Total Return

The strategy seeks to deliver a more efficient risk/return profile than a traditionally balanced global portfolio through dynamic risk allocation and drawdown control.*

Product highlights

Inception date

June 30, 2006

Benchmark

ICE BofAML 1-Month LIBOR
60% MSCI World (ND)/ 40% FTSE WGBI (USD)

Total strategy assets

$559.2M

(as of September 2019)

Investment vehicles

  • Separate account
  • Institutional commingled
  • UCITS

We believe the dynamic risk allocation process leads to a more efficient risk/return profile

  • Actively allocates across four major sources of market risk (equity, credit, rate, and inflation) vs. static risk parity
  • Three key components of our investment process are building a strategic policy portfolio, dynamically allocating risk, and actively executing investment strategies
  • Can potentially be used as an effective complement to static risk parity strategies and is designed to be a core portfolio holding

 

 

*The strategy also seeks a positive total return. 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.

Investment team

Performance

Annualized composite performance (%) as of September 30, 2019

  MTD QTD YTD 1 Year 3 Years 5 Years 10 Years
Total Return (gross) 0.12% 0.49% 13.13% -0.14% 5.34% 4.21% 6.70%
Total Return (net) 0.06% 0.30% 12.49% -0.89% 4.55% 3.35% 5.72%
ICE BofAML 1-Month LIBOR 0.18% 0.59% 1.85% 2.44% 1.68% 1.12% 0.67%
60% MSCI World (ND)/ 40% FTSE WGBI (USD) 0.76% 0.70% 13.17% 4.71% 6.71% 5.20% 6.25%

Calendar Year Composite Performance (%) as of September 30, 2019

  2018 2017 2016 2015 2014 2013 2012 2011 2010 2009
Total Return (gross) -10.03% 14.73% 9.96% -4.11% 3.43% 5.52% 13.13% 4.83% 14.83% 27.30%
Total Return (net) -10.71% 13.87% 9.11% -5.08% 2.39% 4.46% 11.99% 3.77% 13.68% 26.02%
ICE BofAML 1-Month LIBOR 1.99% 1.07% 0.48% 0.18% 0.16% 0.19% 0.25% 0.23% 0.27% 0.36%
60% MSCI World (ND)/ 40% FTSE WGBI (USD) -5.39% 16.24% 5.33% -1.72% 2.80% 13.54% 10.15% -0.63% 9.50% 18.72%

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.

Literature

Important disclosures

The Putnam Investments Total Return Composite (the "Composite") seeks to deliver a more efficient risk/return profile than a traditionally balanced global portfolio through dynamic risk allocation and drawdown control. By relaxing certain traditional investment constraints, like the "no leverage" constraint, the strategy can seek returns and diversification from a variety of sources, while keeping the risks deriving from these sources in good balance. The strategy also seeks a total positive return. The ICE BofA Merrill Lynch US Dollar 1-Month LIBOR Constant Maturity Index is used as a cash benchmark for comparative purposes. As the strategy is designed to deliver a more efficient risk/return profile than a traditionally balanced global portfolio, performance is also monitored relative to a 60% MSCI World Index/40% FTSE World Government Bond Index benchmark. The 60/40 benchmark is rebalanced on a monthly basis. The Composite comprises all U.S. dollar based discretionary accounts, or accounts hedged to U.S. dollars, managed by the Firm in this investment style. The Composite may include accounts with different benchmarks. The Composite creation date was July 29, 2008. This strategy allows for the use of leverage. Prior to April 8, 2016, the Composite was named Total Return Master.

The 60/40 portfolio is based on account allocations of MSCI World Index unhedged and FTSE World Govt Bond Index unhedged.  The MSCI World Index (ND) is an unmanaged index of equity securities from developed countries. The FTSE World Government Bond Index is an index of bonds issued by governments in the U.S., Europe and Asia.

The ICE BofA Merrill Lynch U.S. Dollar 1-Month LIBOR Constant Maturity Index tracks the performance of a synthetic asset-paying LIBOR to a stated maturity. The index is based on the assumed purchase at par of a synthetic instrument having exactly its stated maturity and with a coupon equal to that day's fixing rate. That issue is assumed to be sold the following business day (priced at a yield equal to the current day fixing rate) and rolled into a new instrument.

 

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.