208
38201
38201
38194
38194
38187
38187
38180
38180
38174
38174
38166
38166
38159
38159
38152
38152
38145
38145
38139
38139
38131
38131
38124
38124
38117
38117
38110
38110
38103
38103
38096
38096
38089
38089
38082
38082
38075
38075
38068
38068
38061
38061
38054
38054
38047
38047
38040
38040
38034
38034
38026
38026
38019
38019
38012
38012
38006
38006
37998
37998
37991
37991
37984
37984
37977
37977
37970
37970
37963
37963
37956
37956
37949
37949
37935
37935
37925
37925
37918
37918
37911
37911
37904
37904
37897
37897
37894
37894
37887
37887
37880
37880
37873
37873
37867
37867
37859
37859
37852
37852
37845
37845
37838
37838
37831
37831
37824
37824
37817
37817
37810
37810
37803
37803
37796
37796
37789
37789
37782
37782
37773
37773
2.977
3.499
2.908
3.38
2.819
3.258
2.786
3.26
2.91
3.361
2.872
3.325
2.823
3.339
2.787
3.431
2.664
3.427
2.731
3.418
2.829
3.521
2.73
3.511
2.71
3.485
2.644
3.409
2.48
3.224
2.487
3.291
2.452
3.162
2.415
3.179
2.313
3.117
2.238
3.092
2.216
3.112
2.126
3.05
2.229
3.141
2.198
3.195
2.236
3.273
2.329
3.371
2.281
3.286
2.186
3.231
2.211
3.259
2.146
3.181
2.165
3.218
2.026
3.117
2.146
3.314
2.072
3.183
2.1
3.219
2.166
3.289
2.288
3.378
2.235
3.31
2.267
3.445
2.246
3.396
2.312
3.469
2.321
3.456
2.403
3.563
2.462
3.604
2.594
3.711
2.538
3.703
2.435
3.767
2.411
3.686
2.493
3.71
2.483
3.7
2.395
3.492
2.402
3.497
2.391
3.549
2.401
3.573
2.392
3.56
2.448
3.615
2.48
3.667
2.43
3.61
2.375
3.594
2.327
3.61
2.313
3.738
2.37
3.817
2.44
3.78
2.352
3.766
2.487
3.896
2.429
3.873
2.406
3.867
2.423
3.89
2.504
3.946
2.611
4.04
2.599
3.976
2.586
4.053
2.565
4.062
2.62
4.13
2.455
4.074
2.436
4.06
2.43
4.05
2.457
4.074
2.626
4.216
2.66
4.247
2.565
4.194
2.61
4.235
2.63
4.26
2.72
4.32
2.7
4.36
2.76
4.423
2.628
4.383
2.578
4.374
2.54
4.31
2.567
4.309
2.582
4.302
2.439
4.175
2.428
4.181
2.361
4.113
2.281
4.067
2.366
4.08
2.083
3.87
2.106
3.891
2.157
3.901
2.179
3.984
2.215
4.051
2.348
4.135
2.315
4.103
2.362
4.144
2.524
4.24
2.355
4.095
2.437
4.152
2.407
4.141
2.616
4.33
2.606
4.25
2.642
4.289
2.677
4.304
2.659
4.344
2.812
4.457
2.592
4.323
2.671
4.365
2.843
4.497
2.686
4.331
2.634
4.265
2.7
4.323
2.533
4.2
2.568
4.21
2.348
4.029
2.415
4.16
2.442
4.154
2.56
4.314
2.593
4.197
2.62
4.186
2.54
4.16
2.42
4.015
2.643
4.194
2.278
4
2.27
4.041
2.138
3.917
2.105
3.932
2.179
3.848
2.032
3.697
1.888
3.465
2.025
3.679
38898
38898
38747
38747
38740
38740
38734
38734
38726
38726
38720
38720
38713
38713
38705
38705
38698
38698
38691
38691
38684
38684
38677
38677
38670
38670
38663
38663
38656
38656
38649
38649
38642
38642
38635
38635
38628
38628
38621
38621
38614
38614
38607
38607
38600
38600
38593
38593
38586
38586
38579
38579
38572
38572
38565
38565
38558
38558
38551
38551
38544
38544
38539
38539
38530
38530
38523
38523
38516
38516
38509
38509
38503
38503
38495
38495
38488
38488
38481
38481
38474
38474
38467
38467
38460
38460
38453
38453
38446
38446
38439
38439
38432
38432
38425
38425
38418
38418
38411
38411
38405
38405
38397
38397
38390
38390
38383
38383
38376
38376
38369
38369
38362
38362
38355
38355
38348
38348
38341
38341
38334
38334
38327
38327
38320
38320
38313
38313
38306
38306
38299
38299
38292
38292
38285
38285
38278
38278
38271
38271
38264
38264
38257
38257
38250
38250
38243
38243
38236
38236
38229
38229
38222
38222
38215
38215
38208
38208
38201
38201
38191
38191
38187
38187
38180
38180
38173
38173
38166
38166
38159
38159
38152
38152
38145
38145
38138
38138
38131
38131
38124
38124
38117
38117
38110
38110
38103
38103
38096
38096
38089
38089
38082
38082
38075
38075
38068
38068
38061
38061
38054
38054
38047
38047
38040
38040
38034
38034
38026
38026
38019
38019
38012
38012
38006
38006
37998
37998
37991
37991
37984
37984
37977
37977
37970
37970
37960
37960
37956
37956
37949
37949
37935
37935
37925
37925
37918
37918
37911
37911
37904
37904
37897
37897
37894
37894
37887
37887
37880
37880
37873
37873
37867
37867
37859
37859
37852
37852
37845
37845
37838
37838
37831
37831
37824
37824
37817
37817
37810
37810
37803
37803
37796
37796
37789
37789
37782
37782
37773
37773
Japanese Govt Bonds - 6 month Forecast Range vs. Market Rates
