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Northbrook Life Insurance Co MORGAN STANLEY VAR ANNUITY II B SHARES
Northbrook Life Insurance Co MORGAN STANLEY VAR ANNUITY II B SHARES Strategic Asset Allocation - Equal Weight Moderate
Northbrook Life Insurance Co MORGAN STANLEY VAR ANNUITY II B SHARES Strategic Asset Allocation - Equal Weight Moderate
live (public) 0.23% December 30
Delayed
Holdings (As of 10/31/2016)
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| Asset | Fund in this portfolio | Price change* | Original Fund Description | Percentage |
|---|---|---|---|---|
| CASH | CASH (CASH) | 0.0% | Morgan Stanley Money Market X | 14.23% |
| General Bond | MPFIX (CORE PLUS FIXED INCOME PORTFOLIO CLASS I SHARES) | 0.18% | Morgan Stanley Income Plus X | 40.41% |
| US Equity | MGEIX (Morgan Stanley Inst Opportunity I) | Morgan Stanley Aggressive Equity X | 7.53% | |
| US Equity | VFINX (VANGUARD 500 INDEX FUND INVESTOR SHARES) | 0.80% | Morgan Stanley SP 500 Index X | 5.89% |
| Emerging Market Equity | UEMEX (EMERGING MARKETS EQUITY PORTFOLIO CLASS I) | 0.14% | UIF Emerging Market Equity I | 15.17% |
| Real Estate | UUSRX (US REAL ESTATE PORTFOLIO CLASS I) | 0.50% | UIF US Real Estate I | 16.77% |
* Day change on 09/30/2016.
Previous
Beta
Performance (As of 12/30/2016)
Since 12/31/2000
| Name | YTD* Return |
1Yr AR** |
3Yr AR** |
5Yr AR** |
10Yr AR** |
15Yr AR** |
|---|---|---|---|---|---|---|
| Northbrook Life Insurance Co MORGAN STANLEY VAR ANNUITY II B SHARES Strategic Asset Allocation - Equal Weight Moderate | 7.2% | 9.1% | 5.7% | 8.2% | 6.2% | 6.6% |
| VFINX (Vanguard (S&P 500) Index) | 7.1% | 13.7% | 19.4% | 16.6% | 13.6% | 14.5% |
| VBINX (Vanguard Balance (60% stocks/40% bonds) | 5.4% | 10.3% | 11.9% | 8.9% | 8.5% | 9.4% |
* YTD: Year to Date
** AR: Annualized Return
** portfolio AR is delayed
| Last 1 Week* | 1 Yr | 3 Yr | 5 Yr | 10 Yr | 15 Yr | 15 Yr | 20 Yr | Since 01/02/2001 |
2016 | 2015 | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 | 2004 | 2003 | 2002 | 2001 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Annualized Return(%) | -0.1 | 9.1 | 5.7 | 8.2 | 6.2 | 6.6 | 7.1 | 0.0 | 5.9 | 4.3 | -0.5 | 7.6 | 8.2 | 13.7 | 3.5 | 13.4 | 22.9 | -24.0 | 10.6 | 14.4 | 12.1 | 12.7 | 18.7 | -8.9 | -3.7 |
| Sharpe Ratio | NA | 0.75 | 0.62 | 1.07 | 0.42 | NA | NA | NA | 0.49 | 0.79 | -0.07 | 1.27 | 1.27 | 2.36 | 0.31 | 1.33 | 1.33 | -1.12 | 0.7 | 1.62 | 1.59 | 1.92 | 2.73 | -1.14 | -0.72 |
| Draw Down(%) | NA | 4.5 | 7.6 | 7.6 | 36.8 | NA | NA | NA | 36.8 | 4.3 | 7.1 | 4.6 | 7.4 | 4.5 | 10.1 | 6.2 | 15.5 | 33.4 | 7.4 | 6.7 | 4.5 | 7.0 | 6.0 | 16.4 | 13.6 |
