Long-Short Equity Q1 2015 - River Road Asset Management, LLC
Transcription
Long-Short Equity Q1 2015 - River Road Asset Management, LLC
Long-Short Equity QUARTERLY UPDATE AS OF MARCH 31, 2015 Portfolio Managers Matt W. Moran, CFA Lead Portfolio Manager Bradley University, BS and University of Chicago, MBA 15 years of experience: Goldman Sachs, Citigroup, and Morningstar Investment Objective Net Market Exposure River Road’s Long-Short (LS) Equity is a fundamental, bottom-up strategy that seeks to provide equity-like returns with substantially reduced volatility while emphasizing capital protection. Expected net market exposure is between 50% and 70% in normal market conditions. Portfolio Characteristics Daniel R. Johnson, CFA, CPA Portfolio Manager Risk Management Our long portfolio targets 20 to 40 positions, representing between +50% and +100% of the total portfolio value. University of Kentucky, BS and MAcc 9 years of experience: PricewaterhouseCoopers In extreme market conditions, net market exposure may range from 10% to 90%. Our short portfolio targets 20 to 40 positions, representing between -10% and -90% of the total portfolio value. Stock specific: stop loss and momentum ranking Portfolio construction: unrealized losses threshold Reactive overlay: Drawdown and Draw Up Plans Historical Data (since inception) LS Composite 9.80% Russell 3000 18.50% Morningstar L-S Category 5.17% Anlzd. Alpha 3.04 -- (2.42) Sortino - 3% MAR 1.98 2.22 0.67 Best Month1 5.65% 11.51% 5.09% Beta 0.44 1.00 0.45 Worst Month1 (4.39%) (7.76%) (4.16%) Anlzd. Std. Dev. 7.12 12.60 5.87 Avg. Month1 0.80% 1.49% 0.47% Max 1-Day Drawdown (2.13) (7.02) (3.06) % of Positive Months1 70.18% 68.42% 61.40% Max 1-Month Drawdown (4.29) (7.76) (4.16) Cumulative Return1 55.91% 124.00% 26.99% Max Drawdown (7.64) (20.40) (11.77) R-Squared 59.85 100.00 93.95 Return Analysis Anlzd. Return1 Upside Capture 52% 100% 40% Downside Capture 37% 100% 53% LS Composite 1.54 Risk Analysis Sharpe Ratio Russell 3000 1.46 Morningstar L-S Category 0.93 Net Performance1 2015 2014 2013 LS Composite Russell 3000 LS Composite Russell 3000 LS Composite Russell 3000 Jan (2.42%) (2.78%) (4.39%) (3.16%) 5.02% 5.49% Feb 4.68% 5.79% 1.53% 4.74% 0.56% 1.33% Mar (1.74%) (1.02%) (0.60%) 0.53% 1.19% 3.92% Feb 6.57% (1.75%) -3.18% (1.06%) (0.45%) 0.53% 0.17% -- Mar (1.75%) 0.15% -0.18% (0.68%) 0.00% 2.96% (1.64%) -- Apr May Jun Jul Aug Sep Oct Nov Dec 0.04% 0.12% 0.95% 1.64% 0.51% 2.18% 1.46% 2.36% 1.74% 2.51% (1.62%) (1.30%) 1.19% (1.97%) 2.10% 5.48% 0.34% 4.20% (0.52%) (2.79%) (1.83%) (2.08%) 3.10% 3.72% (2.95%) 2.75% 3.33% 4.25% 0.37% 2.42% 0.44% 2.90% 2.53% 0.00% 1.33% 2.64% Apr May Jun Jul Aug Sep Oct Nov Dec 0.46% (0.29%) -2.04% (0.96%) -- 1.25% (0.62%) -2.30% (0.72%) -- 2.89% (1.03%) -(1.21%) (0.30%) -- (0.12%) 1.44% -3.27% (1.05%) -- 2.49% (2.03%) -(1.07%) 0.66% -- (3.00%) 1.32% -4.08% (0.87%) -- 0.72% (1.25%) (2.28%) 4.23% (0.77%) -- 0.94% (0.24%) (0.19%) 1.45% (0.89%) -- 1.89% 0.80% -2.37% (0.91%) -- YTD 0.37% 1.80% (1.73%) 12.56% 18.58% 33.55% Long / Short Attribution 2015 2014 2013 Long Portfolio Short Portfolio Index Hedges Long Portfolio Short Portfolio Index Hedges Long Portfolio Short Portfolio Index Hedges Jan (3.48%) 1.18% -(4.91%) 0.62% 0.01% 6.26% (1.08%) -- Performance 2011 Drawdown Event (April 29 - October 31, 2011) 15 Worst Daily Returns of Russell 3000 1,600 1.00% 1,500 (1.00%) 1,400 (3.00%) (0.91%) (3.58%) (5.00%) 1,300 (7.00%) 1,200 LS Composite 1,100 Apr May Jun Russell 3000 Jul YTD 1.13% (0.35%) -5.91% (3.08%) (3.00%) 29.31% (9.00%) -- Russell 3000 LS Composite Morningstar L-S Category Aug Sep Oct Except where otherwise indicated, data is shown gross of fees as of March 31, 2015. 