an efficient us equity approach combined to a defensive
TRANSCRIPT
MondoInvestor Forum Fund Selector - 10 June 2020
An efficient US equity approaimplementation to navigate unp gJason LejonvarnGlobal Investment Strategist
Managed by
For Professional Clients only.
Any views and opinions are those of the investment manager, unless otherwise noted.
ach combined to a defensive ncertain times
Introducing BNY Mellon Investment M
Our business
The investment management arm of BNY Mellon, o
With a presence around the world, we look to connect investors with opportunities across every major asset class. We believe the right results begin by being relevant to everyWe believe the right results begin by being relevant to every client, whether that is engaging the way they want, offering diversified strategies, or providing advice and quality insights for better informed decisions.To achieve this, we have built our model around investors’ needs. Offering the best of both worlds, we bring together
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Management
one of the world’s largest financial services groups
world-class investment firms, with their best of breed talent and unique cultures, backed by the strength, stability and global presence of BNY Mellon, one of the world’s most trusted p ,investment partners.Our clients include asset managers, banks, broker-dealers, central banks, companies, family offices, financial intermediaries governments insurance companies investmentintermediaries, governments, insurance companies, investment advisers, non-profit organisations, pension funds and sovereign institutions.
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Together we manage and service financ
BNY Mellon Investment Management
…for institutions, corporations and individual investo
gInstitutional and retail asset management Wealth management for in
18 851.8US$ trillion
85US$ billion
Assets under management1
Privund
7th 13thInvestment manager US
largest
h
13largestworldwide2 ma
4thlargest
US institutional money manager3
Sources: 1. BNY Mellon Finance, 31 March 2020. Assets under management (AUM) includes the asset managers outlined in this file (with thTowers Watson, 29 October 2019. Based on discretionary assets under management at the end of 2018; does not include saving/current actransactional assets. Analysis based on data supplied to by third parties in US dollars. 3. Pensions & Investments, May 2019. Rankings basedinclusion the firm must manage assets for US institutional tax-exempt clients. Ranked by total worldwide institutional assets under manageme31 March 2019.
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cial assets…
BNY Mellon Investment Services
ors around the world
ndividuals and families Full range of financial operations, cash management and global payments services
vate client assets der management1
35.2US$ trillion
Assets under custody and administration1
wealth 4 #1 Global custodian
i th ld5nager4largest
in the world5
3.7US$ trillion
Average tri-party collateral management balances1
he exception of Siguler Guff), as well as BNY Mellon Investment Adviser, Inc, BNY Mellon Wealth Management and external data. 2. Willis ccounts or assets unrelated to investment business, assets under administration and custody, money market funds, advisory portfolios, or d on a survey of more than 580 investment management firms providing information in response to an online survey. In order to qualify for ent as at 31 December 2018. 4. ADVRatings.com, Top Wealth Management Firms, by AUM as at March 2019. 5. Globalcustody.net as of
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Our model: The best of both worlds
Providing specialist expertise from our world-class instewardship and global presence of BNY Mellon
The size, scale and distribution capability of BNY Mellon, withcapability of BNY Mellon, with proven financial stewardship in which clients entrust their money
Creative and critical thinkCreative and critical thinkcollective intelligence, o
choice of access, better fit
Investment Managers are appointed by BNY Mellon Investment Management EMEA Limited (BNYMIM EMEA), BNundertake portfolio management activities in relation to contracts for products and services entered into by clien
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nvestment firms backed by the strength, proven
Our investment managers dedicated to delivering solutionsdedicated to delivering solutions their clients need, in today’s challenging world
kers, strong relationships,kers, strong relationships, operational excellence, t of strategy to client need
NY Mellon Fund Management (Luxembourg) S.A. (BNY MFML) or affiliated fund operating companies to nts with BNYMIM EMEA, BNY MFML or the BNY Mellon funds.
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Our world-class investment firmsLocated across the Americas, EMEA and Asia Pacific; brinindependent thinking from some of the world's sharpest inv
Global sub-investment grade debt
AUM:US$33.3bn
Brazilian equity, long/short, long-only, multi-strategy and fixed income
AUM:US$4.8bn
Active and passive research-driven solutions across asset classes
AUM:US$467.7bn
Active equity and bonds, multi-asset, real return and income
AUM:US$53.3bn
Total US$1
US$ 67.7b US$53.3b
Investment Managers are appointed by BNY Mellon Investment Management EMEA Limited (BNYMIM EMEA), BNundertake portfolio management activities in relation to contracts for products and services entered into by clienTotal AUM has been provided by BNY Mellon Finance as at 31 March 2020 and includes the asset managers outlined in this file (with the excAUMs provided by respective investment firms as at 31 March 2020, unless otherwise stated. Siguler Guff AUM as at 31 December 2019. Th
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nging our clients clear, vestment minds
Moneymarkets
AUM:US$251.5bn
LDI, fixed income, absolute return, specialist equity
AUM:US$844.6bn
Multi-strategy private equity investing; direct investment and fund-of-funds
AUM:US$14.0bn
Active global equity
AUM:US$63.1bn
AUM 1.8tn
US$14.0bn US$63. b
NY Mellon Fund Management (Luxembourg) S.A. (BNY MFML) or affiliated fund operating companies to nts with BNYMIM EMEA, BNY MFML or the BNY Mellon funds. ception of Siguler Guff) as well as BNY Mellon Investment Adviser, Inc, BNY Mellon Wealth Management and external data. Individual he Bank of New York Mellon Corporation holds a 20% minority interest in Siguler Guff & Company LLC and certain related entities.