0.315
1.565
0.255
1.45
0.255
1.435
0.288
1.45
0.296
1.48
0.294
1.5
0.26
1.545
0.275
1.605
0.254
1.575
0.24
1.465
0.25
1.485
0.276
1.523
0.336
1.63
0.291
1.554
0.266
1.51
0.27
1.575
0.226
1.521
0.235
1.51
0.195
1.405
0.17
1.365
0.175
1.371
0.144
1.34
0.156
1.365
0.152
1.478
0.164
1.468
0.137
1.413
0.129
1.353
0.08
1.239
0.08
1.279
0.081
1.215
0.09
1.255
0.08
1.189
0.09
1.294
0.09
1.246
0.095
1.249
0.09
1.249
0.099
1.3
0.095
1.31
0.081
1.226
0.084
1.24
0.084
1.299
0.08
1.28
0.099
1.369
0.099
1.355
0.125
1.377
0.119
1.43
0.135
1.49
0.135
1.512
0.125
1.435
0.119
1.439
0.129
1.45
0.099
1.331
0.099
1.315
0.1
1.355
0.1
1.393
0.109
1.414
0.115
1.441
0.114
1.405
0.094
1.389
0.099
1.394
0.114
1.45
0.115
1.459
0.11
1.44
0.12
1.48
0.134
1.515
0.13
1.499
0.131
1.435
0.14
1.456
0.14
1.578
0.149
1.544
0.142
1.424
0.143
1.53
0.147
1.52
0.165
1.62
0.175
1.579
0.156
1.574
0.171
1.58
0.2
1.698
0.221
1.859
0.196
1.813
0.175
1.776
0.164
1.81
0.174
1.789
0.2
1.849
0.206
1.853
0.261
1.859
0.14
1.68
0.15
1.529
0.141
1.47
0.125
1.51
0.14
1.515
0.15
1.54
0.131
1.509
0.135
1.506
0.135
1.492
0.131
1.5
0.125
1.445
0.134
1.405
0.094
1.271
0.13
1.436
0.065
1.235
0.06
1.2
0.06
1.261
0.069
1.281
0.08
1.322
0.08
1.345
0.094
1.313
0.114
1.361
0.125
1.37
0.115
1.319
0.121
1.31
0.125
1.306
0.16
1.45
0.155
1.304
0.135
1.311
0.18
1.541
0.135
1.454
0.106
1.355
0.1
1.426
0.109
1.305
0.145
1.435
0.195
1.445
0.129
1.23
0.17
1.52
0.176
1.535
0.275
1.646
0.194
1.353
0.095
1.23
0.08
0.91
0.08
0.98
0.089
0.925
0.117
1.04
0.099
1.005
0.116
1.205
0.084
0.846
0.055
0.625
0.045
0.465
0.045
0.506
0.05
0.54
Chart1
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38408
38415
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Price
Date
Rate
83.6
82.97
83.31
83.45
84.43
84.58
83.48
82.64
82.52
81.44
82.12
84.15
84.41
84.41
84.48
83.51
84.39
84.61
86.11
86.6
87.6
87.63
89.11
88.05
88.4
90.39
90.24
89.64
89.64
88.63
87.8
87.27
88.1
87.52
86.26
87.52
88.44
89.37
90.04
89.46
89.46
90.28
89.83
91.25
92.05
91.59
90.98
91.59
90.8
89.9
91.19
90.88
89.26
89.41
88.06
89.41
Px Last
Px Last
Px Last
Price
Date
Rate
Fixed Income provides a framework for efficient implementation of investment solutions
Investment forecasting idea process stays dynamic
Implementation strategy is key; removing unwanted risk
Client driven move away from benchmarking to absolute return
Portable Alpha sheds a new light on fixed income investing
Enhanced Cash
Credit Overlay
Currency Overlay
Marketing and Communications Council
Significant out performance over traditional benchmarks.
Lower volatility.
Overlay strategies can result in:
Marketing and Communications Council
Consistency of return
Marketing and Communications Council
Considerations for Long or Short Beta Positions
A successful portable alpha strategy needs to take into consideration an effective beta implementation.
Timing is critical as markets move.
Beta management is not a transaction.
Marketing and Communications Council
Portable alpha works particularly well in an LDI framework.
Provides the flexibility to structure customized strategies.
Allows for the separation of the hedging and alpha decisions in the portfolio.
Results in meaningful improvements to the overall portfolio information ratio.
Marketing and Communications Council
Portable Alpha and Extended Duration Strategies for LDI
Portfolio A is a 70% S&P 500 and 30% LB Aggregate Portfolio
Black segment represents an increasing long duration assets and decreasing equity exposure.
Red segment represents a 100% allocation to various alpha strategies transported to interest rate swaps.
Portable alpha strategies provide a risk-efficient means of generating
excess return over a plan’s liabilities.
Marketing and Communications Council
(B) 70% S&P 500 / 30% Long Duration Bonds
(F) Interest Rate Swap + Enhnaced Cash
(G) Interest Rate Swap + Small Cap Alpha
(I) Interest Rate Swap + Hedge Fund Fund of Funds
(H) Interest Rate Swap + Hedge Fund Market Neutral
(C) 50% S&P 500 / 50% Long Duration Bonds
(D) 30% S&P 500 / 70% Long Duration Bonds
