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For institutional use only. Not for distribution.
Why New Age Alpha
1. Avoid the Losers® – New Age Alpha is a tech-driven asset management company that identifies, measures and avoids companies whose securities are overpriced. Investors think in terms of picking winners, when their goal should be to avoid the losers.
2. An Innovative Source of Alpha – New Age Alpha builds portfolios to avoid companies with high H-Factor whose securities we deem are overpriced. By avoiding high H-Factor securities, we believe we can deliver superior risk-adjusted returns.
3. Manage risk like an actuary, not a portfolio manager.
4. Proven Team – Founders have successful 20-Year partnership. Investment and management team with 10 years experience working together and proven track record.
5. No Alpha, No Fee® – If we don’t outperform the benchmark, you don’t pay a management fee. 1
6. No Crowding – Portfolio holdings are very different from those of most other asset managers.
7. One philosophy, one story across asset classes, geographies. We provide indexes, separately managed accounts, alternatives and custom portfolio solutions for global equities, fixed income and ESG.
Portfolio Characteristics
Batting Average
Standard Deviation
First Value Date
Primary Capitalization
Current # of Holdings
Geographic Focus
Benchmark
0.44
4.18%
98.78%
56.74%
1.12
0.92
13.28%
2.77%
87.83%
98.85%
12/31/2002
Large Cap
50
USA
S&P 500 ESG Index
Information Ratio
Tracking Error
R Squared
Sharpe Ratio
Beta
Downside Capture
Upside Capture
Annualized Alpha
The New Age Alpha U.S. Large-Cap ESG Index starts with the Refinitiv U.S. Total Return Index, then we perform a size and liquidity screen to get a universe of 600 stocks.
New Age Alpha targets the most ESG compliant companies by selecting the ESG score to be greater than 75 (defined as A- and above by Refinitiv). We also rank the stocks by lowest Human Factor score. We then calculate the average ranking based on a combined ESG and Human Factor score and we select the top 50 stocks.
The stocks are weighted by 1 minus H-Factor Score. This strategy is designed for investors seeking exposure to companies with a strong sustainability profile and the best chance of delivering on its financials.
Product Description and Construction
Performance
Product Name
New Age Alpha U.S. Large-Cap ESG Index
S&P 500 ESG Index
1 Year
22.87%
26.28%
YTD
-5.75%
-4.90%
Since First Value Date (12/31/2002)
13.46%
NA
3 Years
24.50%
23.00%
5 Years
21.26%
18.07%
7 Years
18.89%
15.42%
10 Years
18.04%
15.93%
Annualized Trailing Returns (Gross of fees) *Performance as of 01/31/2022
U.S. Large-Cap ESG IndexAs of 01/31/2022
Armen Arus – Chief Executive OfficerJulian Koski – Chief Investment Officer Hugo Chang, CFA, FRM – Research & Analytics
Investment TeamTop Holdings and Sector Weights
WeightSector
Consumer Discretionary
Consumer Staples
Health Care
Financials
16.78%
13.89%
13.79%
8.77%
32.55%
3.62%
2.93%
2.14%
1.32%
4.21%
0.00%Communication Services
Information Technology
Industrials
Materials
Real Estate
Utilities
Energy
WeightSecurity
11.19%
8.64%
5.17%
4.62%
12.34%
3.78%
3.74%
3.60%
3.46%
3.42%
Microsoft Corp
Amazon.Com Inc
Nvidia Corp
Walmart Inc
Johnson & Johnson
Jpmorgan Chase & Co
Adobe Inc
Chevron Corp
Pepsico Inc
Abbvie Inc
As of 01/31/2022
New Age Alpha U.S. Large-Cap ESG Index vs. S&P 500 ESG Index
Armen Arus – Chief Executive OfficerJulian Koski – Chief Investment Officer Hugo Chang, CFA, FRM – Research & Analytics
For institutional use only. Not for distribution.
The Human Factor™
Human Factor is an innovative source of Alpha
What risk does the Human Factor identify?
Our contention is that low Human Factor stocks outperform high Human Factor stocks overtime.
From this chart you can see that high Human Factor stocks underperform the benchmark and low Human Factor stocks outperform the benchmark.
We use the company’s stock price and together with publicly available information we calculate the company’s implied growth rate. We then fit the implied revenue growth rate to a distribution of historical revenue growth rates to determine the probability that the implied revenue growth will be delivered.
The higher the probability, the more likely the Human Factor has been impounded into the stock price.
It’s commonly assumed that there are two types of risks, those that are priced, for which investors demand compensation, and those that remain unpriced.
Conventional wisdom says to diversify the unpriced portion of the risk when constructing a portfolio. We agree, pure idiosyncratic risk should be diversified away.
