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Ivy Asset Strategy Fund

  • $23.84 NAV as of 10/22/2018
  • ($-0.04) / -0.17% Daily NAV Change
  • 0.50% YTD (NAV)

Summary

Providing flexibility and discipline in changing markets

Global reach
Fund seeks a rate of return competitive with that of global equities with a reduced level of volatility over a full market cycle. It blends an Equity Sleeve of global equity securities and a Diversifying Sleeve of fixed income, U.S. Treasuries, precious metals, commodities and cash.
Flexible allocations
Fund is not limited by region or asset class and has flexible ranges of 50%-80% of assets for the Equity Sleeve, with a long-term target of about 65%; and 20%-50% for the Diversifying Sleeve, with a long-term target of about 35%.
Risk aware
Portfolio managers target a level of expected total risk equaling 70%-90% of the risk represented in the Fund’s benchmark.

Morningstar Style Box

Blend
Large
MOD
Low
Source: Morningstar

Portfolio Management

Chace Brundige, CFA

  • Ivy Investment Management Company
  • 4 Years with Fund
  • 25 Years in Industry
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Chace Brundige is co-portfolio manager of Ivy Asset Strategy Fund, Ivy VIP Asset Strategy and institutional accounts. He was named co-portfolio manager of these investment products in 2014. He was named a portfolio manager of Ivy VIP Pathfinder Portfolios and InvestEd Portfolios in 2016. Mr. Brundige became a member of the portfolio management team of Ivy Wilshire Global Allocation Fund, sub-advised by Wilshire Associates, Inc., in 2018. Mr. Brundige joined the organization in 2003 as vice president and assistant portfolio manager to the Large Cap Growth team after a previous tenure with the firm as an equity analyst from 1996 to 1999. He was portfolio manager of the firm’s Tax-Managed Equity Fund from 2006 to 2008 and the Global Growth funds from 2009 to 2014. He was appointed senior vice president in 2012. Mr. Brundige began his investment career at UMB Financial Corp. in 1991. He joined Waddell & Reed as an equity investment analyst in 1996. He joined TCW/WestBridge Ventures LLC in San Francisco as a vice president and limited partner in 1999. He was an original member of Trust Company of the West’s venture capital arm. In 2001 he was a vice president and sector head for Citadel Investment Group. Mr. Brundige graduated from Kansas State University in 1991 with a BS in Finance. He earned an MBA with an emphasis in Finance and Accounting from the University of Chicago Graduate School of Business in 1996. Mr. Brundige is a CFA charterholder.

W. Jeffery Surles, CFA

  • Ivy Investment Management Company
  • <1 Year with Fund
  • 17 Years in Industry
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Jeffery Surles is portfolio manager of Ivy Global Income Allocation Fund, managing the fund since 2012, and served as co-portfolio manager from 2012 to 2014. He was named co-portfolio manager of the Ivy Asset Strategy Fund, Ivy VIP Asset Strategy, Ivy VIP Pathfinder Portfolios and InvestEd Portfolios in 2018. Mr. Surles became a member of the portfolio management team of Ivy Wilshire Global Allocation Fund, sub-advised by Wilshire Associates, Inc., in 2018. Mr. Surles joined the organization in 2007 as a fixed income investment analyst. He was appointed assistant vice president in 2012 and vice president in 2014. He was appointed senior vice president in 2018. Prior to joining the firm, Mr. Surles was a portfolio manager from 2003 to 2005, and an investment analyst from 2001 to 2003, for Surles Development Corp. In the fall of 2000 he was a sales analyst for Enterprise Development Services, Inc. Mr. Surles graduated from Vanderbilt University in 2000 with a BS in Organizational Development. He earned an MBA with an emphasis in Finance from the University of Wisconsin in 2007. While attending the University of Wisconsin he was actively involved in the Applied Security Analysis Program and completed an internship at Provident Trust Company in 2006. Mr. Surles is a CFA charterholder.

Growth of a $10,000 Investment
through 9/30/2018

Assumes an investment over 10 years or life of the share class, reinvestment of dividends and capital gains, and does not include the effect of sales charges or taxes.

