Global Managed Volatility


Strategy Information (as of 3/31/17)

Asset Class: U.S. and Non U.S. Equity
Strategy Inception: March 2012
Assets in Strategy: $2.6 billion
Minimum Holdings: 125
Market Cap Range: $400 million and greater
Products:

  • Separate Account (open)
  • Mutual Fund (open)

Mutual Fund:

  • LSVFX – Institutional share class
  • LVAFX – Investor share class

Common Benchmarks:

  • MSCI World
  • MSCI World Minimum Volatility

Investment Approach

  • Quantitative
  • Deep Value Orientation
  • Well Diversified / Risk Controlled

The LSV Global Managed Volatility Strategy applies the LSV quantitative model to a universe of stocks to create and maintain a broadly diversified portfolio of primarily large and mid cap U.S. and non U.S. listed equities. The portfolio will typically have deep value orientation relative to the portfolio benchmark, including low price to earnings, low price to cash flow, and high dividend yield relative to the portfolio benchmark. The portfolio also seeks to manage volatility by selecting stocks whose total returns are expected to fluctuate less than those of the equity markets as a whole.


Performance

 Since InceptionQTDYTD1 Yr3 Yr5 Yr10 Yr
Global Managed Volatility (Gross)11.94%4.94%4.94%11.62%7.94%11.76%
Global Managed Volatility (Net)11.39%4.81%4.81%11.07%7.40%11.20%
MSCI World9.48%6.38%6.38%14.77%5.52%9.37%
MSCI World Minimum Volatility10.35%5.57%5.57%6.98%9.15%10.21%

Disclaimer

LSV claims compliance with the Global Investment Performance Standards (GIPS®) and has prepared the performance information in compliance with the GIPS standards.  Net-of-fee performance is based on fully discretionary accounts under management, including those accounts no longer with LSV, and was calculated using the highest model management fees applicable to portfolios within the composite. Fees may be higher for certain pooled vehicles and the composite may include accounts with performance-based fees. Non-fee paying accounts are not included in the composite. All performance results are net of commissions and transaction costs, and have been presented gross and net of management fees and include the reinvestment of all income. Dividend income is recorded on ex-dividend date or as soon after the ex-dividend date as the information becomes available to LSV. Interest income is recorded on the accrual basis. When applicable, composite performance is presented net of foreign withholding taxes. Performance results for the indices include reinvested dividends and are presented net of applicable foreign withholding taxes but, unlike the portfolio’s returns, do not reflect the payment of sales commissions or other expenses incurred in the purchase or sale of the securities included in the indices.  Past performance is not indicative of future results.

Please see LSV’s Form ADV Part 2A by clicking here for additional information, including LSV’s standard fee schedules and risks related to investing. Actual fees may vary depending on, among other factors, the applicable fee schedule and portfolio size. Click here for additional disclosures and information regarding the composites.