- GIPS Composite Presentation
Global Managed Volatility Composite
June 30, 2016 to December 31, 2023
Year Ended | Composite Gross of Fee Returns (%) | Composite Net of Fee Returns (%) | MSCI All Country World Index (Net) Returns (%) | Composite Gross of Fee 3-Yr Std Dev (%) | MSCI All Country World Index (Net) 3-Yr Std Dev (%) | Composite Assets ($ in Millions) | # of Accounts | Internal Dispersion (Equal-Weighted) | Total Firm Assets ($ in Millions) |
Inception to 12/31/16 | 2.96 | 2.44 | 6.55 | N/A | N/A | 10.2 | 1 | N/A | 159,780.6 |
2017 | 42.34 | 40.91 | 23.97 | N/A | N/A | 10.6 | 1 | N/A | 175,421.4 |
2018 | -0.30 | -1.29 | -9.42 | N/A | N/A | 10.6 | 1 | N/A | 160,734.1 |
2019 | 22.43 | 21.19 | 26.60 | 13.34 | 11.23 | 2.9 | 1 | N/A | 173,202.0 |
2020 | 47.60 | 46.13 | 16.25 | 15.04 | 18.13 | 4.3 | 1 | N/A | 224,260.6 |
2021 | -5.12 | -6.07 | 18.54 | 14.27 | 16.84 | 4.1 | 1 | N/A | 245,584.9 |
2022 | -27.11 | -27.84 | -18.36 | 16.85 | 19.86 | 3.0 | 1 | N/A | 164,123.0 |
- Jennison Associates LLC (Jennison or the Firm) claims compliance with the Global Investment Performance Standards (GIPS®) and has prepared and presented this report in compliance with the GIPS standards. Jennison has been independently verified for the period from January 1, 1993 through December 31, 2023 A firm that claims compliance with the GIPS Standards must establish policies and procedures for complying with all applicable requirements of the GIPS Standards. Verification provides assurance on whether the firm’s policies and procedures related to composite and pooled fund maintenance, as well as the calculation, presentation, and distribution of performance, have been designed in compliance with the GIPS Standards and have been implemented on a firm-wide basis. The Global Managed Volatility Composite (Composite) has had a performance examination for the period from July 1, 2016 through December 31, 2023. The verification and performance examination reports are available upon request.
- GIPS® is a registered trademark of CFA Institute. CFA Institute does not endorse or promote this organization, nor does it warrant the accuracy or quality of the content contained herein.
- Jennison Associates LLC is an investment adviser registered under the Investment Advisers Act of 1940, as amended, and an indirect wholly owned subsidiary of Prudential Financial, Inc. (Parent). Registration does not imply a certain level of skill or training. Prudential Financial, Inc. of the United States is not affiliated in any manner with Prudential plc, a company incorporated in the United Kingdom, or with Prudential Assurance Company, a subsidiary of M&G plc, incorporated in the United Kingdom. On January 1, 2006, Jennison redefined the Firm to include JMA assets, for all periods after January 1, 2006.
- The net of fee 1, 5 year and Inception to Date returns ending 12/31/2023: -27.84%, 3.45% and 8.60%, respectively. The benchmark 1, 5 year and since composite inception date returns ending 12/31/2022: -18.36%, 5.22% and 8.54%, respectively.
- The Composite inception date was June 30, 2016 and the Composite creation date under the GIPS standards was July 19, 2016. The Global Managed Volatility strategy seeks to maximize total return on a risk-adjusted basis over a full market cycle by effectively preserving capital during market downturns. The strategy seeks to accomplish its objective by combining a long-only bottom-up fundamental strategy with quantitative net exposure management which utilizes short global broad market, regional, and sector/industry ETF’s. The long component invests in stocks of companies throughout the world that the investment team believes have the potential to generate attractive long-term earnings growth and price appreciation. The short component is managed using Jennison’s proprietary dynamic volatility management model which uses multiple indicators for portfolio volatility and market risk to manage the net equity exposure and is designed to provide exposure to our Global Equity Opportunities strategy’s long-term return with reduced size of drawdowns. In addition, the strategy may hold substantial short positions (borrowed securities), which may prevent it from implementing its investment strategy if its obligation to cover its short position are at a higher price, resulting in a loss. This loss is potentially unlimited. In addition, selling short is a form of leverage, which may exaggerate an increase or decrease in the strategy’s performance. A list of Jennison’s composite and limited distribution pooled fund descriptions is available upon request. Policies for valuing investments, calculating performance, and preparing GIPS Reports are available upon request.
- Performance results are calculated in US dollars and reflect reinvestment of dividends and other earnings. Gross of fee performance is presented before custodial and Jennison’s actual advisory fees but after transaction costs. Net of fee performance is presented net of Jennison’s actual advisory fees and transaction costs. Returns are gross of reclaimable withholding taxes, if any, and net of non-reclaimable withholding taxes. For a global managed volatility separate account the fee schedule offered to institutional clients is as follows: 1.00% fixed fee per year. Actual advisory fees charged and actual account minimum size may vary by account due to various conditions described in Jennison Associates LLC’s Form ADV.
- The data presented represents past performance and does not guarantee future results. Performance results fluctuate, and there can be no assurances that objectives will be achieved. Client’s principal may be at risk under certain market conditions.
- The annual composite dispersion presented is an equal weighted standard deviation calculated of the individual gross account returns in the composite for the entire year. For annual periods with less than 6 accounts included for the entire year, dispersion is not presented. The three-year annualized ex-post standard deviation measures the variability of the composite’s gross returns and the benchmark over the preceding 36-month period and is not required to be presented prior to 2011 or when 36 monthly composite gross returns are not available.
- The Benchmark for the Strategy is the MSCI All Country World Index (Net).
