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Fixed Income Investing in theCurrent Environment
Fixed Income Investing in theCurrent Environment
CITYWIRE MIAMI
October 16 -18, 2013
2
OverviewOverview
Founded in 1986, Clark Capital Management
Group, Inc. is an independent, mostly employee
owned investment advisory firm, managing over
$2.8* billion in client assets and based in
Philadelphia, PA.
Clark Capital is focused on both long only and
liquid alternatives — risk management strategies,
with a goal of successful capital preservation.
Clark Capital tailors its Navigator Investment
Solutions to the unique requirements of high net
worth individuals, corporations, trusts,
endowments, foundations, and retirement plans.
* As of 6/30/2013 (includes sub-advised assets)
3
OverviewOverview
Fixed Income Challenges
� Low yield environment
� Inflation risk
� Interest rate risk
� Liquidity risk
Fixed Income Opportunities
� Opportunities in low quality debt space
� Flexible approach
� Disciplined research process
� Focus on risk management
4
Long Term Government YieldLong Term Government Yield
Source: Morningstar Direct
0.00
2.00
4.00
6.00
8.00
10.00
12.00
14.00
16.00
55 60 65 70 75 80 85 90 95 00 05 10
1/1/1954 to 12/31/1982S&P 500 10.38
S&P 500 Inflation Adjusted 5.58
U.S. LongTerm Government 3.45U.S. LongTerm Government
Inflation Adjusted -1.05U.S. Inflation 4.55
1/1/1983 to 12/31/2012S&P 500 10.81
S&P 500 Inflation Adjusted 7.69
U.S. LongTerm Government 9.90U.S. LongTerm Government
Inflation Adjusted 6.81U.S. Inflation 2.89
L o n g Te r m G o v e r n m e n t Y ie ld
For illustrative purposes only. The information is not intended to be a recommendation to purchase or sell a security. Past performance is no guarantee of future
results. Returns reflect reinvestment of capital gains and dividends, if any. Indices are unmanaged and do not incur fees. It is not possible to invest in an index.
Stocks are represented by the S&P 500 Index. Bonds are represented by the Ibbotson Associates U.S. Long-Term Government Index. Inflation-adjusted returns
are based on the average Consumer Price Index (CPI) through the referenced period.
5
Annual Returns for Selected Bond Sectors 10-Year
Annualize
d
Return
10-Year
Standar
d
Deviatio
n2003 2004 2005 2006 2007 2008 2009 2010 2011 2012
High Yield
Corporates
28.97
Unhedged
Foreign
Bonds
12.06
High Yield
Municipals
8.58
High Yield
Corporates
11.85
TIPS
11.64
Treasuries
13.74
High Yield
Corporates
58.21
High Yield
Corporates
15.12
TIPS
13.56
High Yield
Municipals
18.14
High Yield
Corporates
10.62
High Yield
Corporates
10.59
Unhedged
Foreign
Bonds
18.21
High Yield
Corporates
11.13
Investment
Grade
Municipals
3.51
High Yield
Municipals
10.75
Unhedged
Foreign
Bonds
10.94
Unhedged
Foreign
Bonds
9.43
High Yield
Municipals
32.74
Investment
Grade
Corporates
9.00
Investment
Grade
Municipals
10.70
High Yield
Corporates
15.81
TIPS
6.65
Unhedged
Foreign
Bonds
8.32
TIPS
8.40
High Yield
Municipals
10.52
T-Bills
3.00
Unhedged
Foreign
Bonds
7.28
Treasuries
9.01
Mortgages
8.34
Investment
Grade
Corporates
18.68
High Yield
Municipals
7.79
Treasuries
9.81
Investment
Grade
Corporates
9.82
Unhedged
Foreign Bonds
6.44
High Yield
Municipals
7.68
Investment
Grade
Corporates
8.24
TIPS
8.46
TIPS
2.84
Mortgages
5.22
Aggregate
Bond Index
6.97
Aggregate
Bond Index
5.24
Investment
Grade
Municipals
12.91
Aggregate
Bond Index
6.54
High Yield
Municipals
9.25
TIPS
6.98
High Yield
Municipals
