Glossary

Indices

J.P. Morgan Emerging Markets Bond Index (EMBI) Global Diversified: tracks the total return of U.S. dollar denominated debt instruments issued by sovereign and quasi-sovereign entities.

J.P. Morgan Government Bond Index-Emerging Market (GBI-EM) Global Diversified: a comprehensive global local emerging market index, consisting of regularly traded, liquid fixed-rate, domestic currency government bonds.

MSCI China All Shares Index: a free-float weighted equity index designed to capture large and mid-cap representation across China A-shares, B-shares, H-shares, Red-chips, P-chips and foreign listings (e.g. ADRs). The index aims to reflect the opportunity set of China share classes listed in Hong Kong, Shanghai, Shenzhen and outside of China.

MSCI China A Onshore Index: a free-float weighted equity index, designed to measure performance of China A share securities listed on either the Shanghai or Shenzhen Stock Exchanges.

MSCI All Country World ex-US Small Cap Index: a free float-adjusted market capitalization index designed to measure global developed and emerging market small capitalization equity performance, excluding the U.S.

MSCI All Country World ex-US Index: a free float-adjusted market capitalization index that measures large and mid cap equity performance in developed and emerging markets, excluding the U.S.

MSCI All Country World ex-US Growth Index: a free float-adjusted market capitalization index that includes MSCI All Country World ex-US securities with higher price-to-book ratios and higher forecasted growth rates.

MSCI All Country World ex-US IMI Index: a free float-adjusted market capitalization index that is designed to measure large, mid, and small cap equity market performance in the global developed and emerging markets, excluding the U.S.

MSCI All Country World IMI Index: a free float-adjusted market capitalization index that is designed to measure large, mid, and small cap equity market performance in the global developed and emerging markets.

MSCI All Country World ex-US IMI Growth Index: a free float-adjusted market capitalization index that includes MSCI All Country World ex-US IMI Index securities with higher price-to-book ratios and higher forecasted growth rates.

MSCI Emerging Markets Index: a free float-adjusted market capitalization index that is designed to measure large and mid cap equity market performance in the global emerging markets.

MSCI Emerging Markets IMI Index: a free float-adjusted market capitalization index which captures large, mid and small cap equity market performance in the global emerging markets.

MSCI Emerging Markets ex-China IMI Index: a free float-adjusted market capitalization index that is designed to measure large, mid, and small cap equity market performance in the global emerging markets excluding China.

MSCI Emerging Markets Small Cap Index: a free float-adjusted market capitalization index that is designed to measure equity market performance of small cap companies in emerging markets.

MSCI World ex-US Index: a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets, excluding the U.S.

Russell 1000 Index: measures the performance of the 1000 largest companies in the Russell 3000 Index, which represents approximately 90% of the total market capitalization of the U.S. market.

Russell 1000 Growth Index: measures the performance of those Russell 1000 companies with higher price-to-book ratios and higher forecasted growth values.

Russell 1000 Value Index: measures the performance of the large cap value segment of the U.S. equity universe. It includes those Russell 1000 companies with lower price-to-book ratios and lower forecasted growth values.

Russell 2000 Index: measures the performance of the 2000 smallest companies in the Russell 3000 index, which represents approximately 8% of the total market capitalization of the Russell 3000 index.

Russell 2000 Growth Index: measures the performance of those Russell 2000 companies with higher price-to book ratios and higher forecasted growth values.

Russell 2000 Value Index: measures the performance of those Russell 2000 companies with lower price-to-book ratios and lower forecasted growth values.

Russell 2500 Index: measures the performance of the 2500 smallest companies in the Russell 3000 Index.

Russell 2500 Growth Index: measures the performance of those Russell 2500 companies with higher price-to book ratios and higher forecasted growth values.

Russell 2500 Value Index: measures the performance of those Russell 2500 companies with lower price-to book ratios and lower forecasted growth values.

Russell 3000 Index: measures the performance of the 3000 largest U.S. companies based on total market capitalization, which represents approximately 98% of the investable U.S. equity market.

Russell 3000 Growth Index: measures the performance of those Russell 3000 companies with higher price-to-book ratios and higher forecasted growth values.

Russell Midcap Index: measures the performance of the 800 smallest companies in the Russell 1000 Index, which represent approximately 27% of the total market capitalization of the Russell 1000 companies.

Russell Midcap Growth Index: measures the performance of those Russell Midcap companies with higher price-to-book ratios and higher forecasted growth values.

Russell Midcap Value Index: measures the performance of the mid-cap value segment of the U.S. equity universe. It includes those Russell Midcap Index companies with lower price-to-book ratios and lower forecasted growth values.

S&P 500 Index: The Standard & Poor's 500 Index (S&P 500) is an index of 500 stocks chosen for market size, liquidity and industry grouping, among other factors. The S&P 500 is designed to be a leading indicator of U.S. equities and is meant to reflect the risk/return characteristics of the large cap universe.

Indices are unmanaged and do not incur fees or expenses. A direct investment in an unmanaged index is not possible.

Terms

30-Day SEC Yield: an annualized yield based on income earned over the most recent 30-day period. Subsidized yields reflect fee waivers in effect. Unsubsidized yields reflect what the yield would have been if no fee waiver had been in effect.

Active Share: a measure of the percentage of stock holdings in a manager's portfolio that differ from the benchmark index.