(E) 10% S&P 500 / 90% Long Duration Bonds
Tracking Error vs. Liability
Excess Return over Liability
NTGI SSC
0.00%
9.13%
6.31%
0.52
0.65
0.09
0.11
-0.01
0.05
1.00
0.00%
8.00%
4.50%
0.17
0.27
0.22
0.19
0.27
0.31
0.34
1.00
2.9%
13%
0.23
2.7%
12.0%
0.23
2.0%
8.5%
0.23
1.2%
5.1%
0.23
0.4%
1.7%
0.23
(J) Interest Rate Swap + 70% S&P 500 / 30% LB Aggregate
2.8%
10.9%
0.25
(K) Interest Rate Swap + 50% S&P 500 / 30% LB Aggregate / 20% Hedge Fund FOF
2.9%
8.6%
0.34
(L) Interest Rate Swap + 30% S&P 500 / 30% LB Aggregate / 40% Hedge Funds FOF
3.0%
6.5%
0.46
(M) Interest Rate Swap + 10% S&P 500 / 30% LB Aggregate / 60% Hedge Fund FOF
3.1%
5.0%
0.62
1.0%
1.3%
0.80
2.3%
2.9%
0.78
4.4%
6.3%
0.70
3.3%
4.4%
0.76
Strategy
Implementation
(PA1) E-Cash+SWAP
Long Fixed Rate of SWAP (Hedges Int. Rate Risk of PBO), Short Floating Rate (LIBOR) Int. Rate SWAP, Long Enhanced Cash Portfolio
(PA2) SSC + SWAP
Long Fixed Rate of SWAP (Hedges Int. Rate Risk of PBO), Short Floating Rate (LIBOR) Int. Rate SWAP, Long NTGI SSC, Short R2000,
Long T-Bills (Invest R2000 Short Proceeds)
(PA3) HF FOF + SWAP
Long Fixed Rate of SWAP (Hedges Int. Rate Risk of PBO), Short Floating Rate (LIBOR) Int. Rate SWAP, Long HFR FOF
(PA4) HF Mkt. Neutral + SWAP
Long Fixed Rate of SWAP (Hedges Int. Rate Risk of PBO), Short Floating Rate (LIBOR) Int. Rate SWAP, Long HFR Mkt. Neutral
70/30 Long Duration (A)
0.00%
9.13%
6.31%
0.00%
8.00%
4.50%
0.00%
9.13%
6.31%
0.00%
8.00%
4.50%
0.00%
9.13%
6.31%
0.00%
8.00%
4.50%
Asset
Weight
Return
20.00%
9.13%
6.31%
0.00%
8.00%
4.50%
Asset
Weight
Return
40.00%
9.13%
6.31%
0.00%
8.00%
4.50%
Asset
Weight
Return
60.00%
9.13%
6.31%
0.00%
8.00%
4.50%
0.00%
9.13%
6.31%
0.00%
8.00%
4.50%
Asset
Weight
Return
100.00%
9.13%
6.31%
0.00%
8.00%
4.50%
Asset
Weight
Return
0.00%
9.13%
6.31%
100.00%
8.00%
4.50%
0.00%
9.13%
6.31%
0.00%
8.00%
4.50%
0.00%
9.13%
6.31%
0.00%
8.00%
4.50%
(B) 70% S&P 500 / 30% Long Duration Bonds
(F) Interest Rate Swap + Enhnaced Cash
(G) Interest Rate Swap + Small Cap Alpha
(I) Interest Rate Swap + Hedge Fund Fund of Funds
(H) Interest Rate Swap + Hedge Fund Market Neutral
(J) Interest Rate Swap + 70% S&P 500 / 30% LB Aggregate
(K) Interest Rate Swap + 50% S&P 500 / 30% LB Aggregate / 20% Hedge Fund FOF
(L) Interest Rate Swap + 30% S&P 500 / 30% LB Aggregate / 40% Hedge Funds FOF
(M) Interest Rate Swap + 10% S&P 500 / 30% LB Aggregate / 60% Hedge Fund FOF
(C) 50% S&P 500 / 50% Long Duration Bonds
(D) 30% S&P 500 / 70% Long Duration Bonds
(E) 10% S&P 500 / 90% Long Duration Bonds
Tracking Error vs. Liability
Excess Return over Liability
(B) 70% S&P 500 / 30% Long Duration Bonds
(F) Interest Rate Swap + Enhnaced Cash
(G) Interest Rate Swap + Small Cap Alpha
(I) Interest Rate Swap + Hedge Fund Fund of Funds
(H) Interest Rate Swap + Hedge Fund Market Neutral
(J) Interest Rate Swap + 70% S&P 500 / 30% LB Aggregate
(K) Interest Rate Swap + 50% S&P 500 / 30% LB Aggregate / 20% Hedge Fund FOF
(L) Interest Rate Swap + 30% S&P 500 / 30% LB Aggregate / 40% Hedge Funds FOF
(M) Interest Rate Swap + 10% S&P 500 / 30% LB Aggregate / 60% Hedge Fund FOF
(C) 50% S&P 500 / 50% Long Duration Bonds
(D) 30% S&P 500 / 70% Long Duration Bonds
(E) 10% S&P 500 / 90% Long Duration Bonds
Tracking Error vs. Liability
Excess Return over Liability
(B) 70% S&P 500 / 30% Long Duration Bonds
(C) 50% S&P 500 / 50% Long Duration Bonds
(D) 30% S&P 500 / 70% Long Duration Bonds
(E) 10% S&P 500 / 90% Long Duration Bonds
Tracking Error vs. Liability
Excess Return over Liability
0.0285
0.0273
0.0195
0.0117
0.0039
Alpha_Transport_Slide
0.1265299914
0.1195703723
0.0125
0.0294493837
0.0630623529
0.0435859897
0.0854074088
0.0512444453
0.0170814818
A
C
B
D
E
F
G
H
I
(B) 70% S&P 500 / 30% Long Duration Bonds
(F) Interest Rate Swap + Enhnaced Cash
(G) Interest Rate Swap + Small Cap Alpha
(I) Interest Rate Swap + Hedge Fund Fund of Funds
(H) Interest Rate Swap + Hedge Fund Market Neutral
(C) 50% S&P 500 / 50% Long Duration Bonds
(D) 30% S&P 500 / 70% Long Duration Bonds
(E) 10% S&P 500 / 90% Long Duration Bonds
Tracking Error vs. Liability
Excess Return over Liability