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BNY Mellon DynamyA different approach
mic U.S. Equity Fundq yh to outperformance
BNY Mellon Dynamic U.S. Equity Fun
A non-traditional approach to active equity, with the
• Aims to outperform the S&P 500 Net Total Return Index with abefore fees and expenses
• Strategy successfully implemented since 1989
• Strategy AUM of over US$9.6 billion
P t t t k d f d li i t f it• Proven strategy track record of delivering outperformance, wit
− 3.3% annualised excess returns since inception1
− Outperformance in five out of six negative years for the Sp g y
1. Strategy inception date: 31 August 1989. Source: Mellon as at 31 March 2020. The strategy adheres to the same investment approach as the BNY Mellon Dynamic U.S. Equity Fund.on the performance of your investment. Mellon claims compliance with the Global Investment Performance Standards (GIPS). Please see apoverlay strategies and assets managed by investment personnel acting in their capacity as officers of affiliated entities. Performance presentelinked to the on-going track record for the composite or the composite’s representative account shown as supplemental information.
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potential to deliver significant excess returns
a similar level of volatility to the Index over three to five years
th ff ti d id f tth effective downside features:
S&P 500 Index since inception& p
. Performance calculated as total return, income reinvested, gross of fees, in USD. Fees and charges apply and can have a material effect ppendix for GIPS compliant presentation. Where applicable, assets include discretionary and non-discretionary assets, the notional value of ed for measurement periods prior to 1 February 2018 represents the portable performance results of a prior affiliated firm which have been
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Investment philosophy
The Dynamic U.S. Equity team believes:
• We can generate excess returns based on financial theory and our expertise in indexing and bottom up valuationexpertise in indexing and bottom-up valuation
• We can produce consistent excess returns across multiple market environments based on the changing relative risk premia
• We can preserve capital through effective downside risk management thereby improving cumulative returns
Source: Mellon. The above graph is for illustrative purposes only and does not reflect actual returns.
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Sample efficient frontierp
rn
Dynamic U.S. Equity Strategy
The opportunity
Exp
ecte
d re
tu
100% stocksPoint of tangency
100% bonds
Risk (standard deviation)
100% cash
0
Investment process
Dynamic U.S. Equity team approach to efficiently ac
3 SIMPLE BUIL3 SIMPLE BUIL
Diversification and downside risk management
Bloomberg Barclays U.S. Long Treasury
IndexS&P 500 Index
Fundamental systematic forward looking analysis to dete
-50% to +100% of portfolio +50% to +150
Fundamental, systematic, forward-looking analysis to detebetween thes
Optimal portfolio constructed, combining S&P 500 Indexp p , ghighest Sh
Up to 50% leverage permitted – potential to maximiseUp to 50% leverage permitted potential to maximise
Efficient execution via index e
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ccessing excess returns in U.S. large cap equities
LDING BLOCKSLDING BLOCKS
Residual exposure and
leverageCashMarket beta
ermine the expected total return volatility and correlation
-50% to +100% of portfolio0% of portfolio
ermine the expected total return, volatility and correlation se exposures
x with long-dated U.S. Treasuries, with the aim of achieving g , gharpe ratio
e excess returns while maintaining equity-like risk profilee excess returns while maintaining equity like risk profile
exposures, futures and options
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Investment process
Downside risk management
PILLARS OF DOWNS
Volatility management
Macro environment
Identify when global economy entering severe downturnShort term risk model severe downturn
Proprietary measure
De-risk portfolio
Short-term risk model
De-risk when short-term risk rises sharply
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SIDE MANAGEMENT
Stress and scenario analysis
Tail riskhedging
Gauge impacts of various asset class
shocks on the
Option strategies
Variety of market shocks on the portfolio
Cross-correlation modeling
Variety of market exposures
Explicit cost/benefit monitoring
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Mellon Dynamic U.S. Equity Strategy
Representative portfolio positioning
Positioning as at 31 March 2020
p p p g
125%
150%
98%99%
75%
100%
25%
50%
-25%
0%
-50%S&P 500 Index Bloomberg Barclays
Source: Mellon. The representative portfolio adheres to the same investment approach as the Mellon Dynamic U.S. Equity Strategy
Allocation range Curr
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37%
10%
-8%
36%-36%
s US Long Treasury Index Cash
L trent Long-term average (1989-2020)
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The strategy has no inherent style or fac
Correlation of Dynamic U.S. Equity Composite excess returny q y p
USA High Dividend Yield
USA MinimumVolatility USA M
Since inception 0.26 0.22 -
Past 10 years 0.09 0.18 0
Past 5 years -0.09 0.15 0
Inception date July 1994 September 1989 Jul
1. Excess returns of Dynamic U.S. Equity Composite relative to the S&P 500 Index. The indices above are shown for comparison purposes oSource: Mellon, MSCI Indices as at 31 March 2020. The strategy adheres to the same investment approach as the BNY Mellon Dynamic U.Scompliance with the Global Investment Performance Standards (GIPS). Please see appendix for GIPS compliant presentation. Performancehave been linked to the on-going track record for the composite or the composite’s representative account shown as supplemental informatio
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ctor bias
ns1 (net of fees) vs MSCI style indicesy
Momentum USA Quality USA Value Weighted Average
-0.07 0.00 0.16 0.11
0.19 0.12 -0.29 0.06
0.25 0.16 -0.40 0.01
y 1994 July 1994 July 1994
only and are not official benchmarks for this strategy. MSCI style indices excess returns relative to MSCI USA Index.S. Equity Fund. Performance calculated as total return, income reinvested, net of fees (including AMC of 0.5%), in USD. Mellon claims
e presented for measurement periods prior to 1 February 2018 represents the portable performance results of a prior affiliated firm which on.
