for investment professional use only strictly confidential...
TRANSCRIPT
Not FDIC insured Not Bank Guaranteed May Lose Value
For Investment Professional Use Only Strictly Confidential/Not for Distribution
2
Richard Bernstein Advisors
For Investment Professional Use Only Strictly Confidential/Not for Distribution
RBA Tactical ETF Strategies
featuring AlphaDEX®
3
Richard Bernstein Advisors
• Investment manager that combines a unique top-down, macro approach with quantitative
stock selection.
• Strategies include: equity allocation, asset allocation, and equity income and thematic
portfolios.
• AUM of approximately $1.3 Billion (as of 6/30/13, including assets-under-advisement).
• Strategic Partners:
o Eaton Vance ~ Open-End Mutual Funds
o UBS ~ ETF Managed Account Portfolios
o Merrill Lynch ~ ETF Managed Account Portfolios
o First Trust ~ Income-Oriented Unit Trusts and Tactical Thematic Unit Trusts, ETF
Asset Allocation Portfolios
o Envestnet ~ ETF Asset Allocation Portfolios
o Placemark ~ ETF Asset Allocation Portfolios
• Solely-owned entity with equity participation for key employees.
For Investment Professional Use Only Strictly Confidential/Not for Distribution
About RBA
4
Chief Investment Officer – Richard Bernstein
Former Chief Investment Strategist at Merrill Lynch
As Chief Investment Strategist, Rich determined the firm’s asset allocation for:
Equities
Fixed Income
Commodities
Alternative Investments
CNBC contributor; NYU Professor; Journal of Portfolio Management Advisory Board
member
Institutional Investor “All-America Research Team” member 18 times, including 10
years top-ranked*. Recently inducted to the Institutional Investor All-America
Research Hall of Fame.
Named to Registered Rep. Magazine “The Ten to Watch for 2012”.
* Rich was ranked #1 from 1995 -2003 in Quantitative Research and #1 in Portfolio Strategy in 2004
For Investment Professional Use Only Strictly Confidential/Not for Distribution
Richard Bernstein Advisors
About RBA
5
Portfolio Management Team
For Investment Professional Use Only Strictly Confidential/Not for Distribution
Richard Bernstein Advisors
Richard Bernstein, Chief Executive Officer
• More than 30 years of asset and style allocation experience. Previously Chief Investment Strategist at Merrill Lynch.
• Institutional Investor “All-America Research Team” 18 times, including 10 as top-ranked in his category.
• BA, Hamilton College. MBA, New York University.
Matthew Griswold, CFA, Senior Portfolio Strategist
• 20 years of quantitative investment experience.
• Formerly VP and Portfolio Manager at State Street Global Advisors.
• BS, Carnegie Mellon University.
Lisa Kirschner, Senior Research Analyst
• Nearly 20 years of research experience on Wall Street.
• Previously was a Senior Director and Investment & Quantitative Strategist at Merrill Lynch on Richard Bernstein’s teams.
• Merrill Lynch representative for Standard & Poor's Index Advisory Panel.
Joseph Zidle, Portfolio Strategist
• Nearly 20 years of research and portfolio investment experience.
• Formerly Director and Head of Global Research Marketing for Bank of America Merrill Lynch’s Global Wealth Management division.
• BAs in Economics and History from Emory University.
Henry Timmons, Quantitative Analyst
• 12 years of industry experience.
• Formerly Portfolio Manager & Quantitative Analyst at GMO LLC.
• BS, ME, MBA, Cornell University.
6
Investment Philosophy
For Investment Professional Use Only Strictly Confidential/Not for Distribution
Richard Bernstein Advisors
PEAK
RISING FALLING
TROUGH
FAVOR:
‒Small-caps
‒Value
‒Cyclical sectors
‒Lower quality
‒Low & Ultra High Yield
‒High Beta
‒ Emerging markets
FAVOR:
‒Large-caps
‒Stable Growth
‒Defensive sectors
‒Higher quality
‒Secure Yield
‒Low Beta
‒ Developed markets
Quantitative Screen & Indicators
Stock/Bond Selection
Size Style Geography Duration Commodities
7
Extend Time Horizons
“True” Diversification
Core Concepts of Wealth Building
Compound Income
Investment Philosophy
For Investment Professional Use Only Strictly Confidential/Not for Distribution
Richard Bernstein Advisors
8
Extending time horizons has significantly reduced the probability of a loss.