2.9%
12.7%
0.23
3.3%
4.4%
0.76
2.0%
8.5%
0.23
2.3%
2.9%
0.78
1.2%
5.1%
0.23
1.0%
1.3%
0.80
(1) A risk measure of the variability of a strategy's total return around the liability. Or the standard deviation of the excess return.
(2) A measure of risk-adjusted return relative to the liability. It is calculated by dividing excess return over the liability by tracking error to the liability
Rolling_Returns_St. Deviation
NTGI SSC
HFRI Diversified Fund of Funds Index
HFRI Fund Weighted Composite
Russell 2000 Index Return (36 Month Roll)
LB:Aggr Bd Return (36 Month Roll)
LB:Gov/Credit Long Return (36 Month Roll)
3 Month T-Bill Return (36 Month Roll)
Libor-3 Months Return (36 Month Roll)
Libor - Cash
NTGI SSC Returns (36 Month Roll)
S&P:500 St. Deviation (36 Month Roll)
Russell 2000 Index St. Deviation (36 Month Roll)
LB:Aggr Bd St. Deviation (36 Month Roll)
LB:Gov/Credit Long St. Deviation (36 Month Roll)
3 Month T-Bill St. Deviation (36 Month Roll)
Libor-3 Months St. Deviation (36 Month Roll)
HFRI Fund of Funds Index St. Deviation (36 Month Roll)
HFRI Eq. Mkt. Neut. Index St. Deviation (36 Month Roll)
NTGI SSC St. Deviation (36 Month Roll)
Oct-91
16.01
10.07
11.27
12.63
7.69
14.46
18.64
4.25
6.81
0.32
Nov-91
14.98
9.57
12.06
13.55
7.61
14.70
18.76
4.06
6.61
0.34
Dec-91
18.52
10.99
13.12
15.21
7.50
15.83
19.13
4.19
7.07
0.37
Jan-92
15.03
12.26
12.07
13.42
7.37
15.57
19.47
4.40
7.40
0.39
Feb-92
16.50
13.07
12.58
13.46
7.23
15.41
19.49
4.29
7.40
0.42
Mar-92
14.86
10.91
12.21
12.84
7.09
15.51
19.66
4.37
7.49
0.43
Apr-92
14.03
8.05
11.71
11.95
6.93
15.37
19.72
4.32
7.47
0.43
May-92
12.72
7.02
11.44
11.69
6.78
15.28
19.62
4.25
7.39
0.44
Jun-92
12.37
6.12
10.83
10.45
6.64
15.32
19.79
4.06
7.02
0.45
Jul-92
10.64
5.99
10.80
11.06
6.50
14.70
19.77
4.05
7.19
0.46
Aug-92
9.18
4.14
11.73
12.09
6.37
14.78
19.84
3.81
6.97
0.48
Sep-92
9.75
4.82
11.98
12.47
6.22
14.77
19.87
3.80
6.97
0.49
Oct-92
10.74
8.10
10.58
10.46
6.07
14.65
19.55
3.91
7.03
0.51
Nov-92
11.23
10.54
10.24
10.37
5.93
14.70
19.94
3.94
7.03
0.51
Dec-92
10.81
11.67
10.72
11.35
5.80
14.76
13.23
14.68
19.99
3.95
7.08
0.52
3.91
2.68
Jan-93
13.72
16.41
11.87
13.46
5.66
15.07
13.49
13.96
19.15
3.81
6.77
0.52
3.86
2.73
Feb-93
13.75
14.33
12.40
14.68
5.51
15.39
13.42
13.96
19.25
3.81
6.84
0.52
3.91
2.73
Mar-93
13.55
14.10
12.53
14.86
5.37
15.18
13.74
13.94
19.22
3.79
6.81
0.51
3.88
2.75
Apr-93
13.58
14.30
13.14
15.97
5.22
15.72
13.41
13.94
19.18
3.62
6.52
0.50
3.93
2.83
May-93
11.08
13.35
12.09
14.41
5.07
16.33
13.44
13.01
18.96
3.47
6.25
0.49
3.93
2.82
Jun-93
11.44
13.51
12.17
15.02
4.93
16.53
13.81
12.98
18.96
3.49
6.41
0.48
3.98
2.92
Jul-93
11.41
15.75
11.87
15.24
4.79
16.29
13.76
12.98
18.66
3.49
6.41
0.46
3.90
2.93
Aug-93
16.42
23.12
13.02
18.17
4.66
16.35
13.43
11.63
16.56
3.24
5.89
0.44
3.91
2.90
Sep-93
18.07
28.17
12.81
17.87
4.53
15.40
13.66
11.11
15.30
3.27
5.93
0.42
3.83
2.97
Oct-93
19.05
32.00
12.48
17.50
4.41
15.63
13.11
11.06
14.49
3.28
5.94
0.40
3.87
3.04
Nov-93
16.22
27.38
11.37
15.19
4.28
15.79
12.25
10.75
14.51
3.38
6.15
0.38
3.84
3.36
Dec-93
15.62
27.15
10.99
14.65
4.17
17.56
11.79
10.71
14.49
3.36
6.16
0.35
4.28
3.31
Jan-94
15.27
24.81
11.03
15.04
4.07
17.90
11.16
10.63
13.91
3.37
6.20
0.33
4.24
3.18
Feb-94
11.61
20.35
10.07
13.21
3.98
17.01
11.36
10.27
12.85
3.69
6.83
0.31
4.67
3.14
Mar-94
9.09
15.54
8.91
11.31
3.90
14.77
10.54
10.68
13.03
4.15
7.49
0.29
4.94
2.96
Apr-94
9.47
15.87
8.23
10.40
3.84
14.66
10.88
10.67
13.01
4.23
7.58
0.27
4.98
2.92
May-94
8.53
13.65
8.02
10.06
3.79
14.53
10.53
10.48
12.92
4.25
7.63
0.26
4.99
3.06
Jun-94
9.33
14.62
7.96
9.92
3.75
14.37
10.54
10.18
12.54
4.26
7.66
0.24
5.00
3.06
Jul-94
8.85
13.93
8.17
10.57
3.71
14.25
9.77
10.03
12.47
4.31
7.79
0.22
5.02
2.91
Aug-94
9.46
14.61
7.45
9.18
3.67
14.24
9.54
10.18
12.64
4.23
7.71
0.20
5.02
2.97
Sep-94
9.17
14.19
6.20
7.04
3.65
13.87
8.86
10.25
12.67
4.31
7.91
0.18
5.01
2.92
Oct-94
9.49
13.05
5.78
6.79
3.64
13.28
8.46
10.28
12.67
4.31
7.93
0.18
5.14
2.95
Nov-94
9.64
13.28
5.38
6.75
3.65
12.88
7.88
10.22
12.59
4.32
7.93
0.18
5.24
3.01
Dec-94
6.27
11.39
4.60
5.41
3.68