Ability to complement active approaches
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Summary
• Proven track record− The strategy has delivered consistent long-term outperform
risk profile in terms of volatility
• Cost-effective excess returnsCost-effective excess returns− Active allocation via index exposures, futures and options
excess returns at a much lower cost compared to tradition
• Effective downside features− The strategy has a demonstrated ability to preserve capita
the benchmark in five out of six negative years for the S&P
• Liquid and transparent− Implementation via the S&P 500 Index, Bloomberg Barcla
• Factor neutral− By using index-based instruments to gain exposure, there
correlation versus other large cap core managers
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mance of the S&P 500 Index whilst maintaining an equity-like
, provides the opportunity to generate significant and repeatable nal active strategies
al in equity down markets, having delivered excess returns over P 500 Index since inception in 1989
ys Long Treasury Index and cash
is no inherent style or factor bias. This leads to virtually zero
0
BNY Mellon Dynamic U.S. Equity Fun
Performance as at 30 April 2020
Please note that sector returns are likely to vary, depending on the timing of data extraction from Lipper.Source: Lipper. Fund performance calculated as total return, based on net asset value, including charges, but excluding initial charge, incomeperformance of your investment. Performance figures including the initial charge are available upon request.
2
nd, USD W (Acc.)
e reinvested gross of tax, expressed in share class currency. The impact of the initial charge, which may be up to 5%, can be material on the
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BNY Mellon Dynamic U.S. Equity Fun
Product overview
Investment objective To outperform the S&P 500 Net Total Return Index (tInvestment objective Index over three to five years before fees and expens
Benchmark S&P 500 NR Index
Fund launch date 3 November 2017
Fund manager Team approach
Base currency USD
Available currencies CAD, CHF, EUR, GBP, SEK, USD
Legal structure UCITS
Fund structure ICVC (Dublin-domiciled)
Regulatory authority Central Bank of Ireland
Dealing deadline 17.00 hours Dublin, each working day in Ireland and
Valuation point 22.00 hours Dublin, each working day in Ireland and
Exposure limitsU S l iti 50% t 150%
Investment parameters
- U.S. large cap core equities: 50% to 150%- U.S. bonds: -50% to 100%- Cash: -50% to 100%- Maximum gross notional exposure: 150%- Net exposure (including cash): 100%
Source: BNY Mellon Investment Management EMEA Limited
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the “Index”) with a similar level of volatility to the ses.
the US
the US
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BNY Mellon Dynamic U.S. Equity Fun
Share classes
Minimum initialRetail share class
Minimum initial investment A
Euro H (Acc.) (hedged) € 5,000
USD A (Inc ) $ 5 000USD A (Inc.) $ 5,000
Institutional share classMinimum initial
investment A
USD C (Acc.) $ 5,000,000
Euro W (Acc.) € 15,000,000
Euro W (Inc.) € 15,000,000
USD W (Acc.) $ 15,000,000USD W (Acc.) $ 15,000,000
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Annual management fee ISIN Code
0.80% IE00BYZ8WK05
0 80% IE00BYZ8WG680.80% IE00BYZ8WG68
Annual management fee ISIN Code
0.60% IE00BYZ8X749
0.40% IE00BYZ8Y044
0.40% IE00BYZ8Y150
0.40% IE00BYZ8X4810.40% IE00BYZ8X481
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Appeppendix
Mellon overview
A global multi-specialist investment manager with a
US$467.7bnAssets under management1
US$141Fixed income
Assets by pro
management1 Fixed income
US$31.Over 500employees2
$Equity
US$22Clients in 25countries & territories
Headquartered in Boston
US$22.Multi-asset
Headquartered in Bostonwith offices in Pittsburgh,San Francisco, London3, Singapore3 and Hong Kong3
US$272Index
Source: Mellon as at 31 March 2020. 1. Where applicable, assets include discretionary and non-discretionary assets, the notional value of oveincludes employees of affiliated entities acting as dual officers and/or associated persons of Mellon. 3. Location of affiliated entities providing s
2
full spectrum of research-driven solutions
1.0bn
oduct line1 Mellon’s culture and values are the foundational components of
its corporate identity.
Innovation
7bn
Integrity9bn Integrity9bn
Teamwork2.1bn
verlay strategies, and assets managed by investment personnel acting in their capacity as officers of affiliated entities. 2. Employee total services.
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Mellon Multi-Asset Investment Platfor
Dimitri CurtilE ti Vi P id tExecutive Vice President,CIO, Head of Multi-Asset
Vassilis DagiogluHead of Asset Allocation –Portfolio Management
Roberto Croce, PhDHead of Risk Parity & Liquid AltsLiquid Alts
Firm capabilities
Source: Mellon as at March 2020. 1. Employees of xBK LLC acting as dual officers of Mellon Investments Corporation.
TRADING1 RISK MANAGEMENT ES
2
rm
Research capabilitiesese c c p b esInvestment professionals: 20+
Dynamic Asset Allocation
Global Macro
Strategic Asset Allocation
ESG
SG INVESTMENT STRATEGY MACRO RESEARCH
6
BNY Mellon Dynamic U.S. Equity Fun
Portfolio managerHead of research
Investment team
g
Dimitri Curtil Vassilis Dagioglu
StrategistStrategist
CIO, Head of Multi-Assetg g
Head of Asset Allocation Portfolio Management
Jason Lejonvarn, CFA1
Global Investment StrategistSyed Zamil, CFAGlobal Investment Strategist
Source: Mellon as at March 2020. CFA® and Chartered Financial Analyst® are registered trademarks owned by CFA Institute. 1. Employee
g g
Research capabilities
Dynamic Asset Allocation Global Macro
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Portfolio managerPortfolio manager gg
James Stavena Torrey Zaches, CFA
Strategist
Portfolio ManagerLead PM since 1998
y ,Portfolio Manager
Sinead Colton GrantHead of Global Investment &
of affiliated entity
Product Strategy
Strategic Asset Allocation ESG
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Fundamental valuation
• Equity valuation based on bottom-up cash flow forecasts for each stock
Equities
• Proprietary 3-Stage Discounted Cash Flow Framework
− Highest sensitivity is to changes in 1st Stage, which is modified by agrowth
Ret
urn
Stage: Convergence to long-term equilibrium
Stage: Groto long-te
2
3
Stage: Analyst consensus
1
Years 1–3 Years 3–10 Year 10+
Source: Mellon. The above graph is for illustrative purposes only and does not reflect actual returns.