Investment Philosophy
Source: Richard Bernstein Advisors LLC, Standard and Poor’s, Bloomberg. *Chart shows the historical occurrence, over more than an 80-year period, of the S&P 500® index providing a negative return by investment time horizon. Simply, the % of negative returns to all returns over the periods noted. The same calculation logic is applied for each successive period. 1930 earliest date available for data above. It is not possible to invest directly in an Index or a Classification. Past performance is no guarantee of future results.
For Investment Professional Use Only Strictly Confidential/Not for Distribution
Richard Bernstein Advisors
47%
44%
41%
38%
32%
23%
21%
11%
0% 10% 20% 30% 40% 50%
1 Day
1 Week
1 Month
3 Mos
12 Mos
3 Yrs
5 Yrs
10 Yrs
Probability of a Loss for the S&P 500®*(Rolling Price Returns, Jan.1930 thru June 2013)
9
“True” diversification is based on correlation, not the number of asset classes.
Investment Philosophy
For Investment Professional Use Only Strictly Confidential/Not for Distribution
Richard Bernstein Advisors
•Source: Richard Bernstein Advisors LLC, BofA Merrill Lynch, HFRI, Bloomberg. For asset class descriptors, see “Index Descriptions” at end of document.
•Chart shows the correlation of 12-month rolling total returns over the past five year period from 6/30//08-6/30/13 of the following asset classes to the total returns of the
S&P 500® index: Hedge Funds=HFRI Fund Weighted Composite Index, REITS=THE FTSE NAREIT Composite Index, EM Sovereign=BofA Merrill Lynch Local Debt Markets Plus Index, EM Equities=MSCI Emerging Markets (EM) Index, Europe=MSCI Europe Index, Commodities=S&P GSCI® Index, Gold=Gold Spot USD/oz
Bloomberg GOLDS Commodity, 3-Mo T-Bills=BofA Merrill Lynch 3-Month US Treasury Bill Index, Intermediate Treasury=The BofA Merrill Lynch 5-7Year US Treasury
Index, Long-term Treasury Index=BofA Merrill Lynch 15+ Year US Treasury Index, Municipals=BofA Merrill Lynch US Municipal Securities Index, High Grade
Corporates=BofA Merrill Lynch 15+ Year AAA-AA US Corporate Index, U.S. High Yield= BofA Merrill Lynch US Cash Pay High Yield Index. Past performance no
guarantee of future results.
-1.0 -0.5 0.0 0.5 1.0
3-Month T-Bill
Intermediate Treas (5-7yrs)
LT Treasuries
Gold
Munis
High Grade Corporates
Commodities
EM Sovereign (USD)
US High Yield
EM
Hedge Funds
REITS
Europe
Historical 5 Year Correlation of Selected Asset Classes* to the S&P 500® as of 6/30/13
10
Compounding income is one of the best ways to build long-term wealth.
Feb. 1971 is Nasdaq Composite Inception
Source: Richard Bernstein Advisors LLC, Standard and Poor's, Bloomberg. Past performance no guarantee of future results.
For asset class descriptors, see “Index Descriptions” at end of document.
Investment Philosophy
For Investment Professional Use Only Strictly Confidential/Not for Distribution
Richard Bernstein Advisors
10.3% 10.3%
0%
2%
4%
6%
8%
10%
12%
S&P Utilities Nasdaq Composite
S&P Utilities vs. NASDAQ CompositeAnnualized Total Returns since NASDAQ Inception
(Feb. 1971 - Jun. 2013)
Source: Richard Bernstein Advisors LLC, Standard & Poor's, Bloomberg
11 For Investment Professional Use Only Strictly Confidential/Not for Distribution
Richard Bernstein Advisors
Select Market Calls
Source: Richard Bernstein Advisors LLC, BofA Merrill Lynch, Standard and Poor’s.
*Note: These charts reflect selected calls (some successful, others not) from Richard Bernstein’s published Quantitative Strategy and Investment Strategy
reports over the time period shown. As such, they do not constitute an exhaustive list, or necessarily a representative sampling, of Mr. Bernstein’s strategic
and investment recommendations over that period. Such samplings, while of illustrative value, are inherently of limited significance. Past performance is, of
course, no guarantee of future results. The selected calls reflect only Mr. Bernstein’s recommendations, not investment returns as such, and any returns
implied by those calls cannot be extrapolated and do not represent Fund performance.