Documents

Perspectives

Global Network
  • October 11, 2018

Applying a risk-aware process in a volatile market

Quarterly Fund Commentary

Daily Prices as of 10/22/2018

Net Asset Value (NAV) $23.84
Daily NAV Change ($) ($-0.04) -0.17%
Weekly NAV Change ($) $-0.03 -0.13%
Public Offering Price (POP) $24.45

Fund Facts

Ticker Symbol IASEX
CUSIP 466000213
Fund Code 406
Fund Type Specialty Funds
Fund Inception 4/20/1995
Class Inception 4/2/2007
Fiscal Year End March
Dividends Paid March, June, September, December
Fund Assets (as of 9/30/2018) $3.1 bil
Total Equity Holdings (as of 9/30/2018) 69
Total Holdings (as of 9/30/2018) 140
Portfolio Turnover Rate (as of 3/31/2018) 34%
Morningstar Category World Allocation
Lipper Category Alternative Global Macro Funds
Benchmark Bloomberg Barclays US Agg Bond TR USD
Benchmark Bloomberg Barclays US Treasury Bill 1-3 Mon TR USD
Benchmark S&P 500 TR USD
Benchmark MSCI ACWI Index

Performance

Data quoted is past performance and current performance may be lower or higher. Past performance is no guarantee of future results. Investment return and principal value of an investment will fluctuate, and shares, when redeemed, may be worth more or less than their original cost.

Class E shares are subject to an initial sales charge of 5.75% when purchased for your InvestEd Plan account; it also features a step down structure of lowering the initial sales charge based on the amount of your investment. The Ivy Limited Term-Bond Fund, Class E share is subject to an initial sales charge of 2.50%. The Ivy Money Market Fund, Class E share does not include a sales charge.

Monthly Rates of Return

Average Annual Total Returns as of 9/30/2018
(Returns for periods of less than 1-yr are not annualized)
 
Bloomberg Barclays US Agg Bond TR USD -1.60% -1.22% 1.31% 2.16% 3.77%
Morningstar World Allocation 0.02% 3.46% 7.38% 4.42% 6.18%
Bloomberg Barclays US Treasury Bill 1-3 Mon TR USD 1.26% 1.52% 0.78% 0.48% 0.30%
Fund with maximum 5.75% sales charge 2.86% 7.49% 5.82% 1.91% 5.46% 5.61%
MSCI ACWI Index 3.83% 9.77% 13.40% 8.67% 8.19%
Fund at NAV 5.48% 10.27% 6.71% 2.42% 5.73% 5.84%
S&P 500 TR USD 10.56% 17.91% 17.31% 13.95% 11.97%

Quarterly Rates of Return

Average Annual Total Returns as of 9/30/2018
(Returns for periods of less than 1-yr are not annualized)
 
Bloomberg Barclays US Agg Bond TR USD -1.60% -1.22% 1.31% 2.16% 3.77%
Morningstar World Allocation 0.02% 3.46% 7.38% 4.42% 6.18%
Bloomberg Barclays US Treasury Bill 1-3 Mon TR USD 1.26% 1.52% 0.78% 0.48% 0.30%
Fund with maximum 5.75% sales charge 2.86% 7.49% 5.82% 1.91% 5.46% 5.61%
MSCI ACWI Index 3.83% 9.77% 13.40% 8.67% 8.19%
Fund at NAV 5.48% 10.27% 6.71% 2.42% 5.73% 5.84%
S&P 500 TR USD 10.56% 17.91% 17.31% 13.95% 11.97%

Calendar Year Return

Indexes 2013
Bloomberg Barclays US Agg Bond TR USD 3.54 2.65 0.55 5.97 -2.02
Bloomberg Barclays US Treasury Bill 1-3 Mon TR USD 0.82 0.26 0.03 0.02 0.05
Class E 18.55 -5.41 -8.44 -5.02 24.28
S&P 500 TR USD 21.83 11.96 1.38 13.69 32.39