Proprietary mode
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in the S&P 500 Index
a range of macroeconomic factors with predictive power for earnings
Valuation Process Summary
• Similar to 3 stage dividend discount model (DDM) with proprietary modifications
• Frequency: intra-day
owth converges erm forecast
Frequency: intra day
• Breadth: roll-up across every index constituent
els replicate work of a fundamental research analyst
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Dynamic U.S. Equity Composite
Dynamic US Equity Composite and S&P 500 Index returns (
Performance summary as at 31 March 2020
y q y p
5%
10%
15%
20%
-15%
-10%
-5%
0%
-25%
-20%
Quarter YTD 1 year 3 years (ann.)
5 years (ann.)
10 years (ann.)
20 (a
Composite -17,18 -17,18 -1,31 8,56 9,49 15,02 9Benchmark -19,60 -19,60 -6,98 5,10 6,73 10,53 4Excess return 2,42 2,42 5,66 3,46 2,76 4,49 4Tracking error 2,30 2,71 2,78 4
Calendar year returns (%)2019 2018 2017 2016
Composite 38.28 -6.19 28.49 14.90Benchmark 31.49 -4.38 21.83 11.96
Source: Mellon, S&P. The strategy adheres to the same investment approach as the BNY Mellon Dynamic U.S. Equity Fund. Performance cperformance of your investment. Mellon claims compliance with the Global Investment Performance Standards (GIPS). Please see appendixmonths of returns. Variations in totals due to rounding. Performance presented for measurement periods prior to 1 February 2018 representscomposite’s representative account shown as supplemental information.
Excess return 6.80 -1.80 6.66 2.94
3
(%) Standard deviation (ann., %)( )Composite Benchmark
3 years 16.10 15.21
5 years 14.82 13.65
10 years 14 09 13 3010 years 14.09 13.30
20 years 15.80 14.72
30 years 15.03 14.44
Since inception 14.94 14.39
Sharpe ratio (x)Composite Benchmark
3 years 0.49 0.29
5 years 0.61 0.46years
ann.)30 years
(ann.)
Since inception
ann.(31 Aug
10 years 1.03 0.78
20 years 0.53 0.28
30 years 0.69 0.50
Since inception 0 67 0 48
( g89)
9,05 12,67 12,344,79 9,28 9,044,26 3,39 3,294,17 4,73 4,73 Since inception 0.67 0.48
2015 2014 2013 2012 2011 20100.42 19.77 39.08 20.67 7.27 25.221.38 13.69 32.39 16.00 2.11 15.06
calculated as total return, income reinvested, gross of fees, in USD. Fees and charges apply and can have a material effect on the x for GIPS compliant presentation. Tracking error, standard deviation and Sharpe ratio are calculated and presented with a minimum of 36 s the portable performance results of a prior affiliated firm which have been linked to the on-going track record for the composite or the
-0.97 6.08 6.69 4.67 5.16 10.16
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Dynamic U.S. Equity Composite
Gross performance results as at 31 March 2020Effective Exposure
(End of Quarter)C S& ® C S& ®Period Composite
(%)S&P 500®
(%)Excess
Return (%) Stocks / Bonds / Cash Period Composite(%)
S&P 500®(%)
2020 2012 20.67 16.004Q20 4Q12 -0.76 -0.383Q20 3Q12 8.26 6.352Q20 2Q12 -1.67 -2.751Q20 -17.18 -19.60 2.42 98 10 -8 1Q12 14.22 12.592019 38.28 31.49 6.80 2011 7.27 2.114Q19 9.34 9.07 0.27 111 9 -20 4Q11 15.09 11.824Q19 9.34 9.07 0.27 111 9 20 4Q11 15.09 11.823Q19 2.94 1.70 1.25 109 9 -18 3Q11 -13.24 -13.872Q19 5.87 4.30 1.56 109 19 -28 2Q11 1.10 0.101Q19 16.05 13.65 2.40 112 20 -32 1Q11 6.27 5.922018 -6.19 -4.38 -1.80 2010 25.22 15.064Q18 -15.53 -13.52 -2.01 116 22 -38 4Q10 7.94 10.763Q18 8.59 7.71 0.88 124 9 -33 3Q10 15.49 11.292Q18 3.37 3.43 -0.07 117 10 -27 2Q10 -5.38 -11.431Q18 -1.05 -0.76 -0.29 108 8 -16 1Q10 6.16 5.392017 28 49 21 83 6 66 2009 20 43 26 462017 28.49 21.83 6.66 2009 20.43 26.464Q17 8.02 6.64 1.37 119 9 -28 4Q09 2.71 6.043Q17 5.60 4.48 1.12 120 10 -30 3Q09 19.28 15.612Q17 4.41 3.09 1.32 130 17 -47 2Q09 13.54 15.931Q17 