It is not possible to invest directly in an Index or Classification. OW=-Overweight, UW= Underweight. S&P 500® Index= S&P 500® Index
400
600
800
1000
1200
1400
1600
1800
94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13
Richard Bernstein: Asset Allocation and Major Calls
S&P 500® Index
95-99: OW Equities &
Large Caps
99:UW Equities, OW Cash
Mar. 00: Energy OW vs. Tech
UW
02:OW Long-term
Treasuries
Nov. 06 Reduce Financials Dec. 07: High Quality Bonds,
Cash, Remain UW Equities
Jun. 09: OW Equities for
the first time in a decade
Aug. 05: UW Homebuilders
12
Richard Bernstein Advisors
For Investment Professional Use Only Strictly Confidential/Not for Distribution
“SMRT™” ETF Portfolios
13
Richard Bernstein Advisors
For Investment Professional Use Only Strictly Confidential/Not for Distribution
SMRT™ Tactical Equity Portfolio – featuring AlphaDEX®
SMRT™ Strategic Equity Portfolio – featuring AlphaDEX®
14
Richard Bernstein Advisors
For Investment Professional Use Only Strictly Confidential/Not for Distribution
Overview
RBA SMRT™ Tactical Equity Portfolio – featuring AlphaDEX®
Description: An Exchange Traded Fund (ETF) based US sector and market timing investment strategy based on quantitative fundamental factors.
Goal: Provide competitive returns in advancing markets and limit downside during bear markets using RBA's proprietary sector rotation strategy.
Ability to go to 100% cash
RBA SMRT™ Strategic Equity Portfolio – featuring AlphaDEX®
Description: An Exchange Traded Fund (ETF) based fully invested US sector investment strategy based on quantitative fundamental factors.
Goal: Provide relative outperformance to the S&P 500® index using RBA's proprietary sector rotation strategy.
Always fully invested
Tactical
Strategic
15 For Investment Professional Use Only Strictly Confidential/Not for Distribution
Richard Bernstein Advisors
RBA SMRT™ Equity Portfolios:
Why use a sector rotation model?
Sector rotation generally provides more value-added than stock selection.
Wider disparity of returns provides greater opportunity.
5
10
15
20
Sta
nd
ard
De
via
tio
n in
(%
)
Sectors vs. Stocks: Greater Variability Suggests Greater Opportunity
Variability WITHIN Sectors
Variability AMONG Sectors
Red lines shows the median of the variability of company level returns within each sector of the S&P 500®
Blue line shows the variability of the sector level returns within the S&P 500®.
16 For Investment Professional Use Only Strictly Confidential/Not for Distribution
Richard Bernstein Advisors
RBA SMRT™ Equity Portfolios: Fundamental Factors
A unique approach combining sentiment with valuation and momentum
Negative earnings surprises
Price/earnings multiples
Portfolios rebalanced at disciplined time intervals
Portfolios rebalanced 6 weeks after quarter-end when the majority of
companies have reported.
17 For Investment Professional Use Only Strictly Confidential/Not for Distribution
Richard Bernstein Advisors
RBA SMRT™ Equity Portfolios:
The Earnings Expectations Life Cycle
Growth
Positive
Surprise
Contrarians
Torpedoed
“Dogs”
Positive
Surprise
Models
Estimate
Revisions
EPS
Momentum
Negative
Surprise
Models
Estimate
Revisions
Neglect
The Earnings Expectations Life Cycle
18
Growth
Positive
Surprise Contrarians
Torpedoed
“Dogs” Positive
Surprise
Models
Estimate
Revisions
EPS
Momentum
Negative
Surprise
Models
Estimate
Revisions
Neglect
Growth
Positive
Surprise Contrarians
Torpedoed
“Dogs” Positive
Surprise
Models
Estimate
Revisions
EPS
Momentum
Negative
Surprise
Models
Estimate
Revisions
Neglect
Growth
Positive
Surprise Contrarians
Torpedoed
“Dogs” Positive
Surprise
Models
Estimate
Revisions
EPS
Momentum
Negative
Surprise
Models
Estimate
Revisions
Neglect
For Investment Professional Use Only Strictly Confidential/Not for Distribution
Richard Bernstein Advisors
RBA SMRT™ Equity Portfolios: The Earnings Expectations Life Cycle
Growth
Positive
Surprise Contrarians
Torpedoed
“Dogs” Positive
Surprise
Models
Estimate
Revisions
EPS
Momentum
Negative
Surprise
Models
Estimate
Revisions
Neglect
19 For Investment Professional Use Only Strictly Confidential/Not for Distribution
Richard Bernstein Advisors
RBA SMRT™ Equity Portfolios: The Earnings Expectations Life Cycle
20 For Investment Professional Use Only Strictly Confidential/Not for Distribution
Richard Bernstein Advisors
RBA SMRT™ Equity Portfolios: Fundamental Factors
Companies have secularly managed expectations to produce positive surprises.
