Multi-Asset Absolute Return Strategy
January 31, 2009
ICE BofAML U.S. Treasury Bill Index
Total strategy assets†
(as of September 2019)
- Separate account
- Institutional commingled
We believe that the combination of efficient beta and flexible uncorrelated alpha provides diversification by philosophy
- Dynamically allocates between four directional (equities, credit, rates, inflation) and several non-directional strategies
- Shifts both the composition of risk and total level of risk to maximize risk-adjusted return potential
- Can potentially be used as a structural core strategy to help dampen overall volatility, or as a complement to more traditional strategies
*No assurance can be given that the investment objective will be achieved or that an investor will receive a return of all or part of his or her initial investment. Actual results could be materially different from the stated goals. Investors should carefully consider the risks involved before deciding to invest. See the composite disclosures for a summary of risk considerations. As with any investment, there is a potential for profit as well as the possibility of loss.
†Assets may include accounts that are not reflected in the composite.
Annualized composite performance (%) as of September 30, 2019
|MTD||QTD||YTD||1 Year||3 Years||5 Years||10 Years|
|Multi-Asset Absolute Return Strategy (gross)||-0.09%||2.17%||10.07%||3.87%||4.24%||3.54%||4.93%|
|Multi-Asset Absolute Return Strategy (net)||-0.16%||1.98%||9.45%||3.08%||3.46%||2.73%||4.07%|
|ICE BofAML U.S. Treasury Bill Index||0.17%||0.56%||1.86%||2.46%||1.54%||1.00%||0.56%|
Calendar Year Composite Performance (%) as of September 30, 2019
|Multi-Asset Absolute Return Strategy (gross)||-8.13%||10.82%||3.95%||-0.41%||7.29%||7.27%||9.19%||1.92%||5.23%||--|
|Multi-Asset Absolute Return Strategy (net)||-8.83%||9.99%||3.11%||-1.26%||6.38%||6.35%||8.26%||1.06%||4.33%||--|
|ICE BofAML U.S. Treasury Bill Index||1.88%||0.81%||0.37%||0.09%||0.06%||0.09%||0.12%||0.14%||0.21%||0.29%|
Past performance is not a guarantee of future results. An investment in this strategy could lose value. Most recent month-end performance is preliminary. Returns are subject to change. Please refer to the composite report for additional important information regarding performance disclosures and investments risks.
Periods less than one year are not annualized. Performance is stated in U.S. dollars.
The Putnam Investments Multi-Asset Absolute Return Strategy Composite (the "Composite") seeks positive returns with a similar level of volatility over a full market cycle. The strategy pursues a consistent absolute return by combining two independent investment strategies — a directional (beta) component, which provides broad exposure to investment markets, and a non-directional (alpha) component, which seeks returns from active trading strategies. The beta strategy seeks to balance risk and to provide positive total return by investing, without limit, in many different asset classes, including U.S., international, and emerging markets equity securities and fixed-income securities; mortgage- and asset-backed securities; below-investment-grade securities; inflation-protected securities; commodities; and real estate investment trusts. The alpha strategy involves the potential use of active trading strategies designed to provide additional total return through active security selection, tactical asset allocation, currency transactions and options transactions. The Composite's benchmark is the ICE BofA Merrill Lynch U.S. Treasury Bill Index. Accounts in the Composite may use other cash benchmarks. The Composite comprises all fully discretionary accounts managed by Putnam in this style. The Composite creation date was March 17, 2009. The Composite was formerly called the Absolute Return 700 Composite. This strategy allows for the use of leverage and derivatives (including futures, forwards, swaps, and options, exchange traded or OTC) may be used for hedging and non-hedging purposes.
The ICE BofA Merrill Lynch U.S. Treasury Bill Index is an unmanaged index that tracks the performance of U.S. dollar-denominated Treasury bills publicly issued in the U.S. domestic market. Qualifying securities must have a remaining term of at least one month to final maturity and a minimum amount outstanding of $1 billion.
Composites may include portfolios with certain existing investment restrictions that the Firm believes do not materially impact the investment strategy. Benchmarks are generally taken from published sources and may have different calculation methodologies, pricing times, and/or foreign-exchange sources from the composite. The effect of those differences is generally deemed to be immaterial. The securities holdings of the Composite may differ materially from those of the index used for comparative purposes. Composites and benchmarks include the reinvestment of dividends and other earnings. Indexes are unmanaged and do not incur expenses. You cannot invest directly in an index. Gross-of-fees returns do not include the deduction of management fees and other expenses that may be incurred in managing an investment account. A portfolio's return will be reduced by advisory and other fees. Net-of-fee returns are calculated using a model fee. For the applicable time periods, net-of-fees returns reflect either the deduction of the highest management fee that is paid by a portfolio in the Composite during the performance period, applied on a monthly basis, or the deduction of the highest applicable management fee in effect during the performance period that would be charged based on the fee schedule appropriate to this mandate, without the benefit of breakpoints, applied on a monthly basis, whichever is higher. Net-of-fee calculation methodology may change over time. Actual investment advisory fees incurred by clients are typically negotiated on an individual basis and may vary depending upon, among other things, the applicable fee schedule and portfolio size. Our standard fee schedules are available upon request.