6.39
TIPS
6.66
High Yield
Municipals
6.13
Investment
Grade
Corporates
5.39
Treasuries
2.79
Investment
Grade
Municipals
4.84
Mortgages
6.90
T-Bills
1.80
TIPS
11.41
TIPS
6.31
Investment
Grade
Corporates
8.15
Investment
Grade
Municipals
6.78
Investment
Grade
Corporates
6.33
Investment
Grade
Corporates
6.25
Investment
Grade
Municipals
5.31
Mortgages
4.70
High Yield
Corporates
2.74
T-Bills
4.76
T-Bills
4.74
TIPS
–2.35
Aggregate
Bond Index
5.93
Unhedged
Foreign
Bonds
6.12
Aggregate
Bond Index
7.84
Aggregate
Bond Index
4.21
Aggregate
Bond Index
5.18
Treasuries
4.71
Aggregate
Bond Index
4.10
Investment
Grade
Municipals
4.48
Mortgages
2.61
Aggregate
Bond Index
4.33
Investment
Grade
Corporates
4.56
Investment
Grade
Municipals
–2.47
Mortgages
5.89
Treasuries
5.87
Mortgages
6.23
Mortgages
2.59
Investment
Grade
Municipals
5.10
Investment
Grade
Municipals
4.53
Mortgages
3.07
Aggregate
Bond Index
4.34
Aggregate
Bond Index
2.43
Investment
Grade
Corporates
4.30
Investment
Grade
Municipals
3.36
Investment
Grade
Corporates
–4.94
Unhedged
Foreign
Bonds
4.35
Mortgages
5.37
Unhedged
Foreign
Bonds
5.24
Treasuries
1.99
Mortgages
5.08
Aggregate
Bond Index
3.55
Treasuries
2.24
Treasuries
3.54
Investment
Grade
Corporates
1.68
Treasuries
3.08
High Yield
Corporates
1.87
High Yield
Corporates
–26.16
T-Bills
0.16
Investment
Grade
Municipals
2.38
High Yield
Corporates
4.98
Unhedged
Foreign
Bonds
1.77
Treasuries
4.75
Mortgages
2.62
T-Bills
1.07
T-Bills
1.24
Unhedged
Foreign
Bonds
–8.79
TIPS
0.41
High Yield
Municipals
–2.28
High Yield
Municipals
–27.01
Treasuries
–3.57
T-Bills
0.13
T-Bills
0.08
T-Bills
0.07
T-Bills
1.69
T-Bills
0.51
1.9% 3.3% 3.4% 2.5% 4.1% 0.1% 2.7% 1.5% 3.0% 1.7%
Sources: U.S. Bureau of Labor Statistics;
Federal Reserve;
Barclays; Morningstar; Russell Investments1.00% 2.25% 4.25% 5.25% 4.25% 0.00-0.25% 0.00-0.25% 0.00-0.25% 0.00-0.25% 0.00-0.25%
BEST
PERFORMANCE
WORST
PERFORMANCE
HIGHESTVOLATILITY
LOWESTVOLATILITY
Annual
Inflation Rate
Year-End Fed
Funds Rate
Periodic Table of Sector Rotation — BondsPeriodic Table of Sector Rotation — Bonds
Source: Morningstar Direct. Past performance not indicative of future results. Please see attached disclosures.
6Source: The Armstrong Advisory Group
Type of BondEconomy Does Well Economy Stagnates
Economy DoesPoorly
Treasury Bills Poorly Mediocre Well (Nominally)
Treasury Bonds Poorly Mediocre Well (Nominally)
Investment GradeCorporate Short Duration
Mediocre Mediocre Mediocre
Investment GradeCorporate Long Duration
Poorly Poorly Poorly
High Yield Well Poorly Poorly
Floating Rate Well Mediocre Poorly
Interest Rate Rise — How Each Type of Bond Could Perform Based on Historical DataInterest Rate Rise — How Each Type of Bond Could Perform Based on Historical Data
7Source: Morningstar Direct. Past performance not indicative of future results. Please see attached disclosures.
10-Year Treasury Yields10-Year Treasury Yields
8
Rising Rate PeriodsRising Rate Periods
Source: Morningstar Direct. Past performance not indicative of future results. Please see attached disclosures.
9
Rising Rate PeriodsRising Rate Periods
Source: Morningstar Direct. Past performance not indicative of future results. Please see attached disclosures.
10Source: Ned Davis Research
(10 years ended December 31, 2012)
1.00
0.80
0.60
0.40
0.20
0.00
–0.20
–0.40
–0.60
0.88
0.68
0.52
0.41
0.09 0.07
–0.18–0.23
–0.40
Co
rre
latio
n
Barclays Capit al
U.S. Aggregat e
Index
BofA Mer r ill
Lynch U.S.