As a result negative surprises contain more investment information.
Source: Richard Bernstein Advisors, Bloomberg
0%
20%
40%
60%
80%
100%
S&P 500: EPS Surprises(Q1 1992 through Q1 2013 )
% Positive Surprises
% Negative Surprises
21 For Investment Professional Use Only Strictly Confidential/Not for Distribution
Richard Bernstein Advisors
RBA SMRT™ Equity Portfolios: Sector Weights
10% 7.5%
2.5% 0%
Dynamic sector weights determined by changes in sentiment and valuation.
22 For Investment Professional Use Only Strictly Confidential/Not for Distribution
Richard Bernstein Advisors
RBA SMRT™ Equity Portfolios:
Tactical Market Timing Rule
RBA SMRT™ Equity Portfolios:
Strategic Investment Rule
23 For Investment Professional Use Only Strictly Confidential/Not for Distribution
Richard Bernstein Advisors
RBA SMRT™ Equity Portfolios: Tactical Historical Weightings
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
Fe
b-0
5
Ma
y-0
5
Au
g-0
5
Nov-0
5
Fe
b-0
6
Ma
y-0
6
Au
g-0
6
Nov-0
6
Fe
b-0
7
Ma
y-0
7
Au
g-0
7
Nov-0
7
Fe
b-0
8
Ma
y-0
8
Au
g-0
8
Nov-0
8
Fe
b-0
9
Ma
y-0
9
Au
g-0
9
Nov-0
9
Fe
b-1
0
Ma
y-1
0
Au
g-1
0
Nov-1
0
Fe
b-1
1
Ma
y-1
1
Au
g-1
1
Nov-1
1
Fe
b-1
2
Ma
y-1
2
Au
g-1
2
Nov-1
2
Fe
b-1
3
Ma
y-1
3
RBA SMRT™ Tactical Quarterly Sector, Stock & Cash Portfolio Weights
% in Cash % in S&P 500® ETF % in Sector ETFs
24 For Investment Professional Use Only Strictly Confidential/Not for Distribution
Richard Bernstein Advisors
RBA SMRT™ Equity Portfolios: Tactical Historical Sector Weightings
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
15
-Fe
b-0
5
16
-Ma
y-0
5
15
-Au
g-0
5
15
-No
v-0
5
15
-Fe
b-0
6
16
-Ma
y-0
6
15
-Au
g-0
6
15
-No
v-0
6
15
-Fe
b-0
7
15
-Ma
y-0
7
15
-Au
g-0
7
15
-No
v-0
7
15
-Fe
b-0
8
15
-Ma
y-0
8
15
-Au
g-0
8
14
-No
v-0
8
15
-Fe
b-0
9
15
-Ma
y-0
9
14
-Au
g-0
9
16
-No
v-0
9
16
-Fe
b-1
0
14
-Ma
y-1
0
16
-Au
g-1
0
16
-No
v-1
0
15
-Fe
b-1
1
16
-Ma
y-1
1
15
-Au
g-1
1
15
-No
v-1
1
15
-Fe
b-1
2
15
-Ma
y-1
2
15
-Au
g-1
2
15
-No
v-1
2
15
-Fe
b-1
3
15
-Ma
y-1
3
RBA SMRT Tactical: Historical Sector Wgts
Utilities
Telecom Svcs
Materials
Info. Tech
Industrials
Health Care
Financials
Energy
Cons. Staples
Cons. Disc.