We believe the unpriced risk contains more than simply idiosyncratic risk, but rather a combination of idiosyncratic and Human Factor Risk.
However, the Human Factor cannot be diversified away and its presence makes your diversification strategy inefficient. To make your diversification strategy work, you need to identify, measure and AVOID the Human Factor.
Total Risk
Modeled Risks• Beta• Style• Size• Momentum
Explained & AcceptedPriced
Avoid
IdiosyncraticRisk
PricedRisk
Stock-Specific Risk Identifies overpricing
UnexplainedDiversifyFirm-Specific Risk
Indexes cited are for informational purposes only; it is not possible to invest directly in an index. Past performance is not an indication or a guarantee of future results. The performance or
metrics shown are hypothetical. Please read the important disclosures, which are integral to your investment decision-making process, in the disclosures section of this presentation
Manage risk like an actuary, not like a portfolio manager.
Using a probability-based approach we seek to identify when the Human Factor (investor behavior) has under - or overpriced the stock.
Implied Revenue Growth Rate+ =Company’s Stock Price Known Financial InformationBalance Sheet and Income Statement
Any Valuation Model can be used e.g.
Revenue Based Cash Flow BasedMultiples Based Comparable Based Earnings Based
The Human Factor
Implied Revenue Growth
0%
100%Revenue Growth
Prob
abili
ty o
f Fai
lure
The probability that a company will FAIL to
deliver the growth implied by the stock price
Growth Implied By The Stock Price1
The Risk of Failure2
As of 01/31/2022
Low Human Factor QuartileAnnualized Return 14.3%
S&P 500 Equal WeightAnnualized Return 12.3%
High Human Factor QuartileAnnualized Return 10.5%
Low Human Factor Quartile EW S&P 500® EW High Human Factor Quartile EW
$-
$2,000
$4,000
$6,000
$8,000
$10,000
$12,000
$14,000
$16,000
Co-Founder Timeline
For institutional investors only — institutional use only.
Successful 20-year partnership
The H-Factor™ System
Co-Founders, Armen Arus and Julian Koski first worked together in the 90s when they developed and introduced their RBP (Required Business Performance) methodology to private equity investments.
In 2003, they launched Transparent Value and partnered with Dow Jones to create the first indexes built using this methodology. In 2015, Julian and Armen sold Transparent Value to Guggenheim Partners.
Now, after 20 years they have extended and refined their thinking about risk management beyond the RBP asset management platform, into today’s New Age Alpha Human Factor Methodology.
The H-Factor System is designed to help you avoid The Human Factor inside your portfolio. This system measures the amount of Human Factor in a stock’s price.
In this example Xerox has a 76.0% Human Factor Score. A 76.0% chance of not delivering the earnings to support the stock price. Apple has a lower Human Factor score of 19.3%. An 19.3% chance of not delivering the earnings to support the stock price.
Higher Human Factor = Higher Risk of Loss
Armen Arus
Co-Founder and Chief Executive Officer
Julian Koski
Co-Founder and Chief Investment Officer
The H-Factor System Chart is being provided for illustrative purposes only and should not be construed as providing investment advice or as a recommendation to buy or sellany particular security. This Chart is a snapshot taken at a particular point in time and any analysis or information contained in the Chart is outdated and should not be relied upon as investment advice. Moreover, the information presented in the Chart may have changed materially from the date on which this Chart was created. New Age Alpha may or may not own any securities referenced herein.
76.0Equity Indexes 76.0Apple inc. H-Factor System
Canada 35.9
China 40.8
Australia 40.9
United Kingdom 45.7
Korea 51.1
USA 76.0
Japan 60.9
South Africa 69.0
Bank of montrealBMO CT28.1
Upland software incUPLD28.1
Donnelley financial solution...DFIN28.1
Kaiser aluminumKALU28.1
Grief bros corp aGEF28.1
Tesla, incTSLA28.1
ZumiezZUMZ28.1
Avient corpAVNT28.1
Duke energy corpDUK19.4
Apple, incAAPL19.3
Apple, inc
(AAPL) 19.3%
HomeEquity Indexes
76.0
Median H-Factor
Equity Indexes | 6542Home
76.0
Search Close
?
1998Julian and Armen launched a Private Equity firm, Financial Resources Group.
2005Establish India-based Analyst Research Center.
2009Guggenheim Partners acquires a controlling interest in Transparent Value.
Launch Directional 30, 50, 100 Index strategies.
2003Julian and Armen launch Transparent Value.
Introduce Required Business Performance (RBP) Analysis Platform.
2007Form exclusive partnership with S&P Dow Jones / Transparent Value Indexes.
2011Launch Dividend, Style, and Small Cap Index strategies.
Nominated for William S. Sharpe Index Product of the Year Achievement Award.
Investors receive access to proprietary RBP Analysis Platform.