Inflat ion-Linked
Treasury Index
BofA Mer r illLynch U.S.
�Corporat e
Index
BofA Mer r illLynch
Municipal
Mast er Index
JP MorganGovernment
Bond Index
Emerging
Market s Global
Diversified
BofA Mer r illLynch All U.S.
�Conver t ibles
Index
BofA Mer r illLynch Fixed
R �at e Prefer red
Secur it ies Index
Credit SuisseLeverage Loan
Index
BofA Mer r illLynch U.S.
�High Yield
Mast er II Index
Finding Securities with a Negative Correlation with U.S. Treasuries — Fixed-Income Sectors to 7-10 Year TreasuriesFinding Securities with a Negative Correlation with U.S. Treasuries — Fixed-Income Sectors to 7-10 Year Treasuries
11
High Yield SpreadsHigh Yield Spreads
Source: Ned Davis Research. Past performance not indicative of future results. Please see attached disclosures.
12Source: Barclays Capital, J.P. Morgan
Bank loans OAS
14
12
10
8
6
4
2
0
2,000
1 ,800
1 ,600
1 ,400
1 ,200
1 ,000
800
600
400
200
098 99 00 01 02 03 04 05 06 07 08 09 10 11
High yield bonds
Pa
r-w
eig
hte
d d
efa
ult
ra
te
s (
%)
Op
tio
n a
dju
ste
d s
pre
ad
(O
AS
) (b
ps
)
Historical High Yield Spreads and Default RatesHistorical High Yield Spreads and Default Rates
13
Credit Defaults Appear Likely to Remain Low Credit Defaults Appear Likely to Remain Low
The U.S. high-yield bond default rate has, historically, tracked
the federal funds rate closely, with a lag of approximately two
years.
Given the Federal Reserve’s efforts to maintain a low interest
rate environment for an extended period of time, high-yield
default rates should remain depressed, which is supportive of
credit spreads.
Source: Credit Suisse, Bloomberg, Guggenheim Investments. Data as of 1/31/2013
14
How Does Clark Capital Manage Fixed Income?
How Does Clark Capital Manage Fixed Income?
15
Overview: Navigator® Fixed Income Total ReturnOverview: Navigator® Fixed Income Total Return
Goals:
Total return, current income, beta management,
risk/reward analysis
We believe…
Flexibility is the key to alpha and that a disciplined
quantitative research process may lead to consistent long-
term performance
Proper risk management takes into consideration both the
strengths and weaknesses of diversification
Our prudent, flexible and highly adaptable approach
enables us to constantly balance risk while pursuing alpha
16
Portfolio Characteristics & Allocation History as of 6/30/2013 Portfolio Characteristics & Allocation History as of 6/30/2013
Portfolio Characteristics*
Total Holdings Exposure 3028
Estimated 12 Month Yield 3.05%
Average Maturity 3.19
Average Duration 2.03
Average Credit Quality B
* Source: Morningstar Direct
This is not a recommendation to buy or sell a particular security. There is no assurance that any securities discussed herein will remain in an account's portfolio at the time you receive this report.
Holdings Ticker % # of
PositionsCurrent Yield*
Blackrock High Yield Bond BRHYX 10.0% 874 5.90%
Pioneer High Yield Y TYHYX 10.0% 396 4.74%
JP Morgan High Yield Bond Select OHYFX 10.0% 996 6.06%
Neuberger Berman High Income Inst'l NHILX 10.0% 308 7.19%
Eaton Vance Income Fund of Boston EIBIX 10.0% 454 6.60%
Cash Cash 50.0%
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
01.01.2005 01.01.2006 01.01.2007 01.01.2008 01.01.2009 01.01.2010 01.01.2011 01.01.2012 01.01.2013
Low Quality Debt High Quality Debt Short Term Treasuries
17
Fixed Income Total ReturnFixed Income Total Return
Portfolio Objective: The Fixed Income Total Return
strategy is designed to deliver excess alpha over a full
market cycle measured against Barclays Capital U.S. High
Yield Bond Index and Barclays Capital U.S. Aggregate Bond
Index. The strategy seeks total return with a secondary goal
of current income.