7.89 6.07 1.82 131 18 -49 1Q09 -13.42 -11.012016 14.90 11.96 2.94 2008 -35.84 -37.004Q16 1.95 3.82 -1.87 131 17 -48 4Q08 -19.07 -21.943Q16 3.26 3.85 -0.60 120 26 -46 3Q08 -8.29 -8.372Q16 4.61 2.46 2.15 113 19 -32 2Q08 -3.03 -2.731Q16 4.34 1.35 2.99 111 30 -41 1Q08 -10.86 -9.442015 0.42 1.38 -0.97 2007 7.21 5.494Q15 7.92 7.04 0.88 112 30 -42 4Q07 -1.78 -3.333Q15 -6.28 -6.44 0.16 116 29 -45 3Q07 2.02 2.032Q15 -1.94 0.28 -2.22 120 27 -47 2Q07 6.22 6.281Q15 1.25 0.95 0.30 120 19 -39 1Q07 0.73 0.642014 19.77 13.69 6.08 2006 17.77 15.794Q14 7.80 4.93 2.87 117 19 -37 4Q06 7.06 6.703Q14 1 47 1 13 0 35 120 9 -29 3Q06 5 59 5 673Q14 1.47 1.13 0.35 120 9 -29 3Q06 5.59 5.672Q14 6.64 5.23 1.41 120 9 -30 2Q06 -0.70 -1.441Q14 2.67 1.81 0.86 120 10 -30 1Q06 4.92 4.212013 39.08 32.39 6.69 2005 6.90 4.914Q13 12.08 10.51 1.56 120 10 -30 4Q05 2.73 2.093Q13 6.13 5.24 0.88 120 9 -29 3Q05 4.42 3.602Q13 3.12 2.91 0.21 121 10 -31 2Q05 2.35 1.371Q13 13.38 10.61 2.78 129 19 -48 1Q05 -2.63 -2.15
1. Inception date: 31 August 1989Source: Mellon and S&P. The strategy adheres to the same investment approach as the BNY Mellon Dynamic U.S. Equity Fund. Performanperformance of your investment. Mellon claims compliance with the Global Investment Performance Standards (GIPS). Please see appendixperformance results of a prior affiliated firm which have been linked to the on-going track record for the composite or the composite’s represen
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Effective Exposure Effective Exposure(End of Quarter) (End of Quarter)
C S& ®ExcessReturn (%) Stocks / Bonds / Cash Period Composite
(%)S&P 500®
(%)Excess
Return (%) Stocks / Bonds / Cash
4.67 2004 16.46 10.88 5.58-0.38 129 19 -49 4Q04 11.30 9.23 2.07 119 29 -481.91 130 19 -49 3Q04 0.57 -1.87 2.44 109 39 -481.08 129 18 -47 2Q04 -0.44 1.72 -2.16 100 48 -481.63 128 18 -46 1Q04 4.50 1.69 2.81 98 49 -475.16 2003 39.92 28.68 11.243.27 120 28 -48 4Q03 13.00 12.18 0.82 99 49 -483.27 120 28 48 4Q03 13.00 12.18 0.82 99 49 480.63 120 29 -49 3Q03 3.84 2.65 1.19 108 40 -481.00 128 22 -49 2Q03 24.06 15.39 8.67 139 9 -480.35 119 29 -48 1Q03 -3.88 -3.15 -0.73 150 0 -50
10.16 2002 -15.56 -22.10 6.54-2.82 110 39 -49 4Q02 13.55 8.44 5.11 140 10 -504.20 107 37 -45 3Q02 -18.10 -17.28 -0.82 148 0 -486.04 107 42 -49 2Q02 -9.31 -13.40 4.09 110 38 -480.78 90 56 -46 1Q02 0.12 0.27 -0.15 89 60 -496 04 2001 8 06 11 89 3 83-6.04 2001 -8.06 -11.89 3.83
-3.33 91 58 -49 4Q01 8.74 10.69 -1.95 80 68 -483.67 99 49 -48 3Q01 -9.31 -14.68 5.37 89 59 -48-2.39 99 46 -45 2Q01 4.32 5.85 -1.53 81 69 -50-2.41 108 38 -46 1Q01 -10.63 -11.86 1.23 100 49 -491.16 2000 8.48 -9.10 17.582.87 127 18 -45 4Q00 -1.31 -7.82 6.51 80 30 -100.08 119 28 -47 3Q00 0.90 -0.97 1.87 70 60 -30-0.30 139 9 -48 2Q00 0.13 -2.66 2.79 70 69 -39-1.42 138 8 -46 1Q00 8.80 2.29 6.51 60 80 -401.711.55 100 0 0-0.01 80 10 10-0.06 80 0 200.09 90 -9 19 1999 4.97 21.04 -16.07 50 100 -501.98 1998 31.05 28.59 2.46 81 28 -90.36 109 -9 0 1997 32.86 33.36 -0.50 60 30 10-0 08 110 -10 0 1996 19 56 22 96 -3 40 80 50 -30-0.08 110 -10 0 1996 19.56 22.96 -3.40 80 50 -300.74 110 0 -10 1995 48.37 37.58 10.79 80 10 100.71 100 -10 10 1994 -6.62 1.32 -7.94 60 90 -501.99 1993 19.70 10.08 9.62 90 60 -500.64 110 -10 0 1992 9.81 7.62 2.19 60 90 -500.81 120 -10 -10 1991 36.11 30.47 5.64 60 90 -500.98 120 -10 -10 1990 2.18 -3.10 5.28 80 70 -50-0.48 119 29 -48 1989¹ 2.94 1.65 1.29 60 40 0
ce calculated as total return, income reinvested, gross of fees, in USD. Fees and charges apply and can have a material effect on the x for GIPS compliant presentation. Performance presented for measurement periods prior to 1 February 2018 represents the portable ntative account shown as supplemental information.