2010First outside Institutional Investor.
Launch Smart Beta strategy and Islamic Market U.S. 50 Index.
2013A top selling US Fixed Income Annuity chooses Transparent Value’s Blended Index.
A major UK asset management firm is the anchor investor in Transparent Value’s Small Cap 30 certificate issued by Morgan Stanley.
2012Offer RBP Style strategies SMA & index.
Partners with 60+ platforms to offer Transparent Value Indexes and strategies.
Launched first SMA and Directional Allocation Mutual Fund.
2015Transparent Value assets reach approximately $5B.
Guggenheim acquires 100% control in Transparent Value.
2018Julian and Armen launch New Age Alpha.
Form exclusive partnership with S&P Dow Jones to launch New Age Alpha Indexes.
Launch US, International Global and Regional Equity Indexes.
2020Launch New Age Alpha Long Short Hedge seeded by a European Institutional investor as the anchor investor.
Appointed Sub-Advisorfor European FixedIncome SICAV.
Launch first twoAVOIDER ETFs.
2008Andy Kern and Hugo Chang join Transparent Value
2007Mike Semack joins as outside counsel
2010Keith Kemp joins Transparent Value
2019Launch Investment Grade and High Yield Fixed Income Indexes.
2021Launch additional indexes including Commodities, Fixed Income and Equities.
2019Konstantin Tourevski joins as Managing Partner in charge of Fixed Income and Long Short strategies.
U.S. Large-Cap ESG IndexAs of 01/31/2022
Portfolio Construction
Performance
This document is provided for informational purposes only and should not be construed as investment advice or an offer or solicitation to buy or sell securities. We discuss general market activity, industry or sector trends, or other broad-based economic or market conditions and this should not be construed as research, securities recommendations or investment advice. Investors are urged to consult with their financial advisors before buying or selling any securities. Any forecasts or predictions are subject to high levels of uncertainty that may affect actual performance. Accordingly, all such predictions should be viewed as merely representative of a broad range of possible outcomes.
Past performance is not indicative of future results. Current and future results may be lower or higher than those shown. An investor in the strategy may experience a loss. No client or prospective client should assume that any information presented in this fact sheet serves as the receipt of, or a substitute for, personalized individual advice from New Age Alpha or any other investment professional. Any charts, graphs or tables used in this fact sheet are for illustrative purposes only and should not be construed as providing investment advice and should not be construed by a client or a prospective client as a solicitation to effect, or attempt to effect transactions in securities, or the rendering of personalized investment advice. Information contained herein does not reflect the actual performance of the strategy. All research and data is simulated and should not be considered indicative of the skill of New Age Alpha. The research data presented for the strategy has been calculated backwards in time and is not a contemporaneous record of actual assets managed by New Age Alpha.
The performance results are gross of fees and expenses and reflect the reinvestment of dividends and interest. Given the limited history of the strategy, the information presented above does not reflect the effective applicable fees and the performance has not been adjusted to give effect to such fees. Data for the 1 Year, 3 Years, 5 years, 7 Years, 10 Years and Since First Value Date are hypothetical, annualized and back-tested. Unless otherwise noted, data for the Calendar Year Return period is hypothetical, not annualized and back-tested. Back-tested performance is provided for informational purposes to indicate historical performance had the strategy been available over the relevant period. New Age Alpha’s back-tested results do not represent the results of actual trading using client assets but were achieved by means of the retroactive application of the strategy's investment methodology that was designed with the benefit of hindsight. Thus, the simulated performance results noted herein should not be considered indicative of the skill of New Age Alpha and are not representative of the actual performance results that are or could be attained by clients of New Age Alpha. The results do not necessarily reflect the impact that any material market or economic factors may have had on the strategy.
OWNERSHIP OF ANY COMPANIES MENTIONED
The discussion of any companies mentioned is this document is not an endorsement of any company or a recommendation to buy, sell or hold any security. Past performance is not a guarantee of future results. The views stated herein are only current through the date stated and are subject to change at any time based on market or other conditions and New Age Alpha disclaims any responsibility to update such views. At the time of this publication, New Age Alpha may own positions in any company mentioned. New Age Alpha typically holds securities in its portfolio only if it becomes part of the established universe of eligible securities that are part of each specific investment strategy (e.g. the S&P 500®). It is important to note that there can be no guarantee that the application of The H-Factor to investment portfolios or certain stocks or securities can produce profitable results.
TRADEMARKS
All New Age Alpha trademarks are owned by New Age Alpha LLC. S&P® is a registered trademark of Standard & Poor's Financial Services LLC (SPFS). All other company or product names mentioned Therein, including S&P®, are the property of their respective owners and should not be deemed to be an endorsement of any New Age Alpha product or strategy.
