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NM EMPLOYEE SAVINGS PLAN
NM EMPLOYEE SAVINGS PLAN Strategic Asset Allocation - Optimal Moderate
NM EMPLOYEE SAVINGS PLAN Strategic Asset Allocation - Optimal 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 |
|---|---|---|---|---|
| Commodities | CRSOX (CREDIT SUISSE COMMODITY RETURN STRATEGY FUND CLASS I) | 0.20% | Credit Suisse Commodity Return Strategy Fund Institutional Class | 4.38% |
| General Bond | VBTIX (Vanguard Total Bond Market Index Fund Institutional Shares) | 0.27% | Vanguard Total Bond Market Index Fund Institutional Shares | 39.40% |
| US Equity | WISVX (WESTCORE SMALL-CAP VALUE DIVIDEND FUND WESTCORE SMALL-CAP VALUE DIVIDEND FUND-INSTITUTIONAL CLASS) | 1.02% | Westcore Small-Cap Value Fund Institutional Class | 11.61% |
| US Equity | VITSX (VANGUARD TOTAL STOCK MARKET INDEX FUND INSTITUTIONAL SHARES) | 0.82% | Vanguard Total Stock Market Index Fund Institutional Shares | 11.19% |
| Real Estate | TRREX (T. ROWE PRICE REAL ESTATE FUND INC. T. ROWE PRICE REAL ESTATE FUND INC.) | 0.31% | T. Rowe Price Real Estate Fund | 6.73% |
| Emerging Market Equity | LGMSX (QS BATTERYMARCH EMERGING MARKETS FUND CLASS IS) | Legg Mason Batterymarch Emerging Markets Trust Class IS | 10.61% | |
| International Equity | MINGX (MFS INTERNATIONAL VALUE FUND R3) | 0.59% | MFS International Value Fund; Class R3 Shares | 8.02% |
| International Equity | VGTSX (VANGUARD TOTAL INTERNATIONAL STOCK INDEX FUND INVESTOR SHARES) | 0.33% | Vanguard Total International Stock Index Fund Investor Shares | 8.06% |
* 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** |
|---|---|---|---|---|---|---|
| NM EMPLOYEE SAVINGS PLAN Strategic Asset Allocation - Optimal Moderate | 6.9% | 8.3% | 3.6% | 6.8% | 4.8% | 6.4% |
| VFINX (Vanguard (S&P 500) Index) | 9.3% | 19.7% | 18.8% | 16.4% | 13.8% | 14.4% |
| VBINX (Vanguard Balance (60% stocks/40% bonds) | 6.6% | 13.0% | 11.5% | 8.7% | 8.6% | 9.3% |
* 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(%) | 0.0 | 8.3 | 3.6 | 6.8 | 4.8 | 6.4 | 6.8 | 0.0 | 6.1 | 6.2 | -1.4 | 4.1 | 8.8 | 11.3 | -0.5 | 14.9 | 23.1 | -24.9 | 9.4 | 13.1 | 9.5 | 14.2 | 21.9 | -4.4 | 2.8 |
| Sharpe Ratio | NA | 0.75 | 0.42 | 0.82 | 0.31 | NA | NA | NA | 0.47 | 0.8 | -0.19 | 0.76 | 1.37 | 1.52 | -0.04 | 1.3 | 1.17 | -1.16 | 0.67 | 1.33 | 1.21 | 1.82 | 2.53 | -0.5 | 0.05 |
| Draw Down(%) | NA | 6.7 | 11.5 | 11.5 | 40.1 | NA | NA | NA | 40.1 | 6.4 | 8.8 | 4.5 | 6.7 | 6.3 | 12.9 | 8.3 | 19.4 | 36.1 | 5.3 | 7.8 | 3.8 | 7.5 | 7.1 | 15.7 | 11.5 |