Since Inception (Annualised)1
Returns 12.34% 9.04% 3.29%Std. Dev. 14.94% 14.39% 4.73%
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Biographies
Dimitri CurtilM i Di t CIO H d f M lti A tManaging Director, CIO, Head of Multi-AssetDimitri is Mellon’s CIO, Head of Multi-Asset. He oversees the team of portfstrategies. He also leads development and enhancement of the research utools and models for all asset classes including equities, debt, currency, cototal return strategies as well as alternative risk premia and tail risk hedgingtotal return strategies as well as alternative risk premia and tail risk hedging
Dimitri has been active in the research field since 1998. Prior to joining the Lawrence Berkeley National Lab. Previously, he was the founder and manacomputer science from Imperial College in London and an MSc in mechani
James H. StavenaManaging Director, Portfolio Manager and Lead Manager of BNY MelloJames is a portfolio manager. He manages a team of portfolio managers rebased and tail risk hedging strategies James is a key contributor to the debased, and tail risk hedging strategies. James is a key contributor to the deinvestment strategies and signals. Drawing from his extensive experience, as well as 1940 Act and UCITS III implementations of multi-asset strategie
Prior to joining the firm in 1998, James was a currency options trader with brespectively James has been in the investment industry since 1991respectively. James has been in the investment industry since 1991.
James earned an MBA from Rice University.
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folio managers and researchers responsible for the firm’s multi-asset underpinning the firm’s multi-asset strategies. Dimitri and his team develop ommodities and volatility. His areas of research include absolute return and g solutions Previously he was head of asset allocation researchg solutions. Previously, he was head of asset allocation research.
firm in 2006, he worked as a computational systems engineer at ager of an engineering consultancy in France. Dimitri earned an MS in ical engineering from Zurich Federal Institute of Technology.
on Dynamic U.S. Equity Fundesponsible for the implementation of global multi-asset, custom rules-evelopment refinement and risk management of all asset allocationevelopment, refinement and risk management of all asset allocation he focuses on the use of derivatives in quantitative investment strategies, s.
both Credit Suisse First Boston and HSBC in New York and London,
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Biographies
Vassilis DagiogluM i Di t H d f A t All ti P tf li M tManaging Director, Head of Asset Allocation Portfolio Management aVassilis is the head of asset allocation portfolio management. He overseesreturn, absolute return, multi-asset income, global macro, and commoditiesto developing custom portfolio solutions.
Prior to joining the firm, he designed and implemented financial informationdevelopment at IBM Global Services and Sybase. Vassilis has been in the
He received an MBA in finance from the University of California at Berkeley
Jason Lejonvarn, CFA1
Managing Director, Global Investment StrategistJason is a global investment strategist. He is responsible for articulating theand prospects, as well as developing current and new strategies. A key focclient investment problems.
Prior to joining the firm in 2014, he was a strategist with Hermes CommoditPreviously, he worked at BGI as a strategist in their solutions team and theGroup. He also worked in various roles at Barra including as product manathe investment industry since 1996.
He earned an MA in economics from Los Andes University and a BA in polholds the CFA® designation and is a member of the CFA Institute.
1. Employee of affiliated entity. CFA® and Chartered Financial Analyst® are registered trademarks owned by CFA Institute.
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d Alt t M f th BNY M ll D i U S E it F dnd Alternate Manager of the BNY Mellon Dynamic U.S. Equity Funds the team responsible for global multi-asset strategies including total s. Previously at the firm, Vassilis managed multi-asset portfolios in addition
n systems and consulted on enterprise information application investment industry since 1998.
y.
e firm’s index, multi-asset and multi-factor investment capabilities to clients cus is client solutions using the firm’s extensive capabilities to address
ties, responsible for running and developing their commodity business. en as head of portfolio management for BGI’s Hedge Fund Management ager of equity models and director of global accounts. Jason has been in
itical science and international studies at Macalester College. He also
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Biographies
Claire Corry, CFA1
Di t S i Cli t R l ti hi MDirector, Senior Client Relationship Manager
Claire is a senior client relationship manager, representing the firm’s index, mult
Prior to joining the firm in 2016, Claire spent five years at Commerzbank. Most i l d d i t t d dit l d t h d f d l Pincluded investment grade credit sales and cross asset hedge fund sales. Prevcovering US equities and global interest rate products. Prior to this, Claire’s roleincome sales and trading at Daiwa.
Claire earned an MBA from the Wharton School, University of Pennsylvania anmember of the CFA Institute.
1. Employee of affiliated entity. CFA® and Chartered Financial Analyst® are registered trademarks owned by CFA Institute.
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ti-factor and multi-asset capabilities to clients throughout the EMEA region.