The New Age Alpha ESG Indices are designed to be socially responsible investment benchmarks. The New Age Alpha ESG policies could cause it to make or avoid investments that could result in the portfolio underperforming, similar indexes, portfolios or funds that do not have an ESG Policy. More information about the New Age Alpha ESG methodology is available upon request.
The S&P 500® is widely regarded as the best single gauge of large-cap U.S. equities. There is over USD 11.2 trillion indexed or benchmarked to the index, with indexed assets comprising approximately USD 4.6 trillion of this total. The index includes 500 leading companies and covers approximately 80% of available market capitalization.
COVID-19
At the time of this report, the COVID-19 outbreak is resulting in widespread disruption to financial markets and normal patterns of business activity across the world and has led to significant market volatility and accommodative monetary policies by global central banks and companies around the world activating business continuity planning (BCP) strategies to safeguard the well-being of employees, the continued operation of critical functions and the support of clients. The extent of the impact of these measures on the COVID-19 outbreak and on companies’ operational and financial performance, and on the markets and national economies more generally, will depend on future developments including the efficacy of these measures and the duration and continued spread of the outbreak.
THIRD PARTY SOURCES
Information contained herein has been obtained from sources believed to be reliable, but not guaranteed. It has been prepared solely for informational purposes on an “as is” basis and New Age Alpha does not make any warranty or representation regarding the information. Investors should be aware of the risks associated with data sources and quantitative processes used in our investment management process. Errors may exist in data acquired from third party vendors.
DEFINITIONS
The Human Factor - is a risk that comes from humans interpreting vague or ambiguous information in a systematically incorrect way. We believe that the Human Factor causes stocks to be mispriced. We measure how the Human Factor affects stock prices to identify which stocks are over or under priced. By measuring the Human Factor and deliberately avoiding high Human Factor stocks (stocks that are overpriced), we can outperform.
Alpha - The extra return due to nonmarket factors. This risk-adjusted factor takes into account both performance of the market as a whole and the volatility of the manager’s performance. A positive Alpha indicates that a manager has produced returns above the expected amount at that risk level, and vice versa for a negative.
ESG - Is designed to be a socially responsible investment benchmark. The Environmental, Social & Governance matters (ESG) in this context is designed to measure the performance of a company's business operations and governance as it relates to financially material ESG factors. All ESG data is sourced, provided and calculated by Thomson Reuters/Refinitiv. Nothing contained herein shall be interpreted to serve as an endorsement of any New Age Alpha product, strategy or portfolio by Thomson Reuters or Refinitiv. Events such as the recent Ukraine and Russia conflict are factors in the ESG methodology. More information about the ESG methodology used herein is available upon request. The New Age Alpha ESG Indexes are designed to be socially responsible investment strategies. The New Age Alpha ESG policies could cause it to make or avoid investments that could result in the portfolio underperforming, similar indexes, portfolios or funds that do not have an ESG Policy.
As used in this document, First Value Date means the first date New Age Alpha used to calculate its back-tested data for its hypothetical performance analysis. It should not be interpreted to mean the inception date of any such fund or strategy.
1 No Alpha No Fee®
In instances where doing so is permissible under applicable law and agreed to in advance with a client, New Age Alpha will rebate its management fee for each client that experiences negative performance as compared to an applicable broad-based securities market index benchmark in each of the three (3) months in a calendar quarter. The terms of any rebate that are applicable to a client will be specified in the client’s investment agreement. NO ALPHA NO FEE IS ONLY AVAILABLE FOR INSTITUTIONAL SMAs or other INSTITUTIONAL ACCOUNTS.
Disclosures
Calendar Year Returns (Gross of fees) *Performance as of 01/31/2022
Product Name
S&P 500 ESG Index
Product Name
S&P 500 ESG Index
New Age Alpha U.S. Large-Cap ESG Index
2019
38.00%
33.38%
2020
20.83%
19.80%
2022
-5.75%
-4.90%
2021
30.24%
31.78%
2018
1.22%
-3.95%
2017
26.19%
21.26%
2016
17.31%
12.54%
2015
5.72%
0.53%
2014
14.30%
13.93%
2013
31.39%
30.64%
New Age Alpha U.S. Large-Cap ESG Index
2010
10.90%
7.58%
2009
17.45%
NA
2008
-26.63%
NA
2007
15.89%
NA
2006
21.45%
NA
2005
7.00%
NA
2004
6.04%
NA
2003
26.81%
NA
2012
12.17%
15.89%
2011
5.47%
3.16%
For institutional investors only — institutional use only.
New Age Alpha LLC555 Theodore Fremd Avenue, Suite A101, Rye, New York, 10580
P 212.922.2699 F 212.922.2698 www.newagealpha.com
CC: NAA10078M | SKU: 10001