3.80
0.12
11.05
7.44
8.06
11.94
4.05
7.41
0.20
0.22
4.89
2.89
Jan-95
7.86
8.07
5.77
7.29
3.73
3.87
0.14
10.10
7.39
8.02
11.23
4.02
7.26
0.23
0.27
5.04
2.90
Feb-95
8.78
8.51
6.37
8.04
3.79
3.94
0.15
9.65
7.55
8.22
11.33
4.16
7.39
0.25
0.29
5.06
2.93
Mar-95
10.56
10.39
6.78
8.70
3.84
4.00
0.16
9.87
7.97
8.16
11.08
4.11
7.33
0.27
0.31
5.07
3.00
Apr-95
10.56
12.53
7.02
9.36
3.89
4.04
0.16
10.37
8.65
8.16
10.79
4.14
7.34
0.29
0.33
5.07
3.05
May-95
11.83
12.67
7.71
10.91
3.95
4.11
0.16
10.60
8.83
8.36
10.80
4.50
8.17
0.30
0.34
5.06
3.03
Jun-95
13.25
16.45
7.48
10.80
3.99
4.16
0.16
10.64
8.94
8.26
10.49
4.48
8.16
0.31
0.36
5.06
3.04
Jul-95
12.98
17.30
6.68
8.90
4.05
4.20
0.15
10.98
9.29
8.18
10.73
4.42
8.07
0.32
0.37
5.08
3.15
Aug-95
13.85
19.24
6.75
9.47
4.12
4.27
0.15
11.64
9.77
7.99
10.44
4.43
8.12
0.33
0.38
5.14
3.08
Sep-95
14.98
19.03
6.67
9.61
4.18
4.32
0.14
11.01
10.02
8.18
10.43
4.42
8.13
0.33
0.38
5.06
3.13
Oct-95
14.71
16.02
7.61
11.23
4.25
4.42
0.16
10.19
10.21
8.22
10.94
4.30
8.01
0.33
0.38
5.10
3.16
Nov-95
15.08
14.76
8.14
11.95
4.32
4.51
0.19
10.50
10.07
8.33
10.42
4.31
8.05
0.33
0.37
5.09
3.16
Dec-95
15.34
14.45
8.07
11.93
4.37
4.55
0.18
10.65
9.88
8.34
10.36
4.30
8.05
0.33
0.38
5.12
3.13
Jan-96
16.31
13.15
7.63
10.96
4.42
4.62
0.20
11.32
9.98
8.43
10.30
4.23
8.00
0.32
0.39
5.24
3.17
Feb-96
16.15
15.20
6.38
8.14
4.48
4.67
0.19
10.29
9.94
8.43
10.17
4.39
8.46
0.32
0.39
5.25
3.16
Mar-96
15.71
14.75
5.99
7.46
4.54
4.73
0.19
10.10
9.65
8.42
10.11
4.45
8.57
0.31
0.38
5.24
3.12
Apr-96
17.23
17.85
5.54
6.66
4.60
4.79
0.19
10.38
9.83
8.13
10.11
4.49
8.66
0.31
0.38
5.33
3.08
May-96
17.19
17.67
5.43
6.39
4.67
4.86
0.19
10.19
10.12
8.13
10.06
4.50
8.68
0.30
0.37
5.30
3.10
Jun-96
17.22
15.79
5.26
5.78
4.73
4.92
0.19
9.34
9.76
8.13
10.55
4.46
8.51
0.29
0.36
5.18
2.98
Jul-96
15.63
11.81
5.16
5.27
4.79
4.98
0.19
7.79
10.12
8.73
12.03
4.46
8.49
0.28
0.35
5.30
3.02
Aug-96
15.00
12.34
4.49
3.57
4.85
5.04
0.19
7.69
10.07
8.62
12.20
4.40
8.29
0.27
0.35
5.28
3.02
Sep-96
17.42
12.73
5.00
4.46
4.91
5.11
0.20
8.02
9.43
8.90
12.27
4.47
8.41
0.26
0.33
5.29
2.86
Oct-96
17.68
11.20
5.64
5.53
4.97
5.20
0.22
7.79
10.23
8.93
12.32
4.59
8.65
0.24
0.31
5.23
2.91
Nov-96
20.96
13.97
6.54
7.50
5.03
5.25
0.22
8.48
10.83
9.50
12.19
4.57
8.62
0.23
0.31
5.32
2.62
Dec-96
19.68
13.68
6.02
6.52
5.09
5.30
0.21
7.05
10.89
9.72
12.15
4.65
8.79
0.21
0.30
4.74
2.62
Jan-97
20.76
13.26
5.66
5.48
5.15
5.35
0.20
7.85
11.05
10.04
12.10
4.63
8.74
0.19
0.29
5.03
2.62
Feb-97
22.19
12.47
6.37
6.92
5.21
5.44
0.24
9.28
10.88
9.72
12.25
4.44
8.37
0.16
0.25
4.75
2.65
Mar-97
22.30
12.69
6.86
7.58
5.26
5.49
0.23
9.84
10.87
9.67
12.15
4.19
8.08
0.14
0.23
4.50
2.65
Apr-97
24.16
12.58
7.68
8.81
5.31
5.56
0.26
10.38
10.89
9.97
12.16
4.14
8.05
0.13
0.20
4.36
2.65
May-97
25.94
17.05
8.02
9.53
5.34
5.62
0.28
10.89
11.79
10.26
13.40
4.13
8.00
0.11
0.18
4.39
2.45
Jun-97
28.86
20.07
8.53
10.56
5.36
5.67
0.31
11.52
12.15
10.01
13.19
4.11
7.97
0.10
0.16
4.49
2.46
Jul-97
30.77
21.24
8.78
11.37
5.39
5.70
0.31
13.16
12.81
10.54
13.31
4.20
8.32
0.09
0.16
4.95
2.53
Aug-97
26.58
19.97
8.43
10.61
5.41
5.73
0.32
12.56
13.02
11.42
13.11
4.29
8.53
0.08
0.15
5.01
2.45
Sep-97
29.92
22.97
9.50
12.71
5.42
5.77
0.35
13.30
13.83
11.27
13.46
4.11
8.26
0.08
0.13
5.11
2.46
Oct-97
27.51
21.30
10.06
13.90
5.43
5.79
0.36
13.11
14.39
11.73
13.88
4.10
8.28
0.07
0.13
5.18
2.36
Nov-97
31.05
22.71
10.31
14.16
5.43
5.82
0.39
13.30
14.76
11.30
13.53
4.06
8.28
0.07
0.11
5.12
2.20
Dec-97
31.15
22.34
10.42
14.22
5.43
5.83
0.40
13.88
14.71
11.30
13.52
4.06
8.28
0.07
0.11
5.04
2.21
Jan-98
30.52
22.21
10.17
13.88
5.41
5.81
0.40
13.99
14.83
11.32
13.55
4.01
8.24
0.07
0.10
5.00
2.17
Feb-98
31.89
23.46
9.28
12.58
5.39
5.78
0.39
14.75
14.58
11.64
13.87
3.93
8.22
0.06
0.10
4.96
2.17
Mar-98
32.81
24.42
9.18
12.34
5.37
5.76
0.40
15.71
14.39
11.74
13.93
3.94
8.23
0.06
0.10
5.23
2.14
Apr-98
31.97
23.74
8.87
11.85
5.35
5.74
0.39
15.49
13.94
11.76
13.95
3.92
8.22
0.05
0.09
5.23
2.11
May-98
29.51
20.79
7.84
9.94
5.33
5.72
0.39
14.79
13.89
11.96
14.57
3.45
7.35
0.04
0.09
5.37
2.12
Jun-98
30.24
18.86
7.88
