The hypothetical backtested data shown reflects hypothetical performance an investor may have obtained had it invested in the strategy shown and does not represent performance that any investor actually attained. The hypothetical portfolio was constructed for the purpose of demonstrating possible performance if a portfolio manager had invested the portfolio’s assets according to a specific formula. The hypothetical portfolio consists of a combination of an investment in the S&P 500, cash and certain “front month” S&P 500 futures contracts. The portfolio’s investments were adjusted based on a formula that directs portfolio managers each day to either maintain current equity exposure or adjust equity exposure to a specific level based on the twenty-day realized volatility of the S&P 500, up to and including the present day. The formula directs portfolio managers to drop the portfolio’s effective equity position down to as little as 20% of the portfolio’s net assets in high volatility environments and increase it to as much as 150% in low volatility environments. Therefore, unless an investor managed the portfolio’s equity exposure according to this formula from January 1, 1988 through March 31, 2020, they would have achieved different results than those shown.
No investor actually achieved the results shown. No representation is being made that any account will or is likely to achieve results similar to those shown. Certain of the assumptions have been made for modeling purposes and are unlikely to be realized. No representation or warranty is made as to the reasonableness of the assumptions made or that all assumptions used in achieving the returns have been stated or fully considered. Hypothetical returns have many inherent limitations and may not reflect the impact that material economic and market factors may have had on the decision-making process if client funds were actually managed in the manner shown. Hypothetical returns are also developed with the benefit of hindsight. Actual performance may differ substantially from the hypothetical performance presented. Changes in the assumptions may have a material impact on the hypothetical returns presented. There can be no assurance that Securian Asset Management, Inc. will achieve profits or avoid incurring substantial losses.
The opinions expressed herein represent the current, good faith views of the author(s) at the time of publication and are provided for limited purposes, are not definitive investment advice, and should not be relied on as such. The information presented in this article has been developed internally and/or obtained from sources believed to be reliable; however, Securian AM does not guarantee the accuracy, adequacy or completeness of such information. Predictions, opinions, and other information contained in this article are subject to change continually and without notice of any kind and may no longer be true after the date indicated. Any forward‐looking statements speak only as of the date they are made, and Securian AM assumes no duty to and does not undertake to update forward‐looking statements. Forward‐looking statements are subject to numerous assumptions, risks and uncertainties, which change over time. Actual results could differ materially from those anticipated.
The information presented is based upon certain assumptions, which have been made for modeling purposes and are unlikely to be realized. No representation or warranty is made as to the reasonableness of the assumptions made or that all assumptions used in achieving the returns have been stated or fully considered. Changes in the assumptions may have a material impact.
Benchmark Descriptions: The S&P 500 Index consists of 500 large cap common stocks which together represent approximately 80% of the total U.S. stock market. It is a float-adjusted market-weighted index (stock price times float-adjusted shares outstanding), with each stock affecting the index in proportion to its market value. The Securian AM Dynamic Managed Volatility Strategy seeks to track 60% of the S&P 500 Index and 40% of the Bloomberg Barclays U.S. Aggregate Bond Index. The Bloomberg Barclays U.S. Aggregate bond Index is a broad-based index that measures the investment grade, U.S. dollar denominated, fixed rate taxable bond market and reflects the investment objective of the strategy. The S&P 500 Index consists of 500 large cap common stocks which together represent approximately 80% of the total U.S. stock market. The benchmark for the composite is rebalanced monthly.
Sources: Bloomberg and Securian Asset Management, Inc.
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