Morningstar Ratings as of 9/30/2018 Morningstar Logo

Category: World Allocation
Ratings are based on risk-adjusted returns
Overall out of 399
3 Year out of 399
5 Year out of 334
10 Year out of 166

Morningstar Ranking as of 9/30/2018 Morningstar Logo

Category: World Allocation
 
Morningstar Ranking / # of Funds in Category displays the fund's actual rank within its Morningstar Category based on average annual total return and number of Funds in that Category. The Morningstar Percentile Ranking compares a Fund's Morningstar risk and return scores with all the Funds in the same Category, where 1% = Best and 100% = Worst.
1 Year 3/466 1
3 Year 257/399 67
5 Year 292/334 88
10 Year 102/166 67

Expense Ratios as of 7/31/2018

Net 1.01%
Gross 1.28%

5-Year Standard Deviation as of 9/30/2018

S&P 500 TR USD 9.55
Bloomberg Barclays US Treasury Bill 1-3 Mon TR USD 0.18
Bloomberg Barclays US Agg Bond TR USD 2.70
MSCI ACWI Index N/A

5-Year MPT* Statistics as of 9/30/2018

*Modern Portfolio Theory
Alpha -4.21
Beta 0.78
R-Squared 75.10
Sharpe Ratio 0.22
Capture Ratio Upside: 64.49%
Downside: 97.32%

Distributions

Historical Prices Inception 4/2/2007

10/1/2018 $25.04 NO NO
10/2/2018 $24.97 NO NO
10/3/2018 $24.91 NO NO
10/4/2018 $24.70 NO NO
10/5/2018 $24.56 NO NO
10/8/2018 $24.46 NO NO
10/9/2018 $24.45 NO NO
10/10/2018 $23.93 NO NO
10/11/2018 $23.70 NO NO
10/12/2018 $23.94 NO NO
10/15/2018 $23.87 NO NO
10/16/2018 $24.23 NO NO
10/17/2018 $24.14 NO NO
10/18/2018 $23.81 NO NO
10/19/2018 $23.88 NO NO
10/22/2018 $23.84 NO NO

Historical Distributions Inception 4/2/2007

9/13/2018 $0.111 Long: $0.000 Short: $0.000 $24.64 9/13/2018
6/14/2018 $0.107 Long: $0.000 Short: $0.000 $24.81 6/14/2018
12/14/2017 $0.288 Long: $0.452 Short: $0.000 $23.55 12/14/2017
12/10/2015 $0.0546 Long: $1.369 Short: $0.000 $22.35 12/10/2015
12/11/2014 $0.1086 Long: $4.849 Short: $0.000 $25.82 12/11/2014
12/12/2013 $0.142 Long: $0.000 Short: $0.000 $31.01 12/12/2013

*Special Dividend
The table includes the daily prices at NAV (net asset value) for the history of this fund's selected share class. NAV is the amount per share you would receive if you sold shares that day.