25 For Investment Professional Use Only Strictly Confidential/Not for Distribution
Richard Bernstein Advisors
RBA SMRT™ Equity Portfolios: Strategic Historical Weightings
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
Fe
b-0
5
Ma
y-0
5
Au
g-0
5
Nov-0
5
Fe
b-0
6
Ma
y-0
6
Au
g-0
6
Nov-0
6
Fe
b-0
7
Ma
y-0
7
Au
g-0
7
Nov-0
7
Fe
b-0
8
Ma
y-0
8
Au
g-0
8
Nov-0
8
Fe
b-0
9
Ma
y-0
9
Au
g-0
9
Nov-0
9
Fe
b-1
0
Ma
y-1
0
Au
g-1
0
Nov-1
0
Fe
b-1
1
Ma
y-1
1
Au
g-1
1
Nov-1
1
Fe
b-1
2
Ma
y-1
2
Au
g-1
2
Nov-1
2
Fe
b-1
3
Ma
y-1
3
RBA SMRT™ Strategic Quarterly Sector, Stock & Cash Portfolio Weights
% in S&P 500® ETF % in Sector ETFs
26 For Investment Professional Use Only Strictly Confidential/Not for Distribution
Richard Bernstein Advisors
RBA SMRT™ Equity Portfolios: Strategic Historical Sector Weightings
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
15
-Fe
b-0
5
16
-Ma
y-0
5
15
-Au
g-0
5
15
-No
v-0
5
15
-Fe
b-0
6
16
-Ma
y-0
6
15
-Au
g-0
6
15
-No
v-0
6
15
-Fe
b-0
7
15
-Ma
y-0
7
15
-Au
g-0
7
15
-No
v-0
7
15
-Fe
b-0
8
15
-Ma
y-0
8
15
-Au
g-0
8
14
-No
v-0
8
15
-Fe
b-0
9
15
-Ma
y-0
9
14
-Au
g-0
9
16
-No
v-0
9
16
-Fe
b-1
0
14
-Ma
y-1
0
16
-Au
g-1
0
16
-No
v-1
0
15
-Fe
b-1
1
16
-Ma
y-1
1
15
-Au
g-1
1
15
-No
v-1
1
15
-Fe
b-1
2
15
-Ma
y-1
2
15
-Au
g-1
2
15
-No
v-1
2
15
-Fe
b-1
3
15
-Ma
y-1
3
RBA SMRT Strategic: Historical Sector Wgts
Utilities
Telecom Svcs
Materials
Info. Tech
Industrials
Health Care
Financials
Energy
Cons. Staples
Cons. Disc.
27 For Investment Professional Use Only Strictly Confidential/Not for Distribution
Richard Bernstein Advisors
RBA SMRT™ Equity Portfolios featuring AlphaDEX®:
Hypothetical Historical Performance
Note: Returns presented herein have been calculated by Richard Bernstein Advisors and are unaudited. Past performance is not indicative of future
results. Hypothetical pro forma performance figures herein should not be construed as indicative of the future performance. Hypothetical performance
results have many inherent limitations. There are frequently sharp differences between hypothetical performance results and the actual results
subsequently achieved by any particular trading program. There are numerous factors related to the markets in general or to the implementation of
any specific trading program which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can affect
actual trading results. The hypothetical pro forma performance figures provided herein are unaudited and on a gross basis unless specified otherwise.”
-40%
-30%
-20%
-10%
0%
10%
20%
30%
40%
50%
Dec-08 Dec-09 Dec-10 Dec-11 Dec-12
Annual Hypothetical Performance of RBA SMRT™ Tactical & Strategic featuring
AlphaDEX®
RBA SMRT™ Tactical RBA SMRT™ Strategic S&P 500® Cash
20
40
60
80
100
120
140
160
180
Cumulative Hypothetical Performance of RBA
SMRT™ Tactical & Strategic featuring
AlphaDEX®
5/31/07 - 6/30/13
RBA SMRT™ Tactical S&P 500® RBA SMRT™ Strategic Cash
28 For Investment Professional Use Only Strictly Confidential/Not for Distribution
Richard Bernstein Advisors
RBA SMRT™ Equity Portfolios featuring AlphaDEX®:
Hypothetical Historical Performance
Note: Returns presented herein have been calculated by Richard Bernstein Advisors and are unaudited. Past performance is not indicative of future
results. Hypothetical pro forma performance figures herein should not be construed as indicative of the future performance. Hypothetical performance
results have many inherent limitations. There are frequently sharp differences between hypothetical performance results and the actual results
subsequently achieved by any particular trading program. There are numerous factors related to the markets in general or to the implementation of
any specific trading program which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can affect
actual trading results. The hypothetical pro forma performance figures provided herein are unaudited and on a gross basis unless specified otherwise.”