Fixed IncomeTotal ReturnFixed IncomeTotal Return
Short-Term Treasuries
High QualityDebt
Low Quality Debt
18
Fixed Income Total ReturnFixed Income Total Return
Fixed IncomeTotal ReturnFixed IncomeTotal Return
Short-Term Treasuries
High QualityDebt
Low Quality Debt
Portfolio Objective: The Fixed Income Total Return
strategy is designed to deliver excess alpha over a full
market cycle measured against Barclays Capital U.S. High
Yield Bond Index and Barclays Capital U.S. Aggregate Bond
Index. The strategy seeks total return with a secondary goal
of current income.
Low Quality Debt
HYG iShares iBoxx $ High Yield Bond
JNK Barclays High Yield Bond SPDR
PHB PowerShares High Yield Corporate Bond
SJNK Barclays Capital Short-Term High Yield SPDR
PFF iShares S&P U.S. Preferred Stock
HYS PIMCO 0-5 Year High Yield Corporate Bond
HYLD Peritus High Yield
BKLN PowerShares Senior Loan Portfolio
HYD Market Vectors High Yield Muni Bond
EMHY iShares Emerging Markets High Yield Bond
GHYG iShares Global High Yield Corporate Bond
IHY Market Vectors International High Yield Bond
EMB iShares JPMorgan USD Emerging Markets Bond
EMLC Market Vectors Emerging Markets Local Currency
U.S. Short-Term Treasury
BILBarclays Capital 1-3 Month T-Bill
SPDR
SHV iShares Barclays Short Treasury
Cash Equivalents
High Quality Debt
SHY iShares Barclays 1 -3 Year Treasury
IEI iShares Barclays 3 - 7 Year Treasury
IEF iShares Barclays 7 - 10 Year Treasury
TLT iShares Barclays 20+ Year Treasury
TIP iShares Barclays TIPS Bond
MUB iShares S&P National Municipal Bond
LQDiShares iBoxx $ Investop Investment
Grade Bond
AGG iShares Barclays Aggregate Bond
IGOV iShares S&P/Citi International Treasury
19Source: Morningstar Direct. Pure gross returns do not include the deduction of transaction costs, and are shown as Supplemental Information.
20Source: Morningstar Direct. Pure gross returns do not include the deduction of transaction costs, and are shown as Supplemental Information.
21Source: Morningstar Direct. Pure gross returns do not include the deduction of transaction costs, and are shown as Supplemental Information.
22Source: Morningstar Direct. Pure gross returns do not include the deduction of transaction costs, and are shown as Supplemental Information.
23Source: Morningstar Direct. Pure gross returns do not include the deduction of transaction costs, and are shown as Supplemental Information.
24Source: Morningstar Direct. Pure gross returns do not include the deduction of transaction costs, and are shown as Supplemental Information.
The ranking shown above is not indicative of the adviser’s future performance and may not be representative of any one client’s experience because the ranking reflects an average of all, or a sample of all, the experiences of the adviser’s clients.
Peer group as of 4/15/2013.
25
Is the High Yield Run Over?Is the High Yield Run Over?
We believe high yields remain competitive relative to other
fixed income sectors from a technical, valuation and sentiment
standpoint.
High yields may help minimize interest rate risk while
providing above average yields
Fed’s intention to maintain low interest rates until
unemployment dips below 6.5% combined with investors’
continued hunger for yield makes the lower quality debt
space attractive from an income standpoint
Hunt for yield has been an overarching theme of the last few
years; investors are looking for opportunities
26
27
Compliant PresentationCompliant Presentation
Past performance is not indicative of future results. This material is not financial advice or an offer to sell any product. Not every client's account will have
these exact characteristics. The actual characteristics with respect to any particular client account will vary based on a number of factors including but not
limited to: (i) the size of the account; (ii) investment restrictions applicable to the account, if any; and (iii) market exigencies at the time of investment.
Clark Capital Management Group, Inc. reserves the right to modify its current investment strategies and techniques based on changing market dynamics
or client needs. The information provided in this report should not be considered a recommendation to purchase or sell any particular security. There is
no assurance that any securities discussed herein will remain in an account's portfolio at the time you receive this report or that securities sold have not
been repurchased. The securities discussed may not represent an account's entire portfolio and in the aggregate may represent only a small percentage
of an account's portfolio holdings. It should not be assumed that any of the securities transactions, holdings or sectors discussed were or will prove to be
profitable, or that the investment recommendations or decisions we make in the future will be profitable or will equal the investment performance of
the securities discussed herein.