12-Month Trailing Dist. Yield as of 9/30/2018

NAV 1.99%
With Sales Charge 1.94%

Annualized 30-Day SEC Yield as of 9/30/2018

Subsidized - NAV 1.63%
Unsubsidized - NAV 1.34%

Portfolio

Top 10 Equity Holdings as a % of net assets 9/30/2018

Microsoft Corp. Microsoft Corporation is a multinational computer technology corporation that develops, manufactures, licenses and supports a wide range of software products for computing devices. 2.97%
Pfizer, Inc. Pfizer Inc. (Pfizer) is a research-based, global biopharmaceutical company. The Company manages its operations through five segments: Primary Care; Specialty Care and Oncology; Established Products and Emerging Markets; Animal Health and Consumer Healthcare, and Nutrition. 2.42%
Amazon.com, Inc. Amazon.com, Inc. operates as an online retailer in North America and internationally. 2.19%
AIA Group Ltd. AIA Group Limited is an investment holding company. The Company and its subsidiaries are engaged in provision of products and services to individuals and businesses for their insurance, protection, savings, investment and retirement needs. 2.08%
Visa, Inc., Class A Visa Inc. operates retail electronic payments network worldwide. It facilitates commerce through the transfer of value and information among financial institutions, merchants, consumers, businesses, and government entities. 2.06%
Airbus SE Airbus SE manufactures airplanes and military equipment. The Company produces military fighter aircraft, military and commercial helicopters, missiles, satellites, and telecommunications and defense systems, as well as offers military and commercial aircraft conversion and maintenance services. 1.76%
QUALCOMM, Inc. 1.72%
Home Depot, Inc. (The) The Home Depot, Inc. (The Home Depot) is a home improvement retailer. The Home Depot stores sell an assortment of building materials, home improvement and lawn and garden products and provide a number of services. 1.55%
Intuit, Inc. Intuit Inc. provides business and financial management solutions for small and medium-sized businesses, consumers, accounting professionals, financial institutions. Its products and services simplify small business management and payroll processing, personal finance, tax preparation and filing. 1.55%
Adobe Systems, Inc. Adobe Systems Incorporated operates as a diversified software company worldwide. It operates in three segments: Digital Media, Digital Marketing, and Print and Publishing. 1.55%

Total Portfolio Holdings

Updated quarterly, upon availability.

Market Capitalization
as a % of equity assets as of 9/30/2018

Large ( > $10 bil) 97.7%
Medium ($2 - $10 bil) 2.3%
Small ( < $2 bil) 0.0%
Median Market Cap (as of 9/30/2018) $70.6 bil

Top 10 Industry Allocation
as a % of Equity Holdings as of 9/30/2018

Diversified Banks 7.9%
Aerospace & Defense 5.0%
Pharmaceuticals 4.6%
Application Software 4.3%
Data Processing & Outsourced Services 4.3%
Systems Software 4.1%
Internet Software & Services 4.1%
Semiconductors 3.9%
Internet & Direct Marketing Retail 3.1%
Oil & Gas Exploration & Production 3.0%

Maturity
as a % of fixed income assets as of 9/30/2018

<1 Year 8.7%
1-5 Years 31.7%
5-10 Years 39.1%
10-20 Years 1.2%
>20 Years 19.2%
Average Maturity 9.39 years
Effective Duration 4.61 years

Fixed Income Country Allocation
as a % of bond holdings as of 9/30/2018

United States 54.4%
United Kingdom 15.4%
Luxembourg 7.0%
Argentina 6.1%
France 6.0%
Netherlands 5.6%
Switzerland 2.9%
Italy 1.4%
Brazil 0.6%
Mexico 0.6%

Sector Allocation
as a % of equity assets as of 9/30/2018

Information Technology 26.76%
Financials 15.95%
Industrials 13.48%
Consumer Staples 11.92%
Consumer Discretionary 11.36%
Health Care 9.69%
Energy 7.36%
Materials 2.20%
Telecommunication Services 1.28%

Quality
as a % of fixed income assets as of 9/30/2018

Quality: Our preference is to always use ratings obtained from Standard & Poor's, Moody’s, and Fitch. It is each Portfolio’s general policy to classify such security at the lower rating level if only two ratings are available. If more than two ratings are available and a median exists, the median is used. If more than two ratings exist without a median, the lower of the two middle ratings is used. We do not evaluate these ratings, but simply assign them to the appropriate credit quality category as determined by the rating agency.
Government Bonds 19.20%
NonRated 1.80%
BBB 7.20%
BB 29.60%
B 37.80%
CCC 4.40%

Portfolio Composition
as a % of net assets as of 9/30/2018

Domestic Common Stock 40.06%
Foreign Common Stock 31.63%
Corporate Bonds 11.21%
Precious Metals 4.66%
Senior Loans 4.28%
Government Bonds 4.11%
Cash and Cash Equivalents 2.27%
Other Government Securities 1.78%

Equity Country Allocation
as a % of equity assets as of 9/30/2018

United States 55.9%
China 6.4%
France 6.1%
Japan 5.0%
Switzerland 3.9%
India 3.3%
Netherlands 3.3%
Hong Kong 2.9%
Ireland 1.9%
Taiwan 1.5%
Sweden 1.4%
Belgium 1.3%
Canada 1.2%
United Kingdom 1.2%
Germany 1.1%
South Korea 1.0%
Australia 1.0%
Italy 1.0%
Russia 0.5%

Total Portfolio Holdings

Updated quarterly, upon availability.

