SGI Global Equity Strategy

June 30, 2024
MANAGERS
PERFORMANCE
PORTFOLIO

Current Materials

Overview

INCEPTION March 01, 2012

OBJECTIVE Seeks capital appreciation.

INDEX MSCI ACWI Minimum Volatility (USD)®
STRATEGY
  • Invests primarily in common stocks within large and mid-capitalization companies across developed market and emerging market countries, typically 80-100 stocks.
  • Utilizes a quantitative multi factor approach to identify companies that we believe have the potential to outperform.
  • Focused fundamental research that eliminates companies with heightened idiosyncratic risk.
  • Dynamic company specific constraint process that seeks to restrict stocks with weak prospects.
  • Unique risk management approach that results in a diversified portfolio with lower standard deviation than the benchmark over full market cycles.

Portfolio Managers

Aash M. Shah, CFA

Head of Investments & Sr. Portfolio Manager

David Harden, Founder

President | Portfolio Manager | Chief Executive Officer | Chief Investment Officer

Performance

Total Returns As Of June 30, 2024
*Inception Date: March 01, 2012
Global Strategy Excess Returns Vs. MSCI ACWI (Monthly)
Past performance does not guarantee future results. Performance for rolling periods other than monthly are different and are available upon request. The monthly rolling periods are calculated based on the strategy return minus the benchmark return. Outperformance is not indicative of positive absolute performance. Rolling periods calculated monthly since inception.
Calendar Year Returns
20232022202120202019201820172016201520142013
Strategy Gross of Fees14.37%-12.31%16.97%5.05%25.28%-2.15%21.53%10.69%-0.26%16.32%20.81%
Strategy Net of Fees13.43%-13.05%16.01%4.12%24.44%-2.79%20.75%10.69%-0.26%16.32%20.81%
MSCI ACWI Minimum Volatility8.30%-9.82%14.49%3.40%21.79%-0.98%18.63%8.11%3.35%11.55%17.58%
Excess Return6.08%-2.50%2.48%1.65%3.49%-1.17%2.89%2.58%-3.61%4.77%3.23%

202320222021202020192018
Strategy Gross of Fees14.37%-12.31%16.97%5.05%25.28%-2.15%
Strategy Net of Fees13.43%-13.05%16.01%4.12%24.44%-2.79%
MSCI ACWI Minimum Volatility8.30%-9.82%14.49%3.40%21.79%-0.98%
Excess Return6.08%-2.50%2.48%1.65%3.49%-1.17%

20172016201520142013
Strategy Gross of Fees21.53%10.69%-0.26%16.32%20.81%
Strategy Net of Fees20.75%10.69%-0.26%16.32%20.81%
MSCI ACWI Minimum Volatility18.63%8.11%3.35%11.55%17.58%
Excess Return2.89%2.58%-3.61%4.77%3.23%

Portfolio vs. Peer Average and Indices

Volatility
Returns
Max Drawdowns

Past performance does not guarantee future results.

Characteristics

Portfolio Guidelines
  • Benchmarked against the MSCI ACWI Minimum Volatility (USD)®
  • 80-100 global holdings
  • Sector weight constrained to a maximum of 25%
  • U.S. exposure constrained to a maximum 65%
  • Turnover historically 40-80%
  • Lower standard deviation than the benchmark over full market cycles
  • Fully invested
  • Strong ESG (Environmental, Social, and Governance) considerations
  • Individually customizable for your constraints
Sector Weights
CharacteristicsStrategyMSCI ACWI Minimum Volatility
Strategy Assets ($ Million)113.89-
Number of Holdings89394
Beta*0.790.63
Standard Deviation* (%)13.5911.27
Market Cap. ($ Billion)45.6750.54
Price to Trailing Earnings19.0021.29
Price to Cash Flow14.8715.46
Price to Book3.413.69
Enterprise Value to Sales2.693.71
Debt as % of Assets16.1025.76
Return on Equity (%)18.3416.03
Top 10 HoldingsTickerWeight
PROGRESSIVE CORPPGR3.68%
COLGATE-PALMOLIVE COCL3.51%
ALPHABET INC-CL CGOOG3.15%
RIO TINTO PLC-SPON ADRRIO3.10%
MICROSOFT CORPMSFT2.90%
UNITED THERAPEUTICS CORPUTHR2.68%
TAKEDA PHARMACEUTIC-SP ADRTAK2.55%
COCA-COLA CO/THEKO2.51%
NEUROCRINE BIOSCIENCES INCNBIX2.37%
KIMBERLY-CLARK CORPKMB2.27%
* Beta & Standard Deviation 36 months
Fund holdings and sector allocations are subject to change at any time and should not be considered a recommendation to buy or sell any security.
Risk Statistics since March 01, 2012 Strategy MSCI ACWI Minimum Volatility
Annualized Return 10.01% 8.27%
Annualized Standard Deviation 11.40% 10.10%
Return/Risk 0.88 0.82
Tracking Error 6.01% 7.08%
R-Squared 82.79% 74.35%
Alpha 2.39% 1.77%
Beta 0.74 0.63
Compliance Statement

Performance numbers for the most recent period are preliminary and subject to change. Returns for periods of less than one year are not annualized. Past performance is not a reliable indicator of future performance and should not be relied upon to make investment decisions. Investing involves risks including the possible loss of principal and fluctuation in value. Performance includes the reinvestment of dividends and other earnings.

Performance figures are presented net of fees or both gross and net. In some instances, fees deducted are actual, in other instances, fees deducted are the highest charged in the composite/portfolio. Actual fees may vary depending on, among other things, the applicable fees schedule and portfolio size. SGI fees are available upon request and may also be found in Part 2A of its Form ADV.

Composite returns are calculated from account-level returns based on account membership in the composite during the daily holding period and applying a beginning asset-weighted methodology to each account. Performance includes the reinvestment of dividends and other earning. Investing involves risks including the possible loss of principal and fluctuation in value. The volatility of the indices may be materially different from the individual performance attained by a specific investor. In addition, SGI’s holdings may differ significantly from the securities that comprise the indices. The indices have not been selected to represent an appropriate benchmark to compare an investor’s performance, but rather are disclosed to allow for comparison of the investor’s performance to that of certain well-known and widely recognized indices. You cannot invest directly in an index.

For a GIPS-compliant composite presentation, see this Fact Sheet: Global Equity 2024 Q2