Dow Jones U.S. Thematic Market Neutral Low Beta Index (CAD-hedged)
By: AGFiQ • October 7, 2019
An Effective Hedge Against Equity Market Volatility
Since September 2011 the S&P 500 has undergone eight periods where returns fell by more than 5%. In each of these drawdowns the Index was able to provide some level of positive return.
Ways You Can Implement This Strategy Based Client Need
Need: Alpha Generation
Blending market neutral factors with traditional equity has the potential to provide attractive risk-adjusted returns. This can be achieved either through a strategic long-term view or a more tactical, opportunistic strategy to combat a market downturn.
| Annualized Volatility1 | Annualized Return1 | Sharpe Ratios1 | |
| Dow Jones Market Neutral Anti-Beta Thematic Index (CAD-Hedged) | 12.94% | 1.67% | 0.08 |
| S&P 500 Index (CAD) | 11.86% | 14.01% | 1.15 |
| 25/75 Blend | 7.15% | 11.32% | 1.46 |
Need: Diversification
May provide low or negative correlation to the overall market. An allocation can potential aid in asset allocation & portfolio risk reduction.
| Correlation1 | Annualized Volatility1 | Beta1 | |
| Dow Jones Market Neutral Anti-Beta Thematic Index (CAD-Hedged) | -0.68 | 12.34% | -0.71 |
| S&P 500 Index (CAD) | 1.00 | 11.86% | 1.00 |
| 25/75 Blend | 0.95 | 7.15% | 0.57 |
A Possible Replacement for Fixed Income Exposure
Ultimately, a market neutral strategy works best when incorporated into an existing portfolio strategy. Even a small allocation has the potential to reduce overall portfolio risk, smooth out the effects of volatility over-time while maintaining a healthy exposure to equity markets.
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Learn moreThe Dow Jones U.S. Thematic Market Neutral Anti-Beta Index (CAD-Hedged) is a product of S&P Dow Jones Indices LLC or its affiliates ("SPDJI"), and has been licensed for use. Standard & Poor's® and S&P® are registered trademarks of Standard & Poor's Financial Services LLC ("S&P"); Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC ("Dow Jones"). The Dow Jones U.S. Thematic Market Neutral Anti-Beta Index (CAD-Hedged) is not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P and their respective affiliates, and none of such parties make any representation regarding the advisability of investing in such product(s) nor do they have any liability for any errors, omissions, or interruptions of the Dow Jones U.S. Thematic Market Neutral Anti-Beta Index (CAD-Hedged).
Commissions, trailing commissions, management fees and expenses all may be associated with mutual fund investments. Please read the prospectus before investing. Mutual funds are not guaranteed, their values change frequently and past performance may not be repeated.
Performance returns presented are hypothetical and for illustrative purposes only. It does not represent actual performance of the index. Assumptions were made in the calculation of these returns including [list key assumptions made in formula-will get from Nimar]. Trading costs and other fees associated with the portfolios are not included and trading prices and frequency implicit in the hypothetical performance may differ from what may have actually been realized at the time given prevailing market conditions. This performance simulation is for illustrative purposes only and does not reflect actual past performance nor does it guarantee future performance. One cannot invest directly in an index
All information is in Canadian dollars. The performance presented is gross of fees and rates of return for greater than one year have been annualized. The indicated rates of return are the historical annual compounded total returns including changes in value and reinvestment of all dividends and do not take into account sales, redemptions, distributions or optional charges or income taxes payable by any investor that may have reduced returns.
Past performance is not necessarily a guide to future performance. The value of investments and income from them can fall and rise. Investments denominated in foreign currencies are subject to fluctuations in exchange rates, which may have an adverse effect on the value of the investments, sale proceeds and on income.
Unless otherwise specified all information is in Canadian dollars. Past performance is not necessarily a guide to future performance. The value of investments and income from them can fall and rise. Investments denominated in foreign currencies are subject to fluctuations in exchange rates, which may have an adverse effect on the value of the investments, sale proceeds and on income. Charts and graphs are provided for illustrative purposes only.
Unless otherwise specified all information is in Canadian dollars. Past performance is not necessarily a guide to future performance. The value of investments and income from them can fall and rise. Investments denominated in foreign currencies are subject to fluctuations in exchange rates, which may have an adverse effect on the value of the investments, sale proceeds and on income. Charts and graphs are provided for illustrative purposes only.