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Electronic copy available at: http://ssrn.com/abstract=2217700
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Ccorresponding author:
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Electronic copy available at: http://ssrn.com/abstract=2217700
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1. Introduction
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2. Hypotheses
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2.2. Portfolio type
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D#1L51&'(9# 95&D'1+"5( 6+$:+( ' &7;$+L'9$51 1+". '*g7"$($ "#$$+() 6:+;# 95($15;;+() L51
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95();5'$# #LL#9$" 5( L7(* D#1L51&'(9#> 3$ +" $:# L+1"$ "$7*A $5 #P'&+(# D51$L5;+5" '915"" $:#
$:1## &'(')#* L7(* +(*7"$1+#"> B:# #P'&+('$+5( 5L $:# #LL#9$ 5L +(,#"$($ -'(." (#9#""+$'$#"
571 "$7*A 5L $:# *+LL#1#(9#" -#$6##( $:# 1+". '(* 1#$71( 1#;'$+5( $:'$ +(,#"$51" #'1( *7# $5 $:#
L51& 5L $:# 95($1'9$ -#$6##( &'(')#1" '(* +(,#"$51">
2.3. Hypotheses
e71 "$7*A #P'&+(#" $:# *+LL#1#(9#" +( $:# 1+". '(* 1#$71( 1#;'$+5( $:'$ '( +(,#"$51 9'( #PD#9$
-A +(,#"$+() +( 5(# 5L $:# $:1## L7(* $AD#"G 6:+9: 6# 1#L#1 $5 '" D51$L5;+5 :AD5$:#"#"G '(*
6:#$:#1 $:#"# *+LL#1#(9#" *#D#(* 5( 56(#1":+D -A '( +(,#"$($ -'(.G 6:+9: 6# 1#L#1 $5 '"
+(,#"$($ -'(.+() :AD5$:#"#">
e71 -'"#;+(# +(,#"$($ -'(.+() :AD5$:#"+" +" 6:#$:#1 -#+() 56(#* -A '( +(,#"$($ -'(.
'**" ,';7# $5 $:# D51$L5;+5" 7(*#1 &'(')#($ 5,#1 -#+() 56(#* -A ' L+('(9+'; 95();5'$#>
B:# :AD5$:#"+" +" "$15();A "7))#"$#* -A $:# $:#51+#" 5L 05;$5(G Y1#+P'"G '(* 8:'D+15 ]EHHZ^ '(*
3( '**+$+5(G &7;$+D15*79$ L+1&"
'1# &51# +($#1#"$#* +( ;5()O$#1& 1#;'$+5(":+D"> B:#"# "$7*+#" +&D;A $:'$ $:# "+)( 5L '( +(,#"$($
-'(.+() *7&&A ,'1+'-;# +(*+9'$#" ,';7# '**#* 51 "7-$1'9$#* +( ' 1#)1#""+5( &5*#G +( 6:+9: '
D51$L5;+5 ';D:' +" ' L7(9$+5( 5L $:# D51$L5;+5 '(* 51)'(+2'$+5( 9:'1'9$#1+"$+9">I
IB:# #&D+1+9'; "$7*+#" L+(* $:'$ -'(." :',# "5719#" 5L +(L51&'$+5( $:'$ #('-;# '""#$ &'(')#1" $5 9:55"# -#$$#1"#971+$+#"> 8## $:# #&D+1+9'; 651. 5L R'""' '(* c#:&'( ]EHHN^ '(* c+$$#1 '(* d:'() ]EHHZ^G '" '( #P'&D;#>
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)
K# '** $5 $:# -'"#;+(# :AD5$:#"+" -A 95("+*#1+() $:'$ $:# &'1.#$ L51 +(,#"$($ -'(.+()
"#1,+9#" &+):$ (5$ -# 95&D#$+$+,# #(57): $5 1#"5;,# ';; 95(L;+9$"> c#;A+() 5( $:# &5*#; 5L 05;$5(G
Y1#+P'"G '(* 8:'D+15 ]EHHZ^G $:# *+"D#1"+5( +( )15"" &'1)+(" 5( L+('(9+'; D15*79$" +(*+9'$#" $:#
*#)1## 5L 95(L;+9$" 5L +($#1#"$ L51 ' L+('(9+'; +("$+$7$+5(> B:#A *#L+(# )15"" &'1)+(" '" $:# L##"
D'+* -A +(,#"$51" ;#"" ';; 95"$" 5L 5D#1'$+() $:# L7(*> @(L51$7('$#;AG 6# 9'((5$ 5-"#1,# $:#