10.20
5.32
5.71
0.39
14.36
14.18
12.00
14.44
3.45
7.37
0.04
0.09
5.45
2.15
Jul-98
28.37
13.42
8.03
10.54
5.31
5.69
0.38
13.63
13.24
12.14
15.24
3.42
7.29
0.04
0.08
5.50
2.19
Aug-98
21.76
4.83
8.18
10.73
5.31
5.69
0.38
9.90
12.24
15.45
19.30
3.46
7.33
0.04
0.08
7.34
2.69
Sep-98
22.60
6.86
8.67
11.39
5.34
5.71
0.37
8.68
11.86
15.62
19.75
3.59
7.49
0.06
0.08
7.59
2.64
Oct-98
25.99
9.96
8.01
9.79
5.32
5.69
0.38
8.16
11.05
15.98
19.59
3.64
7.62
0.06
0.08
7.72
2.76
Nov-98
26.66
10.32
7.68
9.57
5.27
5.67
0.39
8.26
11.08
16.10
19.66
3.60
7.58
0.08
0.08
7.73
2.76
Dec-98
28.23
11.58
7.29
8.62
5.27
5.65
0.38
8.04
12.01
16.23
19.87
3.58
7.52
0.09
0.08
7.69
3.17
Jan-99
28.55
12.11
7.31
8.99
5.24
5.62
0.38
7.58
11.26
16.26
19.86
3.58
7.52
0.10
0.07
7.61
3.12
Feb-99
26.81
7.89
7.31
9.05
5.20
5.61
0.41
7.72
10.41
16.54
20.51
3.58
7.48
0.12
0.08
7.59
3.37
Mar-99
28.07
7.72
7.75
9.65
5.20
5.61
0.41
8.11
9.82
16.56
20.51
3.50
7.36
0.12
0.08
7.63
3.50
Apr-99
29.07
8.94
8.07
10.26
5.18
5.59
0.41
8.17
9.45
16.58
20.88
3.43
7.24
0.13
0.09
7.65
3.59
May-99
26.97
8.07
7.82
9.82
5.17
5.58
0.41
7.92
9.01
16.79
20.81
3.51
7.34
0.13
0.09
7.63
3.58
Jun-99
29.11
11.22
7.23
8.64
5.16
5.56
0.40
8.79
9.25
16.87
20.70
3.53
7.39
0.13
0.10
7.73
3.64
Jul-99
29.69
13.60
6.99
8.36
5.15
5.55
0.39
9.75
9.35
16.71
20.01
3.57
7.43
0.13
0.10
7.58
3.67
Aug-99
28.58
10.09
7.03
8.61
5.14
5.53
0.38
9.23
9.32
16.79
20.02
3.56
7.38
0.13
0.10
7.58
3.67
Sep-99
25.09
8.70
6.83
7.91
5.15
5.50
0.35
8.74
9.39
16.90
19.95
3.51
7.27
0.13
0.12
7.59
3.67
Oct-99
26.52
9.41
6.18
6.65
5.13
5.50
0.36
8.62
8.79
17.08
19.90
3.37
7.02
0.13
0.12
7.58
3.58
Nov-99
24.32
10.05
5.57
5.37
5.12
5.52
0.39
9.53
9.12
16.77
20.03
3.31
6.87
0.13
0.12
7.90
3.57
Dec-99
27.56
13.08
5.73
5.74
5.13
5.55
0.41
11.72
9.63
16.76
20.89
3.25
6.75
0.13
0.13
8.64
3.70
Jan-00
22.88
11.73
5.51
6.22
5.13
5.56
0.42
10.99
8.76
17.07
20.94
3.28
6.72
0.13
0.13
8.51
3.86
Feb-00
21.78
18.54
5.84
6.94
5.14
5.57
0.43
12.26
9.53
17.20
22.63
3.31
6.80
0.13
0.13
8.86
3.94
Mar-00
27.40
17.76
6.70
8.70
5.16
5.58
0.42
12.66
9.55
17.44
22.84
3.20
6.62
0.14
0.13
8.81
3.94
Apr-00
23.69
15.24
6.07
7.50
5.17
5.58
0.41
11.24
10.15
17.54
23.25
3.19
6.64
0.15
0.13
9.16
4.09
May-00
20.45
9.05
5.72
6.84
5.24
5.58
0.35
9.99
9.71
17.50
22.88
3.19
6.67
0.18
0.13
9.26
4.08
Jun-00
19.67
10.57
6.03
7.10
5.24
5.61
0.38
10.10
9.70
17.43
23.24
3.30
6.74
0.18
0.14
9.28
4.07
Jul-00
16.04
7.73
5.41
5.76
5.24
5.64
0.40
8.37
8.90
17.11
23.27
3.04
6.07
0.18
0.16
9.02
4.02
Aug-00
20.69
9.57
6.22
7.40
5.27
5.67
0.40
9.20
9.92
16.82
23.58
3.00
5.83
0.19
0.17
9.03
4.22
Sep-00
16.44
5.96
5.92
6.18
5.31
5.70
0.39
7.79
9.48
17.13
23.38
2.94
5.77
0.20
0.17
9.01
4.14
Oct-00
17.60
5.94
5.65
5.56
5.34
5.73
0.38
7.95
9.07
16.94
23.39
2.89
5.62
0.20
0.18
8.98
4.14
Nov-00
12.71
2.40
6.06
6.01
5.38
5.76
0.38
7.57
9.25
17.67
24.22
2.97
5.73
0.21
0.18
9.05
4.14
Dec-00
12.26
4.65
6.36
6.24
5.42
5.80
0.38
7.69
9.93
17.67
24.67
3.06
5.78
0.22
0.20
9.05
4.27
Jan-01
13.15
7.00
6.48
6.28
5.50
5.86
0.36
8.73
9.16
17.72
24.77
3.09
5.79
0.26
0.23
9.03
4.49
Feb-01
7.09
2.15
6.81
6.89
5.48
5.88
0.40
7.78
9.63
18.31
24.81
3.08
5.78
0.26
0.23
9.04
4.55
Mar-01
3.05
(0.89)
6.87
6.68
5.49
5.87
0.38
6.22
9.81
18.56
24.89
3.07
5.79
0.26
0.23
8.84
4.58
Apr-01
5.30
1.44
6.54
5.80
5.49
5.88
0.39
6.14
9.60
19.04
25.28
3.13
5.98
0.26
0.23
8.84
4.60
May-01
6.15
4.17
6.41
5.37
5.48
5.86
0.38
6.79
9.52
18.99
25.07
3.12
5.92
0.26
0.23
8.80
4.60
Jun-01
3.89
5.28
6.25
5.00
5.43
5.82
0.39
6.97
9.04
18.96
25.13
3.11
5.87
0.28
0.24
8.78
4.58
Jul-01
3.92
6.30
6.96
6.43
5.39
5.78
0.38
6.89
9.31
18.96
24.85
3.26
6.12
0.28
0.25
8.79
4.54
Aug-01
7.14
12.99
6.79
6.17
5.35
5.73
0.38
9.76
10.55
17.26
21.93
3.22
6.04
0.29
0.27
7.38
4.34
Sep-01
2.04
5.00
6.38
4.74
5.32
5.70
0.38
10.12
10.73
17.64
23.14
3.06
5.78
0.29
0.27
7.25
4.35
Oct-01
0.04
5.59
7.31
7.15
5.27
5.64
0.37
11.19
10.96
17.04
23.25
3.13
6.16
0.30
0.29
7.06
4.29
Nov-01
0.54
6.42
6.61
5.27
5.23
5.57
0.34
10.80
10.52
17.26
23.46
3.33
6.52
0.32
0.32
7.06
4.35
Dec-01
(1.03)
6.42
6.28
4.79
5.15
5.47
0.32
10.60
9.39
16.94
23.46