| Standard Deviation(%) | NA | 5.1 | 6.0 | 6.1 | 11.5 | NA | NA | NA | 10.1 | 5.1 | 6.9 | 6.0 | 6.4 | 5.8 | 11.3 | 10.0 | 17.1 | 22.3 | 10.7 | 6.9 | 6.2 | 6.1 | 6.6 | 8.8 | 8.3 |
| Treynor Ratio | NA | 2.96 | 1.22 | 0.37 | 0.1 | NA | NA | NA | 0.11 | 3.32 | -0.08 | 47.4 | 0.16 | 0.33 | 0.08 | 0.26 | 0.38 | -0.47 | 0.13 | 0.18 | 0.19 | 0.25 | 0.51 | -0.34 | -0.17 |
| Alpha | NA | 0.01 | 0.01 | 0.02 | 0.01 | NA | NA | NA | 0.01 | 0.02 | 0.0 | 0.03 | -0.02 | 0.03 | 0.01 | 0.02 | 0.03 | -0.02 | 0.03 | 0.02 | 0.03 | 0.03 | 0.03 | -0.01 | -0.01 |
| Beta | NA | 0.01 | 0.03 | 0.18 | 0.47 | NA | NA | NA | 0.44 | 0.01 | 0.06 | 0.0 | 0.51 | 0.42 | 0.46 | 0.52 | 0.6 | 0.53 | 0.59 | 0.61 | 0.53 | 0.46 | 0.36 | 0.29 | 0.35 |
| RSquared | NA | 0.0 | 0.0 | 0.14 | 0.73 | NA | NA | NA | 0.72 | 0.0 | 0.02 | 0.0 | 0.77 | 0.84 | 0.91 | 0.89 | 0.92 | 0.94 | 0.78 | 0.78 | 0.75 | 0.71 | 0.85 | 0.76 | 0.79 |
| Sortino Ratio | NA | 1.06 | 0.85 | 1.51 | 0.58 | NA | NA | NA | 0.69 | 1.11 | -0.09 | 1.82 | 1.78 | 3.68 | 0.41 | 1.93 | 1.95 | -1.49 | 0.97 | 2.48 | 2.33 | 2.78 | 4.25 | -1.54 | -0.94 |
| Yield(%) | N/A | 1.4 | 2.6 | 3.6 | 5.2 | 6.7 | 6.7 | 5.1 | 4.02 | 1.4 | 2.3 | 3.8 | 3.9 | 4.0 | 2.7 | 4.4 | 2.0 | 12.1 | 6.9 | 6.8 | 3.5 | 2.6 | 2.0 | 2.0 | 3.8 |
| Dividend Growth(%) | N/A | -39.7 | -12.9 | -26.2 | N/A | N/A | N/A | N/A | N/A | -39.8 | -33.9 | 5.4 | 11.4 | 51.2 | -30.3 | 164.8 | -87.0 | 93.4 | 14.7 | 123.2 | 51.1 | 51.2 | -8.6 | -49.4 | N/A |
*: NOT annualized;YTD: Year to Date
**Inception: starting from 12/31/2000
Portfolio Description
This model portfolio uses Strategic Asset Allocation - Equal Weight
. The allocations are diversified by investing in the 5 major asset classes: Foreign Equity, US Equity, Fixed Income, Emerging Market Equity, REITs
that are covered in Northbrook Life Insurance Co MORGAN STANLEY VAR ANNUITY II B SHARES. It then selects one or two funds for each of the 5 major asset classes.
1.Risk allocation: the risk profile of this portfolio 40.
The total allocation of the fixed income assets should be at least 40%.
2.Asset weights: risk assets selected are equally weighted by
default.
3.Fund selection: about one or two top performing funds among 18 available funds in the plan are chosen for each asset selected. They are usually equally weighted within
the asset by default.
4.Rebalance frequency: the portfolio is reviewed by the strategy program monthly
and the above steps are repeated. Asset weights are rebalanced back to target allocation if it is necessary.
5.
Simulation: Performance data before this portfolio went public are obtained from historical simulation. They are hypothetical.
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