Active Spread Duration: the difference between the effective spread duration contribution from a particular security or market segment to a portfolio, and the contribution to the portfolio's benchmark. Effective spread duration is a measure of the sensitivity of a bond's price with respect to sovereign spread movement. It approximately measures the percentage change in a bond's price if spreads change by 100 bps.

Alpha: a measure of a portfolio’s return in excess of the market return, after both have been adjusted for risk. 

Beta: a quantitative measure of the volatility of the portfolio relative to the overall market, represented by a comparable benchmark.

CFROIC (Cash Flow Return on Invested Capital): a measure of how effectively a company generates cash flow based on legacy capital investment.

Convexity: a measure of the sensitivity of a fixed income investment's duration to changes in yield.

Credit quality designations range from AAA (highest) to D (lowest). Credit quality ratings on underlying securities are received from S&P and Moody's which are converted to the equivalent S&P major rating category for presentation purposes only. The portfolios themselves have not been rated.

Current Yield: the income generated by a security over the course of one year, divided by the current market price of the security. A fund’s current yield is calculated by averaging the current yield of each security held within the portfolio on a market weighted basis. Current Yield is not a guarantee nor necessarily indicative of future performance or income generation, distributions may differ.

Distribution yield: the sum of a fund’s income distributions over the trailing 12-month period divided by the fund’s net asset value at the end of the period.

Duration: a measure of the price sensitivity of a fixed income investment to a change in interest rates, stated in years.

Duration Distribution: the portfolio's allocation to different groups of bonds, where those groups are determined by the bonds' effective interest rate duration. Effective interest rate duration is a measure of the sensitivity of a bond's price with respect to a shift in U.S. interest rates. It approximately measures the percentage change in a bond's price if U.S. interest rates change by 100 bps.

EPS (Earnings Per Share) Growth Rate (Projected): this measure represents the weighted average of forecasted growth in earnings expected to be experienced by the stocks within the portfolio over the next year. From a portfolio perspective, the portfolio EPS Growth Rate is a weighted average of the individual holdings' EPS Growth Rate.

Information Ratio: a measure of risk-adjusted return. The annualized excess return of the portfolio relative to a respective benchmark, divided by the annualized tracking error relative to that same benchmark. The higher the measure, the higher the risk-adjusted return.

Option-Adjusted Spread (OAS): a measure of the spread of a fixed income investment's yield relative to a benchmark, adjusted to take into account an embedded option.

P/E (Price/Earnings) Ratio: this is the most common measure of how expensive a stock is. Simply, it is the cost an investor in a given stock must pay per dollar of current annual earnings. A high P/E generally indicates that the market is paying more to obtain the stock because it has confidence in the company’s ability to increase its earnings. Conversely, a low P/E often indicates that the market has less confidence that the company’s earnings will increase rapidly or steadily, and therefore will not pay as much for its stock.

Price to Book (P/B) Ratio: a stock's capitalization divided by its book value. This ratio compares the market's valuation of a company to the value of that company as indicated on its financial statements.

R-squared: a measurement of how closely the portfolio’s performance correlates with the performance of its benchmark. In other words, it is a measurement of what portion of a portfolio’s performance can be explained by the performance of the overall market or index. Ranges from 0 to 1, where 0 indicates no correlation and 1 indicates perfect correlation.

Recovery Rate: the extent to which principal and interest on defaulted debt can be recovered, expressed as a percentage of face value.

Sharpe Ratio: a risk-adjusted measure calculated using standard deviation and excess return (Portfolio return – Risk Free Rate) to determine reward per unit of risk. The higher the Sharpe ratio, the better the portfolio’s historic risk-adjusted performance.

Sortino Ratio: a modification of the Sharpe ratio that differentiates harmful volatility from general volatility by taking into account the standard deviation of negative asset returns, called downside deviation. The Sortino ratio subtracts the risk-free rate of return from the portfolio’s return, and then divides that by the downside deviation. A large Sortino ratio indicates there is a low probability of a large loss.

Spread Duration: a measure of the price sensitivity of a fixed income investment to a change in credit spreads.

Standard Deviation: a measure of the portfolio’s risk. A higher standard deviation represents a greater dispersion of returns, and thus a greater amount of risk. The annualized standard deviation is calculated using monthly returns.

Tracking Error: measures the extent to which a portfolio tracks its benchmark. The tracking error of an index portfolio should be lower than that of an active portfolio. The tracking error will always be greater than zero if the portfolio is anything other than a replication of the benchmark.

Trailing 1-Year Turnover: this figure reflects the portfolio’s trading activity by calculating the amount of the portfolio’s holdings bought or sold over the prior year, expressed as a percentage of the portfolio’s average market value. Turnover figures may be related to the amount of trading costs experienced by the portfolio.

Weighted Average Market Capitalization: Market capitalization refers to the total market value of each company's outstanding shares. The Weighted Average Market Capitalization for a portfolio is calculated as the average market capitalization of the stocks within the portfolio, weighted by the amount of each stock owned.

Unweighted Median Market Capitalization: this calculation represents the median market capitalization of the stocks in the portfolio, regardless of the amount of each stock owned.

Yield to Maturity (YTM): a representation of the rate of return anticipated on a bond if held until its maturity. A fund’s YTM is calculated by averaging the YTM of each security held within the portfolio on a market weighted basis. YTM is not a guarantee nor necessarily indicative of future performance or income generation, distributions may differ.

Yield to Worst: a representation of the lowest potential yield that an investor would receive on a bond if the issuer does not default.