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Protective Variable Annuity Separate Account B Series
Protective Variable Annuity Separate Account B Series Strategic Asset Allocation - Optimal Moderate
Protective Variable Annuity Separate Account B Series Strategic Asset Allocation - Optimal Moderate
live (public) 0.19% February 17
Delayed
Holdings (As of 12/30/2022)
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| Asset | Fund in this portfolio | Price change* | Original Fund Description | Percentage |
|---|---|---|---|---|
| General Bond | PTSHX (SHORT-TERM FUND INSTITUTIONAL) | 0.10% | PIMCO Short-Term | 15.30% |
| US Equity | ACSDX (INVESCO COMSTOCK FUND CLASS Y) | 1.89% | Invesco Van kampen Comstock | 12.75% |
| US Equity | LAVYX (LORD ABBETT FUNDAMENTAL EQUITY FUND CLASS I) | 1.95% | Lord Abbett Fundamental Equity | 12.60% |
| CASH | CASH (CASH) | 0.0% | Oppenheimer Money Fund | 0.17% |
| Real Estate | IGREX (INVESCO GLOBAL REAL ESTATE FUND CLASS R5) | 2.00% | Invesco Global Real Estate | 7.19% |
| Emerging Market Equity | MEMIX (MFS EMERGING MARKETS EQUITY FUND I) | 3.15% | MFS Emerging Markets Equity | 10.30% |
| Emerging Market Equity | TDADX (TEMPLETON DEVELOPING MARKETS TRUST ADVISOR CLASS) | 3.76% | Templelton Developing Markets | 2.14% |
| International Equity | GSTKX (GOLDMAN SACHS STRATEGIC INTERNATIONAL EQUITY FUND CLASS IR) | 1.53% | Goldman Sachs Strategic Intl Equity | 8.93% |
| International Equity | TGADX (TEMPLETON GROWTH FUND INC. ADVISOR CLASS) | 2.32% | Templeton Growth | 8.87% |
| Inflation Protected Bond | PRRIX (REAL RETURN FUND INSTITUTIONAL) | 1.39% | PIMCO Real Return | 14.74% |
| Long Term Bond | PLTPX (PIMCO LONG-TERM U.S. GOVERNMENT FUND CLASS P) | 1.06% | PIMCO Long Term US Government | 4.67% |
| International Bond | TGBAX (TEMPLETON GLOBAL BOND FUND ADVISOR CLASS) | 1.19% | Templeton Global Bond | 2.34% |
* Day change on 11/30/2022.
Previous
Beta
Performance (As of 02/17/2023)
Since 12/31/2000
| Name | YTD* Return |
1Yr AR** |
3Yr AR** |
5Yr AR** |
10Yr AR** |
15Yr AR** |
|---|---|---|---|---|---|---|
| Protective Variable Annuity Separate Account B Series Strategic Asset Allocation - Optimal Moderate | 1.5% | -8.4% | 3.9% | 3.0% | 4.6% | 4.6% |
| VFINX (Vanguard (S&P 500) Index) | 7.1% | 13.4% | 19.2% | 16.2% | 13.6% | 14.5% |
| VBINX (Vanguard Balance (60% stocks/40% bonds) | 5.1% | 9.5% | 11.8% | 8.6% | 8.4% | 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 | 20 Yr | Since 01/02/2001 |
2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 | 2004 | 2003 | 2002 | 2001 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Annualized Return(%) | 1.5 | -8.4 | 3.9 | 3.0 | 4.6 | 4.6 | 4.1 | 6.8 | 6.4 | 6.2 | 5.0 | -13.2 | 5.5 | 17.3 | 19.4 | -7.9 | 9.3 | 5.8 | -2.2 | 2.4 | 10.6 | 11.5 | -2.3 | 15.6 | 30.1 | -27.7 | 11.9 | 13.1 | 9.0 | 13.0 | 23.2 | -0.4 | 5.5 |