1Net of fees. Gross of fees performance does not reflect the effect of management fees (performance would have been lower). Please refer to the net of fees performance provided when considering this strategy. Inception Date: July 1, 2010. Attribution presented based on a representative portfolio within the Strategy. Attribution excludes the impact of all cash. Attribution is computed as the contribution of the representative portfolio component to the total return. All representative portfolio data is shown as supplemental information to the Composite presentation. Morningstar L-S Category is Morningstar U.S. Open End Long-Short Equity Category. ©2015 Morningstar, Inc. All Rights Reserved. The information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information. Morningstar performance calculated using daily net performance inputs and total return values reflect the effect of management, administrative, 12b-1 fees and other costs taken out of fund assets. LS Composite is not subject to administration, 12b-1 fees or other costs. These fees would make the LS Composite performance lower. Source: River Road Asset Management, LLC, FactSet Research Systems Inc., Morningstar, Inc., and Russell Investment Group. Past performance is no guarantee of future results. Please see reverse side for important disclosure information. LONG-SHORT EQUITY QUARTERLY UPDATE AS OF MARCH 31, 2015 Exposure 160% 120% Gross 80% 40% Net 0% Q3 10 Q4 10 Q1 11 Q2 11 Q3 11 Q4 11 Q1 12 Q2 12 Q3 12 Q4 12 Q1 13 Q2 13 Q3 13 Q4 13 Q1 14 Q2 14 Q3 14 Q4 14 Q1 15 Ending Monthly Exposure 2015 Long Portfolio Short Portfolio Index Hedge Total Portfolio Gross Exposure Total Portfolio Net Exposure 2014 Long Portfolio Short Portfolio Index Hedge Total Portfolio Gross Exposure Total Portfolio Net Exposure 2013 Long Portfolio Short Portfolio Index Hedge Total Portfolio Gross Exposure Total Portfolio Net Exposure Jan 85.21% (25.48%) -110.69% 59.72% 78.30% (25.90%) (3.52%) 107.72% 48.88% 73.30% (24.43%) -97.73% 48.87% Feb 83.59% (27.53%) -111.13% 56.06% 69.54% (25.51%) (0.50%) 95.54% 43.53% 74.23% (19.31%) -93.54% 54.92% Mar Apr May Jun Jul Aug Sep Oct 95.48% (29.68%) -125.16% 65.80% 77.33% 76.31% 74.80% 76.51% 83.13% 85.72% 87.16% 87.96% (28.56%) (26.56%) (26.25%) (32.06%) (32.53%) (38.02%) (28.58%) (33.35%) -------(24.88%) 105.89% 102.87% 101.06% 108.57% 115.66% 123.74% 115.75% 146.19% 48.77% 49.75% 48.55% 44.45% 50.60% 47.69% 58.58% 29.73% 75.80% 73.46% 67.31% 76.45% 71.67% 72.80% 73.46% 72.30% (25.08%) (24.53%) (22.21%) (20.92%) (20.42%) (16.92%) (21.06%) (29.30%) --------100.89% 98.00% 89.52% 97.38% 92.09% 89.72% 94.52% 101.60% 50.72% 48.93% 45.10% 55.53% 51.25% 55.88% 52.41% 43.00% Long Portfolio Short Portfolio 37.6 30 23.7 20 10 0 82.42% (27.35%) -109.77% 55.08% 80.61% (31.69%) -112.30% 48.92% 60 Long Portfolio 58.0 Short Portfolio 27.6 8.0 8.4 7.3 1.5 1.2 78.66% (34.58%) -113.24% 44.07% 78.08% (24.89%) -102.97% 53.19% 40 17.8 2.7 1.3 Dec Exposure by Market Capitalization (%)1 Exposure by Sector (%)1 40 Nov 3.5 -- 0.5 2.1 1.2 3.2 3.0 1.1 -- 1.0 20 12.5 9.9 13.1 4.1 0 > $15 B $2 B - $15 B < $2 B Data as of March 31, 2015. 1Sector and market capitalization exposure presented as gross weights for the long and short portfolios, excluding the impact of the index hedge. Source: River Road Asset Management, LLC and FactSet Research Systems Inc. As of March 31, 2015, net of fees returns for the Long-Short Equity Composite are as follows for the month, QTD, YTD, 1 year, 3 year, and Inception to Date periods: -1.74%, 0.37%, 0.37%, 2.22%, 6.87%, 9.80%. As of March 31, 2015, returns for the Russell 3000 are as follows for the month, QTD, YTD, 1 year, 3 year, and Inception to Date periods: -1.02%, 1.80%, 1.80%, 12.37%, 16.43%, 18.50%. Performance presented net of fees is after the deduction of trading costs and management fees and includes the reinvestment of all income. Representative Portfolios - Unless noted as LS Composite, the data presented is based on representative portfolios within the Long-Short Equity Strategy. Since no single representative portfolio is available to represent the strategy since inception, data for historical periods combines two or more representative portfolios, using the same criteria, within the Long-Short Equity Strategy to create a continuous representative portfolio. All representative portfolio data is shown as supplemental information to the Long-Short Equity Composite presentation. River Road Asset Management, LLC (“RRAM”) is a registered investment adviser formed in April 2005 and is partially owned