Data quoted is past performance and current performance may be lower or higher. Past performance is no guarantee of future results. Investment return and principal value of an investment will fluctuate, and shares, when redeemed, may be worth more or less than their original cost.

Risk factors. The value of the Fund’s shares will change, and you could lose money on your investment. The Fund may allocate its assets among different asset classes of varying correlation around the globe. The Fund’s Equity Sleeve typically holds a limited number of stocks (generally 50 to 70). As a result, the appreciation or depreciation of any one security held by the Fund may have a greater impact on the Fund’s NAV than it would if it invested in a larger number of securities. International investing involves additional risks, including currency fluctuations, political or economic conditions affecting the foreign country, and differences in accounting standards and foreign regulations. These risks are magnified in emerging markets. The Fund’s Diversifying Sleeve includes fixed-income securities, that are subject to interest-rate risk and, as such, the net asset value of the Fund may fall as interest rates rise. Investing in high-income securities may carry a greater risk of nonpayment of interest or principal than higher-rated bonds. Loans (including loan assignments, loan participations and other loan instruments) carry other risks, including the risk of insolvency of the lending bank or other intermediary. Loans may be unsecured or not fully collateralized may be subject to restrictions on resale and sometimes trade infrequently on the secondary market. The Fund may seek to hedge market risk via the use of derivative instruments. Such investments involve additional risks. Investing in commodities is generally considered speculative because of the significant potential for investment loss due to cyclical economic conditions, sudden political events, and adverse international monetary policies. Markets for commodities are likely to be volatile and the Fund may pay more to store and accurately value its commodity holdings than it does with the Fund’s other holdings. These and other risks are more fully described in the Fund’s prospectus. Not all funds or fund classes may be offered at all broker/dealers.

Index Description: S&P 500 - An unmanaged index of common stocks. It is not possible to invest directly in an index.

Index Description: The Bloomberg Barclays U.S. Treasury Bills: 1-3 Month Index - Includes all publicly issued zero-coupon U.S. Treasury Bills that have a remaining maturity of less than 3 months and more than 1 month, are rated investment grade, and have $250 million or more of outstanding face value. In addition, the securities are denominated in U.S. dollars and are fixed rate and non-convertible. It is not possible to invest directly in an index.

Index Description: The Bloomberg Barclays U.S. Aggregate Bond TR USD Index - A market capitalization-weighted index, representing most U.S. traded investment grade bonds. It is not possible to invest directly in an index.

Index description: The MSCI ACWI Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed and emerging markets.The MSCI ACWI consists of 46 country indexes comprising 23 developed and 23 emerging market country indexes. The developed market country indexes included are: Australia,Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden,Switzerland, the United Kingdom and the United States. The emerging market country indexes included are: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary,India, Indonesia, Korea, Malaysia, Mexico, Peru, Philippines, Poland, Qatar, Russia, South Africa, Taiwan, Thailand, Turkey* and United Arab Emirates.

Performance results for some funds may include the effect of expense reduction arrangements. If those arrangements had not been in place, the performance results would have been lower.

Ivy Investment Management Company, the Fund's investment manager, believes that the MSCI All Country World Index is a more representative index for the types of securities that the Fund purchases. Both the prior and current benchmark indexes will be shown for a period of one year for comparison purposes.