| Sharpe Ratio | NA | -0.59 | 0.17 | 0.28 | 0.4 | NA | NA | NA | NA | 0.49 | 0.58 | -1.16 | 0.59 | 0.96 | 2.82 | -1.04 | 1.67 | 0.69 | -0.25 | 0.38 | 1.48 | 1.57 | -0.17 | 1.34 | 1.72 | -1.27 | 0.86 | 1.23 | 1.27 | 1.9 | 3.51 | -0.17 | 0.41 |
| Draw Down(%) | NA | 17.5 | 21.6 | 21.6 | 21.6 | NA | NA | NA | NA | 40.4 | 1.6 | 20.4 | 6.4 | 21.6 | 3.1 | 13.9 | 4.7 | 6.8 | 9.6 | 6.3 | 7.8 | 5.9 | 15.4 | 8.9 | 17.3 | 38.1 | 8.3 | 9.8 | 3.9 | 6.9 | 6.1 | 13.8 | 11.1 |
| Standard Deviation(%) | NA | 12.5 | 13.7 | 11.5 | 9.7 | NA | NA | NA | NA | 10.8 | 7.9 | 12.6 | 9.2 | 17.7 | 6.4 | 8.8 | 5.2 | 8.2 | 8.9 | 6.4 | 7.1 | 7.3 | 14.1 | 11.6 | 17.4 | 22.6 | 10.3 | 8.0 | 5.4 | 6.4 | 6.4 | 8.6 | 7.6 |
| Treynor Ratio | NA | -0.15 | 0.05 | 0.07 | 0.08 | NA | NA | NA | NA | 0.11 | 0.12 | -0.31 | 0.09 | 0.36 | 0.41 | -0.2 | 0.17 | 0.1 | -0.04 | 0.05 | 0.18 | 0.22 | -0.04 | 0.26 | 0.49 | -0.55 | 0.15 | 0.15 | 0.19 | 0.3 | 0.72 | -0.05 | 0.11 |
| Alpha | NA | -0.02 | 0.0 | 0.0 | 0.0 | NA | NA | NA | NA | 0.01 | 0.07 | -0.02 | -0.03 | 0.03 | 0.02 | -0.02 | 0.0 | 0.0 | -0.01 | -0.01 | -0.02 | 0.02 | -0.01 | 0.03 | 0.05 | -0.04 | 0.03 | 0.01 | 0.02 | 0.03 | 0.05 | 0.02 | 0.03 |
| Beta | NA | 0.48 | 0.48 | 0.48 | 0.49 | NA | NA | NA | NA | 0.48 | 0.39 | 0.47 | 0.59 | 0.48 | 0.43 | 0.46 | 0.51 | 0.57 | 0.51 | 0.5 | 0.57 | 0.52 | 0.58 | 0.6 | 0.61 | 0.52 | 0.58 | 0.64 | 0.36 | 0.4 | 0.31 | 0.28 | 0.28 |
| RSquared | NA | 0.82 | 0.83 | 0.81 | 0.8 | NA | NA | NA | NA | 0.79 | 0.65 | 0.83 | 0.7 | 0.88 | 0.72 | 0.79 | 0.43 | 0.82 | 0.78 | 0.78 | 0.8 | 0.84 | 0.9 | 0.87 | 0.91 | 0.89 | 0.82 | 0.64 | 0.48 | 0.48 | 0.69 | 0.72 | 0.6 |
| Sortino Ratio | NA | -0.81 | 0.22 | 0.37 | 0.54 | NA | NA | NA | NA | 0.67 | 1.12 | -1.57 | 0.82 | 1.25 | 4.25 | -1.29 | 2.29 | 0.95 | -0.34 | 0.53 | 2.05 | 2.4 | -0.22 | 1.93 | 2.56 | -1.65 | 1.18 | 1.77 | 1.91 | 2.7 | 5.44 | -0.24 | 0.56 |
| Yield(%) | N/A | 5.6 | 8.0 | 6.9 | 6.3 | 6.6 | 6.6 | 11.6 | 11.6 | 4.78 | 0.1 | 5.5 | 7.8 | 9.0 | 3.9 | 3.9 | 0.4 | 3.0 | 5.0 | 6.5 | 4.0 | 3.7 | 3.4 | 4.0 | 3.0 | 4.7 | 9.7 | 6.0 | 6.0 | 4.7 | 4.0 | 2.6 | 4.3 |
| Dividend Growth(%) | N/A | -26.4 | 246.3 | 119.8 | 86.3 | N/A | N/A | N/A | N/A | N/A | -98.8 | -25.2 | 0.2 | 176.2 | -8.5 | 1021.4 | -86.1 | -43.4 | -19.8 | 78.6 | 19.9 | 5.5 | -2.4 | 72.1 | -52.8 | -46.1 | 81.2 | 10.6 | 44.1 | 43.6 | 56.1 | -36.5 | 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
in Protective Variable Annuity Separate Account B Series 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 61 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.
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