3.39
6.60
0.36
0.35
7.05
4.04
Jan-02
(2.85)
5.58
6.31
4.89
5.07
5.38
0.30
10.25
9.61
16.78
23.48
3.40
6.62
0.39
0.39
7.04
4.02
Feb-02
(2.45)
7.60
7.28
6.81
5.02
5.29
0.27
10.24
10.02
16.72
23.00
3.13
5.99
0.42
0.42
7.04
3.87
Mar-02
(2.53)
9.84
6.49
5.57
4.93
5.20
0.27
9.77
10.33
16.71
23.37
3.39
6.43
0.44
0.46
7.01
3.78
Apr-02
(5.74)
7.06
7.06
6.49
4.85
5.12
0.27
8.83
10.93
16.88
22.88
3.48
6.56
0.46
0.47
6.85
3.68
May-02
(5.22)
4.95
7.68
7.32
4.77
5.03
0.27
8.69
10.88
16.84
23.08
3.37
6.44
0.48
0.50
6.85
3.69
Jun-02
(9.18)
1.67
8.11
8.04
4.67
4.95
0.28
7.36
10.16
16.91
23.18
3.33
6.35
0.50
0.52
6.79
3.66
Jul-02
(10.66)
(2.83)
8.69
8.74
4.59
4.87
0.29
6.62
9.37
17.35
24.79
3.28
6.30
0.52
0.54
6.89
3.65
Aug-02
(10.32)
(1.69)
9.32
10.54
4.49
4.78
0.29
6.70
9.31
1.83
17.37
24.69
3.30
6.65
0.54
0.56
6.88
3.65
26.83
Sep-02
(12.89)
(4.11)
9.48
11.42
4.39
4.71
0.31
6.58
8.91
(0.24)
18.30
25.04
3.33
6.79
0.55
0.57
6.90
3.70
27.10
Oct-02
(12.22)
(3.22)
9.18
10.33
4.31
4.60
0.29
6.06
8.64
0.11
18.69
25.12
3.40
7.09
0.56
0.58
6.90
3.74
27.12
Nov-02
(11.13)
(2.33)
9.18
10.69
4.23
4.48
0.26
4.67
7.94
(0.06)
19.03
25.41
3.40
7.05
0.57
0.59
6.39
3.84
27.07
Dec-02
(14.55)
(7.54)
10.10
12.67
4.11
4.19
0.08
2.62
7.27
(5.26)
18.81
24.71
3.40
7.17
0.58
0.60
5.12
3.70
26.16
Jan-03
(13.84)
(7.91)
10.25
12.38
4.00
4.06
0.06
2.38
7.81
(5.59)
18.69
24.74
3.36
7.20
0.59
0.61
5.07
3.55
26.18
Feb-03
(13.72)
(13.37)
10.31
12.62
3.88
3.92
0.04
0.78
6.94
(11.84)
18.69
22.63
3.37
7.25
0.61
0.61
4.11
3.45
23.36
Mar-03
(16.09)
(11.00)
9.80
11.41
3.74
3.78
0.05
0.69
6.76
(9.28)
17.59
22.42
3.40
7.28
0.61
0.62
4.11
3.47
23.08
Apr-03
(12.97)
(6.36)
10.21
12.58
3.61
3.64
0.03
2.26
5.96
(3.69)
18.40
22.95
3.34
7.21
0.61
0.61
3.62
3.24
23.20
May-03
(10.85)
(1.16)
10.91
14.85
3.43
3.49
0.06
3.51
5.99
1.71
18.75
23.57
3.35
7.57
0.59
0.61
3.63
3.24
23.65
Jun-03
(11.20)
(3.30)
10.08
13.29
3.33
3.33
(0.00)
2.79
5.60
(0.76)
18.69
23.04
3.33
7.66
0.59
0.59
3.31
3.18
22.87
Jul-03
(10.21)
(0.24)
8.50
9.25
3.20
3.17
(0.03)
2.94
5.46
2.85
18.74
23.24
4.10
9.51
0.59
0.57
3.30
3.21
23.00
Aug-03
(11.43)
(1.19)
8.22
9.28
3.05
3.01
(0.04)
2.54
4.45
1.38
18.36
22.98
4.08
9.51
0.58
0.55
3.15
2.81
22.55
Sep-03
(10.13)
(0.82)
8.94
11.49
2.90
2.85
(0.05)
3.35
4.34
2.37
18.17
22.93
4.24
9.80
0.56
0.53
3.09
2.80
22.42
Oct-03
(8.34)
3.44
8.36
10.26
2.75
2.69
(0.06)
4.22
4.62
6.92
18.54
23.25
4.34
9.98
0.54
0.49
3.08
2.83
22.69
Nov-03
(5.52)
8.50
7.86
9.58
2.59
2.53
(0.06)
4.98
4.34
13.13
18.04
22.41
4.31
9.93
0.52
0.46
2.87
2.80
21.37
Dec-03
(4.05)
6.27
7.57
9.25
2.44
2.37
(0.06)
5.04
3.35
11.03
18.32
21.95
4.26
9.89
0.48
0.41
2.89
2.49
21.00
Jan-04
(4.58)
5.98
7.27
9.23
2.24
2.23
(0.02)
4.92
4.27
10.72
18.23
21.89
4.22
9.89
0.40
0.36
2.84
2.28
20.94
Feb-04
(1.04)
8.72
7.35
9.47
2.14
2.10
(0.03)
5.57
3.76
14.25
17.47
21.47
4.22
9.91
0.39
0.33
2.78
2.04
20.22
Mar-04
0.63
10.90
7.44
10.08
2.01
1.99
(0.02)
5.88
3.29
16.61
17.09
21.19
4.22
9.89
0.35
0.29
2.73
1.85
19.85
Apr-04
(2.36)
6.28
6.65
8.80
1.89
1.89
(0.00)
5.33
2.87
11.72
16.50
21.09
4.58
10.40
0.32
0.26
2.83
2.02
19.69
May-04
(2.14)
5.98
6.29
8.32
1.79
1.80
0.01
4.71
2.90
10.60
16.52
21.07
4.61
10.44
0.29
0.23
2.92
2.02
19.59
Jun-04
(0.69)
6.24
6.36
8.33
1.71
1.72
0.01
4.81
2.90
10.39
16.50
21.11
4.61
10.44
0.28
0.20
2.91
2.02
19.56
Jul-04
(1.48)
5.74
5.92
7.72
1.64
1.66
0.02
4.76
2.81
9.69
16.60
21.25
4.51
10.32
0.26
0.18
2.92
2.02
19.75
Aug-04
0.80
6.72
6.19
8.33
1.57
1.60
0.03
4.69
2.15
10.83
16.18
21.14
4.56
10.45
0.23
0.14
2.93
1.83
19.59
Sep-04
4.05
13.71
5.88
8.87
1.47
1.56
0.09
5.56
1.97
18.06
15.43
19.50
4.55
10.42
0.15
0.11
2.70
1.74
17.82
Oct-04
3.92
12.31
5.44
7.70
1.43
1.54
0.11
5.51
1.97
16.74
15.42
19.31
4.45
10.14
0.12
0.10
2.69
1.74
17.66
Nov-04
2.74
12.63
5.65
8.26
1.40
1.54
0.14
6.27
2.53
17.06
14.97
19.43
4.38
9.97
0.11
0.10
2.95
1.84
17.78
Dec-04
3.59
11.48
6.20
9.68
1.42
1.55
0.13
6.41
2.52
15.99
15.07
19.23
4.34
9.94
0.12
0.11
2.99
1.83
17.58
Jan-05
3.24
10.29
6.13
10.12
1.43
1.57
0.14
6.25
2.48
14.74
15.12
19.43
4.34
9.98
0.12
0.12
3.00
1.82
17.78
Feb-05
4.64
11.94
5.58
9.36
1.44