12%
10%
17%
8%
18%
7%
0% 0%
0%
5%
10%
15%
20%
3 yr Annualized 5 yr Annualized
Annualized Hypothetical Performance of
RBA SMRT™ Tactical and Strategic featuring AlphaDEX®
RBA SMRT™ Tactical RBA SMRT™ Strategic S&P 500® Cash*As of 6/30/13
29 For Investment Professional Use Only Strictly Confidential/Not for Distribution
Richard Bernstein Advisors
RBA SMRT™ Equity Portfolios featuring AlphaDEX®:
Hypothetical Historical Risk/Return
Note: Returns presented herein have been calculated by Richard Bernstein Advisors and are unaudited. Past performance is not indicative of future
results. Hypothetical pro forma performance figures herein should not be construed as indicative of the future performance. Hypothetical performance
results have many inherent limitations. There are frequently sharp differences between hypothetical performance results and the actual results
subsequently achieved by any particular trading program. There are numerous factors related to the markets in general or to the implementation of
any specific trading program which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can affect
actual trading results. The hypothetical pro forma performance figures provided herein are unaudited and on a gross basis unless specified otherwise.”
RBA SMRT™ Tactical
RBA SMRT™
Strategic
Cash
S&P 500®
0%
2%
4%
6%
8%
10%
12%
0% 10% 20% 30% 40%
An
nu
alize
d 5
-Ye
ar
To
tal
Re
turn
Probability of A Quarterly Loss (Past 5 years)
Hypothetical Risk/Return of RBA SMRT™ Tactical & Strategic featuring AlphaDEX®
(as of 6/30/13)
RBA SMRT™ Tactical RBA
SMRT™ Strategic
Cash
S&P 500®
0%
2%
4%
6%
8%
10%
12%
0% 5% 10% 15%
An
nu
alize
d 5
-Ye
ar
To
tal
Re
turn
Standard Deviation of Quarterly Returns (Past 5 years)
Hypothetical Risk/Return of RBA SMRT™ Tactical & Strategic featuring AlphaDex®
(as of 6/30/13)
30 For Investment Professional Use Only Strictly Confidential/Not for Distribution
Richard Bernstein Advisors
RBA SMRT™ Equity Portfolios featuring AlphaDEX®:
Tactical & Strategic Hypothetical Quarterly Returns
SMRT™ RBA Tactical & Strategic Hypothetical Quarterly Total Returns
Sep-
07
Dec-
07
Mar-
08
Jun-
08
Sep-
08
Dec-
08
Mar-
09
Jun-
09
Sep-
09
Dec-
09
Mar-
10
Jun-
10
Sep-
10
Dec-
10
Mar-
11
Jun-
11
Sep-
11
Dec-
11
Mar-
12
Jun-
12
Sep-
12
Dec-
12
Mar-
13
Jun-
13
Cumulative perf
from 6/30/07-
3/31/13
Tactical 8% -3%
-
11% 4% 1% 0% 0% 0% 8% 8% 7%
-
10% 13% 11% 6% -1%
-
17% 10% 8% 0% 5% -5% 4% 3% 55.2%
Strategic -1% -2%
-
11% 4%
-
12%
-
24% -9% 20% 19% 8% 7%
-
10% 13% 12% 9% 0%
-
18% 10% 12% -7% 5% 2% 13% 3% 30.2%
S&P 500® 2% -3% -9% -3% -8%
-
22%
-
11% 16% 16% 6% 5%
-
11% 11% 11% 6% 0%
-
14% 12% 13% -3% 6% 0% 11% 3% 21.9%
Cash 1% 1% 1% 0% 1% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 5.1%
Note: Returns presented herein have been calculated by Richard Bernstein Advisors and are unaudited. Past performance is not indicative of future
results. Hypothetical pro forma performance figures herein should not be construed as indicative of the future performance. Hypothetical performance
results have many inherent limitations. There are frequently sharp differences between hypothetical performance results and the actual results
subsequently achieved by any particular trading program. There are numerous factors related to the markets in general or to the implementation of
any specific trading program which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can affect
actual trading results. The hypothetical pro forma performance figures provided herein are unaudited and on a gross basis unless specified otherwise.”
31 For Investment Professional Use Only Strictly Confidential/Not for Distribution
Richard Bernstein Advisors
RBA SMRT™ Equity Portfolios: Tactical & Strategic
Unique quantitative and fundamental sector rotation strategy.