| Standard Deviation(%) | NA | 7.5 | 6.9 | 6.9 | 12.3 | NA | NA | NA | 11.0 | 7.6 | 7.5 | 5.4 | 6.4 | 7.4 | 13.4 | 11.3 | 19.6 | 22.3 | 9.5 | 7.4 | 6.1 | 7.3 | 8.4 | 10.9 | 9.3 |
| Treynor Ratio | NA | 3.84 | 0.89 | 0.28 | 0.08 | NA | NA | NA | 0.11 | 4.56 | -0.27 | 1.97 | 0.17 | 0.21 | -0.01 | 0.25 | 0.33 | -0.5 | 0.12 | 0.15 | 0.15 | 0.25 | 0.49 | -0.14 | 0.01 |
| Alpha | NA | 0.02 | 0.01 | 0.01 | 0.01 | NA | NA | NA | 0.01 | 0.02 | 0.0 | 0.02 | -0.02 | 0.01 | 0.0 | 0.02 | 0.02 | -0.02 | 0.02 | 0.01 | 0.03 | 0.03 | 0.04 | 0.02 | 0.02 |
| Beta | NA | 0.01 | 0.03 | 0.2 | 0.5 | NA | NA | NA | 0.48 | 0.01 | 0.05 | 0.02 | 0.52 | 0.54 | 0.55 | 0.6 | 0.69 | 0.51 | 0.55 | 0.63 | 0.49 | 0.52 | 0.43 | 0.38 | 0.37 |
| RSquared | NA | 0.0 | 0.0 | 0.14 | 0.72 | NA | NA | NA | 0.72 | 0.0 | 0.01 | 0.0 | 0.79 | 0.86 | 0.9 | 0.91 | 0.93 | 0.9 | 0.87 | 0.74 | 0.68 | 0.64 | 0.77 | 0.84 | 0.73 |
| Sortino Ratio | NA | 1.05 | 0.58 | 1.16 | 0.43 | NA | NA | NA | 0.66 | 1.12 | -0.25 | 1.08 | 1.92 | 2.32 | -0.05 | 1.89 | 1.71 | -1.5 | 0.92 | 2.01 | 1.78 | 2.6 | 3.87 | -0.71 | 0.08 |
| Yield(%) | N/A | 3.7 | 3.2 | 3.6 | 3.7 | 5.6 | 5.6 | 4.5 | 3.39 | 3.6 | 3.3 | 2.4 | 3.4 | 2.6 | 2.0 | 2.6 | 3.3 | 2.7 | 5.2 | 4.7 | 3.5 | 3.6 | 3.5 | 3.4 | 4.4 |
| Dividend Growth(%) | N/A | 10.7 | 37.5 | 32.8 | N/A | N/A | N/A | N/A | N/A | 7.9 | 40.9 | -22.9 | 43.4 | 32.6 | -13.8 | -2.0 | -6.2 | -44.0 | 24.1 | 50.3 | 10.7 | 22.7 | 0.6 | -20.4 | N/A |
*: NOT annualized;YTD: Year to Date
**Inception: starting from 12/31/2000
Portfolio Description
This model portfolio uses Strategic Asset Allocation - Optimal
strategy. Asset weights of available asset classes Emerging Market Equity, Real Estate, International Equity, Commodities, US Equity, General Bond
in NM EMPLOYEE SAVINGS PLAN are derived based on long term asset trends and their correlations.
For each major asset class, one or two funds are selected:
1. Risk allocation: the risk profile of this portfolio is 40.
The total allocation of the fixed income asset should be at least 40%.
2. Asset weights:
3. Fund selection: one or two top performing funds among 34 available funds in the plan are chosen for each asset.
They are usually equally weighted within the asset by default. Volatile funds or ETFs with small trading volume are ignored.
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.
- Emerging Market Equity
- Real Estate
- International Equity
- Commodities
- US Equity
- General Bond
- 10.0%
- 7.0%
- 16.0%
- 5.0%
- 22.0%
- 40.0%
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