1.59
0.16
6.82
2.95
16.58
15.09
19.31
4.38
10.04
0.12
0.13
3.00
1.89
17.61
Mar-05
2.75
8.05
5.99
10.14
1.47
1.62
0.16
6.35
2.97
12.39
15.02
18.99
4.23
9.81
0.14
0.14
3.07
1.89
17.29
Apr-05
4.24
5.62
5.79
10.17
1.49
1.65
0.16
5.62
2.50
9.71
14.60
19.36
4.18
9.81
0.15
0.16
3.26
1.87
17.71
May-05
5.60
9.52
5.87
10.86
1.52
1.69
0.17
5.55
2.69
13.39
14.66
19.41
4.19
9.86
0.17
0.18
3.26
1.87
17.76
Jun-05
8.28
12.81
5.76
11.12
1.55
1.73
0.18
6.34
2.96
16.44
13.94
19.16
4.18
9.87
0.18
0.19
3.21
1.90
17.54
Jul-05
12.61
21.60
5.02
9.83
1.58
1.78
0.20
7.44
3.33
24.38
13.08
16.77
4.23
10.03
0.19
0.21
3.08
1.91
15.70
Aug-05
12.03
20.95
4.88
9.17
1.63
1.83
0.20
7.62
3.34
23.64
13.13
16.86
4.20
9.85
0.21
0.23
3.08
1.91
15.80
Sep-05
16.72
24.12
3.96
6.91
1.68
1.89
0.21
8.33
3.75
26.60
11.08
16.04
4.21
9.97
0.23
0.25
3.06
1.92
15.08
Oct-05
12.85
21.54
3.84
7.14
1.72
1.95
0.24
7.88
3.75
24.37
10.28
16.28
4.24
9.91
0.24
0.27
3.26
1.92
15.34
Nov-05
12.10
20.01
4.00
7.25
1.77
2.03
0.25
8.17
4.26
23.28
10.01
15.83
4.23
9.91
0.27
0.29
3.31
1.79
15.08
Dec-05
14.39
22.13
3.62
6.58
1.84
2.11
0.27
8.64
4.27
24.90
9.17
15.30
4.12
9.74
0.28
0.31
3.40
1.79
14.73
Jan-06
16.42
26.86
3.59
6.29
1.92
2.20
0.28
9.37
4.67
29.42
8.92
15.60
4.13
9.76
0.30
0.33
3.63
1.90
15.01
Feb-06
17.11
28.05
3.23
5.62
2.00
2.29
0.30
9.37
4.82
30.34
8.79
15.37
4.07
9.66
0.31
0.35
3.63
1.87
14.84
Mar-06
17.22
29.53
2.92
4.64
2.09
2.40
0.31
10.00
5.16
32.00
8.79
15.44
4.13
9.92
0.33
0.37
3.64
1.87
14.90
Apr-06
14.68
25.67
2.58
3.33
2.18
2.50
0.32
10.19
5.48
28.35
7.78
14.88
4.13
9.95
0.35
0.39
3.67
1.94
14.41
May-06
11.64
19.16
1.91
1.41
2.28
2.62
0.33
8.74
5.33
22.00
7.73
14.59
4.01
9.47
0.37
0.41
3.91
1.96
14.20
Jun-06
11.22
18.70
2.05
2.08
2.37
2.73
0.36
8.28
5.41
20.95
7.74
14.60
4.01
9.43
0.38
0.42
3.99
1.96
14.21
Jul-06
10.80
15.05
3.68
5.95
2.49
2.86
0.37
8.12
5.68
17.01
7.73
14.57
3.47
7.85
0.40
0.44
4.01
1.89
14.23
Aug-06
10.95
14.45
3.98
6.25
2.61
2.99
0.38
8.09
5.66
16.20
7.75
14.48
3.53
7.92
0.41
0.45
4.01
1.90
14.12
Sep-06
12.30
15.48
3.38
5.04
2.73
3.11
0.38
7.68
5.53
16.94
7.72
14.36
3.28
7.45
0.43
0.46
4.01
1.90
14.05
Avg
11.81
11.58
7.65
9.35
4.35
4.35
0.25
9.49
8.88
12.22
13.72
18.02
3.86
7.78
0.29
0.28
5.39
2.98
19.34
Counta
180
180
180
180
180
142
142
166
166
50
180
180
180
180
180
142
166
166
50
Min
-16.09
-13.37
1.91
1.41
1.40
1.54
-0.06
0.69
1.97
-11.84
7.72
10.06
2.89
5.62
0.04
0.07
2.69
1.74
14.05
Median
12.78
11.88
7.29
9.26
4.82
4.97
0.27
9.26
9.54
13.26
14.70
19.31
4.01
7.49
0.28
0.25
5.06
2.97
18.69
Max
32.81
32.00
13.14
18.17
7.69
5.88
0.43
17.90
14.83
32.00
19.04
25.41
4.65
10.45
0.61
0.62
9.28
4.60
27.12
Callan_Charts
Floating Rate (LIBOR)
Fixed Rate - Spread
&C&"Arial,Bold"&14Portable Alpha on a Interest Rate SWAP
Defined Benefit Plan Net Cash Flows= + LIBOR + 250bps (Alpha Portfolios) - LIBOR (Short Int. Rate SWAP) + Fixed rate - Spread (Long Fixed Rate) - Payments to Beneficiaries 250bps - Spread of SWAP
Projected Benefit Obligation
Alpha 3 (25%) Target = LIBOR + 300bps Long HF Mkt Neutral
Alpha 4 (25%) Target = LIBOR + 400bps Long HF FOF
Alpha 1 (25%) Target = LIBOR + 100bps Long Enhanced Cash
Alpha 2 (25%) T arget = 200bps +T-Bill Long NTGI SSC Short R2000 Invest Short Proceeds, LIBOR
SWAP Dealer
NTGI_PA&LDI_Product_Continuum
Alpha: 2.0% Manager generated return through security selction, sector allocation or other active investment decission
Beta: 10% Small Cap Market generated return (as measured by the Russell 2000 Index)
Alpha
Beta
Active Small Cap Portfolio Total Return (Benchmark: Russell 2000 Index) e.g., 12.0% Total Return
Alpha Transport to Different Beta
Small Cap Alpha: e.g., 2.0%
Alpha & Beta Components
Beta: For an LDI mandate, the alpha is ported to an Interest Rate Swap
Total Portfolio Return
2.0%
2.0%
0.23
Currency/Credit
2.5%
3.0%
0.23
3.2%
3.3%
0.23
5.5%
6.7%
0.25
0
0
0
0
0
NTGA Diversified Hedge Fund or GTAA
NTQM 130/30
Standard Deviation
0
0
0
0
0
Asset
Weight
Return
Rolling 12 Month Standard Deviation
Standard Deviation
1991199219931994199519961997199819992000200120022003200420052006
0.0
2.0