recently, she was responsible for high yield specialist sales; other roles i l Cl i t i ht t B k f A i i i tit ti l liously, Claire spent eight years at Bank of America in institutional sales
es included equity trading and equity sales-trading at Merrill Lynch and fixed
nd a BS from Cornell University. Claire holds the CFA® designation and is a
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Dynamic U.S. Equity Composite
Performance disclosure statements
2019 2018 2017 2016A t i ht d G 38 28 6 19 28 49 14 90Asset-weighted Gross 38.28 -6.19 28.49 14.90Asset-weighted Net 37.81 -6.52 28.05 14.50S&P 500® 31.49 -4.38 21.83 11.96Composite 3-Yr St Dev 13.58 12.64 11.40 12.28Benchmark 3-Yr St Dev 12.10 10.95 10.07 10.74Number of Portfolios 9 9 ≤ 5 ≤ 5Composite Assets ($mm) 5 123 3 702 1 967 1 216
The Dynamic US Equity composite measures the total return of all fee-paying, discretionary, portfolios thatactively allocates assets across the equity, fixed income and cash markets of the United States using aproprietary quantitative model Typically a combination of individual stocks financial futures and options
Composite Assets ($mm) 5,123 3,702 1,967 1,216Firm Assets ($mm) 534,203 488,649 376,540 339,574Composite Dispersion 0.51 0.03 N/M N/M
proprietary quantitative model. Typically, a combination of individual stocks, financial futures, and optionsare used to allocate to each of the asset classes. The composite may increase total notional asset classexposures up to 150% and may short bonds and cash up to 50%, with each asset class having its ownallocation ranges. The use of derivatives is a characteristic of this investment strategy and may be usedfrom time to time to obtain exposure, to provide liquidity for cash flows, to hedge accruals or for otherpurposes that facilitate meeting the composite’s objective. Prior to June 1, 2015, the composite was knownas the Tangent-Added composite. The composite was created on August 31, 1995. Compositeperformance started on September 1 1989 The performance of the composite is expressed in USperformance started on September 1, 1989. The performance of the composite is expressed in USDollars. A complete list of composites with their descriptions as well as Policies and Procedures for valuingportfolios, calculating performance, and preparing compliant presentations are available upon request.
Mellon Investments Corporation (“Mellon”) is a registered investment advisor and subsidiary of The Bankof New York Mellon Corporation ("BNY Mellon"). The firm also includes assets managed by Mellonpersonnel acting as dual officers of affiliated companies. Prior to changing its legal name on January 2,2019, the firm was defined as BNY Mellon Asset Management North America Corporation (“BNY Mellon, g p (AMNA”) a registered investment advisor and subsidiary of The Bank of New York Mellon Corporation("BNY Mellon"). The firm was formed on January 31, 2018, through the merger of The Boston CompanyAsset Management, LLC (“TBCAM”) and Standish Mellon Asset Management Company LLC ("Standish")into Mellon Capital Management Corporation ("Mellon Capital”). Performance is presented to show theperformance of all fee-paying portfolios with substantially similar investment objectives, policies andstrategies, which were managed at a prior firm affiliated with Mellon Investment Corporation until February1, 2018. Performance results from the prior affiliated firm were linked on February 1, 2018 to the results1, 2018. Performance results from the prior affiliated firm were linked on February 1, 2018 to the resultsachieved at Mellon Investments Corporation in compliance with the GIPS Guidance Statement onPerformance Record Portability. Firm assets presented through December 31, 2017 represent the Firmassets of the Mellon Investments Corporation prior affiliated firm which managed this investment strategyprior to the formation of Mellon Investments Corporation.
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2015 2014 2013 2012 2011 20100 42 19 77 39 08 20 67 7 27 25 220.42 19.77 39.08 20.67 7.27 25.220.07 19.36 38.61 20.26 6.90 24.791.38 13.69 32.39 16.00 2.11 15.06
12.55 10.68 13.44 14.69 20.08 23.9810.62 9.10 12.11 15.30 18.97 22.16≤ 5 ≤ 5 ≤ 5 ≤ 5 ≤ 5 ≤ 5
1 042 1 013 628 410 325 1
The Composite’s benchmark is the S&P 500® Index. The S&P 500® Index measures the performance ofthe large-cap segment of the US equity market.
1,042 1,013 628 410 325 1349,089 379,698 348,634 252,696 211,175 199,310
N/M N/M N/M N/M N/M N/M
The standard management fee for separately managed account in this strategy is 0.35% for first $300million, 0.30% for the next $200 million, and 0.25% on assets thereafter. Net-of-fee returns are calculatedusing model fees which are equivalent to the standard fee schedule for each investment strategy.Composites containing broad distribution pooled funds apply a model fee equivalent to the investmentmanagement portion of the fund's total expense ratio. Fees are accrued monthly for each accountaccording to their assets under management and the results are asset-weighted to arrive at the compositenet-of-fee return. The performance fees are calculated as 20% of net investment profits of each LimitedPartner, after surpassing the Limited Partner's high water mark.
Gross performance figures are time-weighted rates of return, which include the deduction of transactioncosts. Performance results reflect the reinvestment of interest income and other earnings. Gross-of-feeperformance figures for bank collective funds participating in the composite have been reduced byadministrative fees in addition to trading expenses. Bank collective fund returns may exclude transactioncosts associated with client-driven contributions and withdrawals. Internal dispersion figures are an asset-
i ht d t d d d i ti f ll tf li th t i l d d i th it f th tiweighted standard deviation of all portfolios that were included in the composite for the entiremeasurement period. Dispersion figures for years containing 5 or fewer Portfolios are considered NotMeaningful or "N/M”.
Mellon Investments Corporation claims compliance with the Global Investment Performance Standards(GIPS®) and has prepared and presented this report in compliance with the GIPS standards. MellonInvestments Corporation's predecessor firms all have been independently verified for the periods January1 2007 through December 31 2016 Mellon Investments Corporation has been independently verified for1, 2007 through December 31, 2016. Mellon Investments Corporation has been independently verified forthe periods January 1, 2017 through December 31, 2018. The verification reports are available uponrequest. Verification assesses whether (1) the firm has complied with all the composite constructionrequirements of the GIPS standards on a firm- wide basis and (2) the firm’s policies and procedures aredesigned to calculate and present performance in compliance with the GIPS standards. Verification doesnot ensure the accuracy of any specific composite presentation.
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BNY Mellon Dynamic U.S. Equity Fun
Investment objective and benchmark
Investment objective, annual performance and key r
Objective: To outperform the S&P 500® Net Total Return Index (the "Index") with a similar level of volatility to the Index over three to five years before fees and expenses.