Firm Information: Clark Capital Management Group, Inc. (Clark Capital) is an investment advisor registered with the United States Securities and
Exchange Commission under the Investment Advisers Act of 1940, as amended. Registration does not imply a certain level of skill or training. Clark
Capital is a closely held, mostly employee owned C Corporation with all significant owners currently employed by the firm in key management capacities.
The firm specializes in managing equity and fixed income portfolios for individuals and institutions. More information about Clark Capital’s advisory
services and fees can be found in its Form ADV which is available upon request.
Calculation Methodology: Composite returns assume reinvestment of income and other earnings, are gross of withholding taxes, if any, and are reported
in US dollars. Returns prior to 1/1/07 were calculated using the Modified Dietz method. Beginning 1/1/07 returns are calculated daily. Internal dispersion
is calculated using the equal-weighted standard deviation of annual account returns for those accounts included in the composite for the entire year.
Trade date accounting is used. Leverage is not used in the composite. The composites are comprised of all fully discretionary accounts managed in the
strategy for one full month, including those accounts no longer with the firm. Closed accounts are included through the completion of the last full month
of eligibility. A copy of the complete list and description of Clark Capital’s composites, verification and performance examination reports, and policies for
valuing portfolios, calculating performance, and preparing compliant presentations are available upon request.
28
Compliant PresentationNavigator® Fixed Income Total Return Composite Compliant PresentationNavigator® Fixed Income Total Return Composite
29
Compliant PresentationNavigator® Fixed Income Total Return Composite Compliant PresentationNavigator® Fixed Income Total Return Composite
Past performance does not guarantee future results. Client account values will fluctuate and may be worth more or less than the amount invested. Clients should
not rely solely on this performance or any other performance illustrations when making investment decisions.
Clark Capital claims compliance with the Global Investment Performance Standards (GIPS®) and has prepared and presented this report in compliance with the
GIPS standards. Clark Capital has been independently verified for the periods January 1, 2002 through December 31, 2011. Verification assesses whether (1) the
firm has complied with all the composite construction requirements of the GIPS standards on a firm-wide basis and (2) the firm’s policies and procedures are
designed to calculate and present performance in compliance with the GIPS standards. The Navigator Fixed Income Total Return composite has been examined for
the periods from 1/1/2005 through 12/31/2011. The verification and performance examination reports are available upon request.
Composite Description: The Navigator Fixed Income Total Return composite is designed to maximize total return by rotational management of a fixed income
portfolio invested in Low Quality Bonds (high-yield), High Quality Corporate and Government Bonds, and Short-term Treasuries. The strategy seeks to take
advantage of the performance differential between segments of the bond market under different market conditions. Through investment in segments of the fixed
income market believed to be the strongest performer in the near term, the portfolio may have the opportunity to outperform the broad bond market without
exposure to the risk of the equity market. Active management supported by in-depth, internally generated research seeks to pursue superior performance results
with greater consistency and lower volatility of returns. The portfolio invests in exchange-traded funds and mutual funds targeting high yield corporate,
investment grade corporate, government, government agency and treasury fixed income sectors. The strategy has an unconstrained allocation policy. The goal of
the strategy is capital preservation while outperforming an unmanaged buy and hold investment.
In a Clark Capital sponsored wrap fee program, the net-of-fee returns reflect the maximum Investment Advisory Fee (including trading and custody expenses) of
.85% and the maximum Consultant Fee of 1.25%, debited monthly for an annual total of 2.1%. If a lower Consultant Fee were reflected in the performance data,
returns would be higher. In a non-Clark Capital wrap fee program, the net-of-fee returns reflect the highest maximum annual fee of 3%, (includes trading and
custody expenses) debited monthly. Actual fees may differ from the fees used in this presentation depending upon account size, investments and agreement with
client.
Benchmark Description: The benchmark is the Barclays U.S. Corporate High-Yield Index. The Barclays U.S. Aggregate Bond Index is a supplemental benchmark. The
Barclays U.S. Corporate High-Yield Index covers the USD-denominated, non-investment grade, fixed-rate, taxable corporate bond market. Securities are classified
as high-yield if the middle rating of Moody’s, Fitch, and S&P is Ba1/BB+/BB+ or below. The Barclays U.S. Aggregate Bond Index covers the U.S. investment-grade
fixed-rate bond market, including government and credit securities, agency mortgage pass-through securities, asset-backed securities and commercial mortgage-
based securities. To qualify for inclusion, a bond or security must have at least one year to final maturity, and be rated investment grade Baa3 or better, dollar
denominated, non-convertible, fixed rate and publicly issued. The benchmarks for this composite are used because the Barclays U.S. Corporate High-Yield Index is
generally representative of U.S. high yield fixed income and the Barclays U.S. Aggregate Bond Index is generally representative of broad based U.S. fixed income.