by Affiliated Managers Group, Inc. This presentation may be presented by an employee of Affiliated Managers Group, Inc., AMG Funds, or Aston Asset Management, LLC, which are affiliates of RRAM. RRAM claims compliance with the Global Investment Performance Standards (GIPS®). The firm maintains a complete list and description of composites and a presentation that complies with the requirements of the GIPS® standards, which is available upon request by contacting Thomas D. Mueller, CPA, CFA at (502) 371-4100 or [email protected]. The Composite contains a fully discretionary account that seeks equity-like returns with reduced volatility and an emphasis on capital protection by investing in long equity securities that trade at a discount to the firm's estimate of absolute value and selling short equity securities that trade at a premium to the firm's estimate of absolute value. The Composite will invest in short securities. The long and short portfolios will typically represent 50 to 100% and -10 to -90% of the total composite, respectively. Additionally, the Composite may use options, futures, and other derivatives but these will not represent a significant portion on the composite. Performance presented includes the reinvestment of all income. The U.S Dollar is the currency used to express performance. The official benchmark for the Composite is the Russell 3000 Unmanaged index that contains the 3,000 largest stocks in the U.S. based on total market capitalization. All other indices listed throughout the presentation are shown for additional information only. The information provided in this report should not be considered a recommendation to purchase or sell any particular security. Characteristics and sector weightings may not be indicative of this strategy’s current or future investments. It should not be assumed that any of the holdings discussed herein were or will be profitable or that the investment recommendations or decisions we make in the future will be profitable or will equal the investment performance of the securities discussed herein. This information is shown as supplemental information only and complements the full disclosure presentation. Sector, Industry Group, Industry, or Sub-industry group levels are provided from the Global Industry Classification Standard (“GICS”), developed and exclusively owned by MSCI, Inc. (“MSCI”) and Standard & Poor’s Financial Services LLC (“S&P”), unless otherwise stated that they have been reclassified or classified by RRAM. Reclassifications/classifications by RRAM are not supported by S&P or MSCI. All GICS data is provided “As Is” with no warranties. River Road Asset Management does classify securities that are not automatically classified by MSCI and S&P. Data was previously shown for a component of the Portfolio called the “individual short portfolio,” which excluded the impact of (1) index hedges held during drawdown periods and (2) two equity hedges. Beginning Q4 2014, this component is no longer presented. Instead, a component of the Portfolio called the “short portfolio” is shown, which includes the two equity hedges but excludes the index hedges. Before the change, the component defined as the “short portfolio” included the impact of the index hedges. These changes have been applied retroactively and change the data previously presented. All data for components of the Portfolio exclude the impact of cash and an immaterial investment in covered call options previously held in the Portfolio. The total portfolio net and gross market exposure presented represents the representative portfolio, which includes the impact of the long portfolio, short portfolio , index hedges, cash, and an immaterial investment in covered call options previously held in the portfolio. The Drawdown Plan is subject to market fluctuations and exact percentage of long and short portfolios will typically not be achieved. © Copyright: All rights reserved; 2015, River Road Asset Management, LLC. RIVER ROAD ASSET MANAGEMENT, LLC Meidinger Tower I 462 South Fourth Street I Suite 1600 I Louisville, KY 40202 USA 502.371.4100 I riverroadam.com