Investing based on fundamentals, not noise:
Portfolios rebalanced at disciplined time intervals.
Portfolios rebalanced 6 weeks after quarter-end when the majority of companies have reported.
2 Investment Models:
RBA SMRT™ Tactical: Attempts to provide participation in bull markets and protection in bear markets.
RBA SMRT™ Strategic: Attempts to outperform the S&P 500® and is always fully invested.
Historical analysis suggests potential for outperformance with less risk when compared
to S&P 500®.
32 For Investment Professional Use Only Strictly Confidential/Not for Distribution
Richard Bernstein Advisors
RBA All-Asset
Moderate Portfolio
33
Richard Bernstein Advisors
For Investment Professional Use Only Strictly Confidential/Not for Distribution
Overview
All-Asset Moderate Portfolio – featuring AlphaDEX®
Description: An Exchange Traded Fund (ETF) based portfolio utilizing
global asset allocation strategies based on RBA’s proprietary
fundamental indicators.
Goal: Provide long-term total returns with moderate risk
All-Asset Moderate
41%
17%
40%
0% 2%
RBA All-Asset Moderate
US EQUITY
NON-US EQUITY
US FIXED INCOME
NON-US FIXED INCOME
CASH
34 For Investment Professional Use Only
Strictly Confidential/Not For Distribution
Overview
Richard Bernstein Advisors
Key Highlights
A “go anywhere” ETF based asset allocation fund that can invest across
asset classes, geography, and market segments such as size, style, and
quality.
Fund will seek to maximize total returns.
Managing within risk parameters is a focus of our approach.
Over time, and under normal market conditions, the portfolio should
consistently be invested in a mix of size/style/asset classes to pursue our
objective.
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Strictly Confidential/Not For Distribution
Investment Process: Overview
Assessment Construction All-Asset Moderate
• The research process and investment strategies used in RBA’s other products are the
foundation for this new ETF product.
Top Down Macro-economic Views
• Wall Street Sentiment Indicator • Global yield curves • Global profit cycles • Inflation and pricing • Global earnings expectations • Market segment valuation: p/e,
p/cf, etc. • Ad hoc studies
RESULT: Targets for equity market-segment exposure.
‒ Stocks vs. Bonds
‒ Growth vs. Value
‒ Large-cap vs. Small-cap
‒ Emerging vs. Developed markets
‒ Cyclical vs. Defensive sectors
ETF Portfolio Construction – Featuring AlphaDEX
Equities:
• Exposure to targeted macro characteristics:
Asset Class
Region
Size
Style
Sectors
Bonds:
• Exposure to targeted macro characteristics
• Credit quality
• Duration
Other Asset Classes:
• Exposure to targeted macro characteristics
• ETF selection to best match macro strategy
• “Guardrails” will be in effect at the asset level
Highlights
• Maximize contribution from Top Down Macroeconomic Views
• Minimize stock specific risk through usage of ETFs
• Benchmark: 50% ACWI, 45% Barclays Capital U.S. Aggregate Bond Index, 5% Cash
Richard Bernstein Advisors
36 For Investment Professional Use Only Strictly Confidential/Not for Distribution
Richard Bernstein Advisors
Sample of RBA All-Asset Moderate Portfolio featuring AlphaDEX®
“Moderate Portfolio”
Name Ticker Weight
First Trust Developed Mkt Ex-US FDT 13%
First Trust Emerging Markets FEM 4%
First Trust Large Cap Growth FTC 14%
First Trust Large Cap Value FTA 15%
First Trust Mid Cap Growth FNY 4%
First Trust Small Cap Growth FYC 3%
First Trust Small Cap Value FYT 4%
Equity Total: 57%
iShares Barclays 3-7 Year Treasury Bond IEI 5%
iShares Barclays 7-10 Year Treasury IEF 20%
iShares Barclays 20+ Year Treasury Bond TLT 4%
iShares iBoxx High Yield Corporate Bond HYG 8%
Vanguard Int-Term Corporate Bond VCIT 4%
Fixed Income Total: 41%
Cash (USD) BIL 2%
37 For Investment Professional Use Only Strictly Confidential/Not for Distribution
Richard Bernstein Advisors
Commentary
www.RBAdvisors.com
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Richard Bernstein Advisors
In the News
UBS Enhances Wealth Management Americas Research through a Strategic Partnership with Richard Bernstein Advisors LLC
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