W. Jeffery Surles, CFA, became a co-portfolio manager on the Fund on Feb. 5, 2018.

Fee Waiver and/or Expense Reimbursement: Through July 31, 2019, Ivy Investment Management Company (IICO), the Fund’s investment manager, Ivy Distributors, Inc. (IDI), the Fund’s distributor, and/or Waddell & Reed Services Company, doing business as WI Services Company (WISC), the Fund’s transfer agent, have contractually agreed to reimburse sufficient management fees, 12b-1 fees and/or shareholder servicing fees to cap the total annual ordinary fund operating expenses (which would exclude interest, taxes, brokerage commissions, acquired fund fees and expenses and extraordinary expenses, if any) as follows: Class E shares at 1.00%. Prior to that date, the expense limitation may not be terminated without the consent of the Board of Trustees (Board).

Fee Waiver and/or Expense Reimbursement: Through July 31, 2019, IDI and/or WISC have contractually agreed to reimburse sufficient 12b-1 and/or shareholder servicing fees to ensure that the total annual ordinary fund operating expenses of the Class Y shares do not exceed the total annual ordinary fund operating expenses of the Class A shares, as calculated at the end of each month. Prior to that date, the expense limitation may not be terminated without the consent of the Board.

Pricing: All prices and year-to-date returns are based on closing quotes unless noted, as supplied to the NASDAQ by 6:00 p.m. Eastern time. YTD Prices can be updated 3 to 4 hours after the Daily Pricing information which can result in mismatching data.

Style Analysis: The Morningstar Style Box reveals a fund's investment style. For equity funds the vertical axis shows the market capitalization of the stocks owned and the horizontal axis shows investment style (value, blend, or growth). For fixed-income funds, the vertical axis shows the credit quality of the bonds owned and the horizontal axis shows interest rate sensitivity as measured by a bond's effective duration. Morningstar seeks credit rating information from fund companies on a periodic basis (e.g., quarterly). In compiling credit rating information, Morningstar instructs fund companies to only use ratings that have been assigned by the following Nationally Recognized Statistical Rating Organizations (NRSROs): Moody's, Standard & Poor's, Fitch, and Egan-Jones. If two NRSROs have rated a security, fund companies are to report the lowest rating; if three or more NRSROs have rated the same security differently, fund companies are to report the rating that is in the middle. For example, if NRSRO X rates a security AA-, NRSRO Y rates the same security an A and NRSRO Z rates it a BBB+, the fund company should use the credit rating of 'A' in its reporting to Morningstar. PLEASE NOTE: Morningstar, Inc. is not itself an NRSRO nor does it issue a credit rating on the fund. An NRSRO rating on a fixed-income security can change from time-to-time. For credit quality, Morningstar combines the credit rating information provided by the fund companies with an average default rate calculation to come up with a weighted-average credit quality. The weighted-average credit quality is currently a letter that roughly corresponds to the scale used by a leading NRSRO. Bond funds are assigned a style box placement of "low", "medium", or "high" based on their average credit quality. Funds with a low credit quality are those whose weighted-average credit quality is determined to be less than "BBB-"; medium are those less than "AA-", but greater or equal to "BBB-"; and high are those with a weighted-average credit quality of "AA-" or higher. When classifying a bond portfolio, Morningstar first maps the NRSRO credit ratings of the underlying holdings to their respective default rates (as determined by Morningstar's analysis of actual historical default rates). Morningstar then averages these default rates to determine the average default rate for the entire bond fund. Finally, Morningstar maps this average default rate to its corresponding credit rating along a convex curve. For interest-rate sensitivity, Morningstar obtains from fund companies the average effective duration. Generally, Morningstar classifies a fixed-income fund's interest-rate sensitivity based on the effective duration of the Morningstar Core Bond Index (MCBI), which is currently three years. The classification of Limited will be assigned to those funds whose average effective duration is between 25% to 75% of MCBI's average effective duration; funds whose average effective duration is between 75% to 125% of the MCBI will be classified as Moderate; and those that are at 125% or greater of the average effective duration of the MCBI will be classified as Extensive. For municipal bond funds, Morningstar also obtains from fund companies the average effective duration. In these cases static breakpoints are utilized. These breakpoints are as follows: (i) Limited: 4.5 years or less; (ii) Moderate: more than 4.5 years but less than 7 years; and (iii) Extensive: more than 7 years. In addition, for non-US taxable and non-US domiciled fixed income funds static duration breakpoints are used: (i) Limited: less than or equal to 3.5 years; (ii) Moderate: greater than 3.5 and less than equal to 6 years; (iii) Extensive: greater than 6 years.