Benchmark: The Fund will measure its performance against S&P 500NR Index (the "Benchmark"). The Fund is actively managed which means the Investment Manager has discretion
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The Fund is actively managed, which means the Investment Manager has discretion over the selection of investments, subject to the investment objective and policies disclosed in the Prospectus. The Fund's equity holdings will be constituents of the Benchmark. The investment strategy allows flexibility for the Investment Manager to deviate from the Benchmark's positions whilst it maintains similar volatility to the benchmark over 5 years.
Performance
Apr-15 to Apr-16 to Apr-17 to Apr-18 to Apr-19 toApr-16 Apr-17 Apr-18 Apr-19 Apr-20
BNY Mellon Dynamic U S
12-month returns (%)
BNY Mellon Dynamic U.S. Equity Fund - - - 12.80 5.88
Benchmark 0.55 17.17 12.60 12.82 0.26
Calendar year returns (%) 2015 2016 2017 2018 2019
BNY Mellon Dynamic U.S. 7 31 36 51Equity Fund - - - -7.31 36.51
Benchmark 0.75 11.23 21.10 -4.94 30.70
Source: Lipper IM as at 30 April 2020. Fund performance for the USD W (Acc.) share class calculated as total return, based on net asset value, including charges, but excluding initial charge, income reinvested gross of tax, expressed in share class currency. The impact of the initial charge, which may be up to 5%, can be material on the performance of your investment. Performance figures including the initial charge are available upon request.
Past performance is not a guide to future performance.The value of investments can fall. Investors may not get back the amount invested.
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nd
Key investment risks
risks
y• Objective/Performance Risk: There is no guarantee that the Fund will achieve
its objectives.• Geographic Concentration Risk: Where the Fund invests significantly in a
single market, this may have a material impact on the value of the Fund.• Derivatives Risk: Derivatives are highly sensitive to changes in the value of
the asset from which their value is derived. A small movement in the value of the underlying asset can cause a large movement in the value of the derivative. This can increase the sizes of losses and gains, causing the value of your investment to fluctuate. When using derivatives, the Fund can lose significantly more than the amount it has invested in derivatives.
• Changes in Interest Rates & Inflation Risk: Investments in bonds/money• Changes in Interest Rates & Inflation Risk: Investments in bonds/money market securities are affected by interest rates and inflation trends which may negatively affect the value of the Fund.
• Credit Risk: The issuer of a security held by the Fund may not pay income or repay capital to the Fund when due.
• Share Class Currency Risk: Share classes may be denominated in a differentShare Class Currency Risk: Share classes may be denominated in a different currency from the base currency of the Fund. Changes in the exchange rate between the share class currency and the base currency may affect the value of your investment.
• Share Class Hedging Risk: The hedging strategy is used to reduce the impact of exchange rate movements between the share class currency and the base
I l l hi hi d f h icurrency. It may not completely achieve this due to factors such as interest rate differentials.
• Counterparty Risk: The insolvency of any institutions providing services such as custody of assets or acting as a counterparty to derivatives or other contractual arrangements, may expose the Fund to financial loss.
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Important information
For Professional Clients only. This is a financial promotion and is not investment advice. For a full list of risks applicable tothis fund, please refer to the Prospectus or other offering documents. Before subscribing, investors should read the most
t P t d KIID f h f d i hi h th t t i t G t b ll i Th P t drecent Prospectus and KIID for each fund in which they want to invest. Go to www.bnymellonim.com. The Prospectus andKIID are available in English and in an official language of the jurisdictions in which the Fund is registered for public sale.BNY Mellon is the corporate brand of The Bank of New York Mellon Corporation and its subsidiaries.The Fund is a sub-fund of BNY Mellon Global Funds, plc, an open-ended investment company with variable capital (ICVC), withsegregated liability between sub-funds. Incorporated with limited liability under the laws of Ireland and authorised by the Central Bank ofIreland as a UCITS Fund. The Management Company is BNY Mellon Fund Management (Luxembourg) S.A. (BNY MFML), regulatedby the Commission de Surveillance du Secteur Financier (CSSF). Registered address: 2-4 Rue Eugène Ruppert L-2453 Luxembourg.AUM / OUM for the following firms may include assets managed by them as non-discretionary investment manager for, or by theindividual firms’ officers as dual officers or employees of, The Bank of New York Mellon: BNY Mellon Investment Adviser, Inc. and itsDreyfus Cash Investment Strategies division, Newton Investment Management (North America) Limited (part of The Newton Group).AUM for Mellon Investments Corporation includes discretionary and non-discretionary assets, the notional value of overlay strategies,and assets managed by investment personnel acting in their capacity as officers of affiliated entities. Total AUM includes BNY MellonWealth Management and external data. AUM outlined for Newton represents the aggregate AUM of the following affiliated companies:Newton Investment Management Limited and Newton Investment Management (North America) Limited and may include assetsmanaged by Newton’s officers as dual officers or employees of The Bank of New York Mellon. Insight investment's assets undermanagement are represented by the value of cash securities and other economic exposure managed for clients.The Bank of New York Mellon Corporation holds 20% minority interest in Siguler Guff & Company LLC and certain related entities.BNY Mellon owns a majority of Mellon Investments Corporation and the remainder is owned by employees of the firm. Dreyfus CashInvestment Strategies is a division of BNY Mellon Investment Adviser, Inc.Issued in Italy by BNY Mellon Fund Management (Luxembourg) S.A. (BNY MFML), a public limited company (société anonyme)incorporated and existing under Luxembourg law under registration number B28166 and having its registered address at 2-4 RueEugène Ruppert L-2453 Luxembourg. BNY MFML is regulated by the Commission de Surveillance du Secteur Financier (CSSF).
MAR000990. Exp. 31 July 2020.
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