Index returns reflect the reinvestment of income and other earnings and are provided to represent the investment environment during the time period shown.
The volatility (beta) of the Composite may be greater or less than its respective benchmarks. It is not possible to invest in these indices.
30
Statistic DescriptionsStatistic Descriptions
Standard Deviation: A statistical measure of dispersion about an average which depicts how
widely the returns varied over a certain period of time.
3 Year Standard Deviation: The 3 year annualized standard deviation measures the
variability of the composite and the benchmark returns over the preceding 36-month
period.
Beta: A measure of systematic risk with respect to a benchmark. Systematic risk is the
tendency of the value of the composite and the value of a benchmark to move together.
Beta measures the sensitivity of the composite’s excess return (total return minus the risk-
free return) with respect to the benchmark’s excess return that results from their systematic
co-movement. It is the ratio of what the excess return of the composite would be to the
excess return of the benchmark if there were no composite-specific sources of return. If
beta is greater than one, movements in value of the composite that are associated with
movements in the value of the benchmark tend to be amplified. If beta is one, they tend to
be the same, and if beta is less than one, they tend to be dampened. If such movements
tend to be in opposite directions, beta is negative. Beta is measured as the slope of the
regression of the excess return on the composite as the dependent variable and the excess
return on the benchmark as the independent variable.
The beta of the market is 1.00 by definition. Morningstar calculates beta by comparing a
portfolio's excess return over T-bills to the benchmark's excess return over T-bills, so a beta
of 1.10 shows that the portfolio has performed 10% better than its benchmark in up
markets and 10% worse in down markets, assuming all other factors remain constant.
Conversely, a beta of 0.85 indicates that the portfolio's excess return is expected to perform
15% worse than the benchmark’s excess return during up markets and 15% better during
down markets.
Alpha: A measure of the difference between a portfolio’s actual returns and its expected
performance, given its level of risk as measured by beta. A positive alpha figure indicates
the portfolio has performed better than its beta would predict. In contrast, a negative alpha
indicates the portfolio has underperformed, given the expectations established by beta.
Alpha is calculated by taking the excess average monthly return of the investment over the
risk free rate and subtracting beta times the excess average monthly return of the
benchmark over the risk free rate.
Sharpe Ratio: A risk-adjusted measure developed by Nobel Laureate William Sharpe. It is
calculated by using standard deviation and excess return to determine reward per unit of
risk. The higher the Sharpe Ratio, the better the composite's historical risk-adjusted
performance. The Sharpe ratio is calculated for the past 36-month period by dividing a
composite's annualized excess returns by the standard deviation of a composite's
annualized excess returns. Since this ratio uses standard deviation as its risk measure, it is
most appropriately applied when analyzing a composite that is an investor's sole holding.
The Sharpe Ratio can be used to compare two composites directly on how much risk a
composite had to bear to earn excess return over the risk-free rate.
R-Squared: Reflects the percentage of a portfolio's movements that can be explained by
movements in its benchmark.
Downside Capture Ratio: Measures a manager's performance in down markets. A down-
market is defined as those periods (months or quarters) in which market return is less than
0. In essence, it tells you what percentage of the down-market was captured by the
manager. For example, if the ratio is 110%, the manager has captured 110% of the down-
market and therefore underperformed the market on the downside.
Upside Capture Ratio: Measures a manager's performance in up markets relative to the
market (benchmark) itself. It is calculated by taking the security’s upside capture return and
dividing it by the benchmark’s upside capture return.
Bull Beta: A measure of the sensitivity of a composite’s return to positive changes in its
benchmark’s return.
Bear Beta: A measure of the sensitivity of a composite’s return to negative changes in its
benchmark’s return.
Best Month: This is the highest monthly return of the investment since its inception or for as
long as data is available.
Worst Month: This is the lowest monthly return of the investment since its inception or for
as long as data is available.
Maximum Gain: The peak to trough incline during a specific record period of an investment
or composite. It is usually quoted as the percentage between the peak to the trough.
Maximum Drawdown: The peak to trough decline during a specific record period of an
investment or composite. It is usually quoted as the percentage between the peak to the
trough.
CCM-13-06-630