Unsubsidized yields reflect what the yield would have been without the effect of reimbursements and waivers. The adviser and its affiliates have or may voluntarily waive a portion of their fees (including, but not limited to, distribution and service (12b-1) fees) and reimburse certain expenses. There is no guarantee that the fund will avoid a negative yield. Such undertaking may be amended or withdrawn at any time.

30-Day SEC Yield: is calculated based on a formula mandated by the Securities and Exchange Commission (SEC) that calculates a fund's hypothetical annualized income, as a percentage of its assets. A security's income, for the purposes of this calculation, is based on the current market yield to maturity (in the case of bonds) or projected dividend yield (for stocks) of the fund's holdings over a trailing 30 day period. This hypothetical income will differ (at times, significantly) from the fund's actual experience; as a result, income distributions from the fund may be higher or lower than implied by the SEC yield.

12-Month Trailing Distribution Yield: at NAV refers to the 12-month historical cash flow paid over the past 12 months in dividends, divided by the past months ending NAV.

Alpha, Beta, R-Squared, Standard Deviation, Sharpe Ratio and Capture Ratio are 5 year statistics. Alpha is a measure of a fund's actual returns and expected performance, given its level of risk (as measured by beta). Beta reflects the sensitivity of the fund's return to fluctuations in the market index. R-squared indicates how much of a fund's fluctuations were attributable to movements in the fund's benchmark. Standard deviation is a measure of how volatile a fund's returns are. Sharpe ratio is a measure of a fund's risk-adjusted performance. Capture ratio reflects the annualized product of fund vs. index returns for all months in which the index had a positive return (upside capture) or negative return (downside capture).

The Morningstar Rating™ for funds, or "star rating", is calculated for managed products (including mutual funds, variable annuity and variable life subaccounts, exchange-traded funds, closed-end funds, and separate accounts) with at least a three-year history. Exchange-traded funds and open-ended mutual funds are considered a single population for comparative purposes. It is calculated based on a Morningstar Risk-Adjusted Return measure that accounts for variation in a managed product's monthly excess performance, placing more emphasis on downward variations and rewarding consistent performance, and does not include the effects of sales charges. The top 10% of products in each product category receive 5 stars, the next 22.5% receive 4 stars, the next 35% receive 3 stars, the next 22.5% receive 2 stars, and the bottom 10% receive 1 star. The Overall Morningstar Rating for a managed product is derived from a weighted average of the performance figures associated with its three-, five-, and 10-year (if applicable) Morningstar Rating metrics. The weights are: 100% three-year rating for 36-59 months of total returns, 60% five-year rating/40% three-year rating for 60-119 months of total returns, and 50% 10-year rating/30% five-year rating/20% three-year rating for 120 or more months of total returns. While the 10-year overall star rating formula seems to give the most weight to the 10-year period, the most recent three-year period actually has the greatest impact because it is included in all three rating periods.

© 2018 Morningstar, Inc. All Rights Reserved. The information contained herein: (1) is proprietary to Morningstar; (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. Past performance is no guarantee of future results.

Quality: Our preference is to always use ratings obtained from Standard & Poor's, Moody’s, and Fitch. It is each Portfolio’s general policy to classify such security at the lower rating level if only two ratings are available. If more than two ratings are available and a median exists, the median is used. If more than two ratings exist without a median, the lower of the two middle ratings is used. We do not evaluate these ratings, but simply assign them to the appropriate credit quality category as determined by the rating agency.

Information is subject to change and is not intended to represent any past or future investment recommendations.

Co-Portfolio Manager Cynthia Prince-Fox retired from the firm on April 30, 2018.

YTD Prices can be updated 3 to 4 hours after the Daily Pricing information which can result in mismatching data.

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