#95(5&+9 )15"" &'1)+(" 5( &'(')#* D51$L5;+5"G -7$ 6# -#;+#,# L##" 5L ' L7(* '1# ' 1#'"5('-;#
D15PA> Y+1"$G $:# ;'1)#"$ 95&D5(#($ 5L $5$'; L##" +" $:# &'(')#($ L##> Y51 "5 L7(*" $:+"
957;* D1#9+"#;A '"71# $:# #95(5&+9 )15"" &'1)+("G -7$ L51 5$:#1" $:# '9957($+() (7&-#1" *5
(5$ (#9#""'1+;A '"71# $:# #95(5&+9 95(9#D$> =56#,#1G +$ +" 6#;; 1#95)(+2#* $:'$ $:#
&'(')#($ L## +" +(*#D#(*#($ 5L $:# 95"$" 5L 5D#1'$+() ' L7(* '(* +" "$1'$#)+9';;A *#$#1&+(#*>E
8#95(*G $:# #P9#"" 5L $5$'; L## 5,#1 &'(')#($ L## +" (5$ 1#;'$#* $5 D#1L51&'(9# 5L ' L7(* -7$
$5 +$" "+2# '(* $:# (7&-#1 5L 9;+#($"k'$ ;#'"$ L51 $:# "&';; (7&-#1 5L &7$7'; L7(*" +( 571 "'&D;#
+( 6:+9: 6# 9'( 5-"#1,# $:+" *+LL#1#(9#> K:+;# 6# 9'( 5-"#1,# $:# &'(')#($ L## L51 "5
&7$7'; L7(*"G 6# 9'((5$ L51 D#("+5( L7(*" '(* :#*)# L7(*"> B:# &'(')#($ L## +" (5$
1#D51$#* "#D'1'$#;A L15& $:# $5$'; L## L51 $:#"# L7(*"G '(* $:# &'(')#($ L## +" ;+.#;A $5 -#
';&5"$ #b7'; $5 $:# $5$'; L## -#9'7"# :#*)# L7(*" '(* +("$+$7$+5('; L7(*" *5 (5$ :',# $:# 95"$" 5L
1#$'+; &7$7'; L7(*" "#1,+() &'(A "&';; 9;+#($"> B:+1*G $:# L7(* L'&+;+#" 6+$: D7-;+9;A $1'*#*
#b7+$AG "79: '" 0;'9.159. ]+( 571 "'&D;#^ '(* B> c56# V1+9# ](5$ +( 571 "'&D;#^G :',# 1#,#(7#"
$:'$ '1# :+):;A 9511#;'$#* 6+$: D15L+$" 5,#1 $+>Jc#,#(7#" '1# ;'1)#;AG #,#( "5;#;AG *#D#(*#($
E! 9#($1'; L#'$71# 5L $:# 0#1. '(* U1##( ]EHHQ^ &5*#; +" $:'$ &'(')#1" +(91#'"# $:#+1 L##" $5 $:# D5+($ 6:#1##PD#9$#* 1#$71(" $5 +(,#"$51" '1# 95&D#$+$+,#> 8+&+;'1;AG U+;O0'25 '(* c7+2O_#1*7 ]EHHM^ '1)7# $:'$ L##" '1#"$1'$#)+9';;A "#$ '(* $:'$ &'(A :+): L## L7(*" :',# ;56 )15"" D#1L51&'(9#>
Je,#1 $:# D'"$ $#( A#'1"G $:# 9511#;'$+5( -#$6##( B> c56# V1+9# 1#,#(7# '(* +(95 6'" MQlG '(* L510;'9.159. +$ 6'" MNl> B:1## 5$:#1 L+1&" +( 571 "'&D;# '1# D7-;+9;A $1'*#*G "+();# D15*79$G 95&D'(+#"T Y1'(.;+(c#"5719#"G 6:+9: :'* ' MMl 9511#;'$+5(\ m+'&5(* =+;; 3(,#"$($G 6:+9: :'* ' QZl 9511#;'$+5(\ '(*
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!*
5( L##" $+" '""#$" 7(*#1 &'(')#($> B:#"# 1#'"5(" "7))#"$ $:'$ L##" '1# ' 1#'"5('-;# D15PA
L51 $:# #95(5&+9 D15L+$k$:# L597" 5L $:# 05;$5(G Y1#+P'"G '(* 8:'D+15 &5*#;>
K# 7"# *+"D#1"+5( 5L L##" $5 $#"$ 571 "#95(* +(,#"$($ -'(.+() :AD5$:#"#" $:'$
&7;$+D15*79$ L+1&" f +(,#"$($ -'(." 6+$: :+):#1 95(L;+9$" 5L +($#1#"$ ":57;* :',# ' ;56#1 ';D:'
$5 +(,#"$51"> B:# *+"D#1"+5( 5L L##" +( ' A#'1 L51 ' L+('(9+'; +("$+$7$+5( +" ' D15PA L51 95(L;+9$" 5L
+($#1#"$> K# #PD#9$ $:'$ $:# 915""O"#9$+5('; *+"D#1"+5( 5L L##" +( A#'1 tL51 L+('(9+'; +("$+$7$+5( i
6+;; -# (#)'$+,#;A 1#;'$#* $5 ';D:'" L51 &7;$+D15*79$ L+1&" f +(,#"$($ -'(.">
K# *#L+(# D51$L5;+5 :AD5$:#"#" '" :AD5$:#"#" $:'$ #PD;'+( *+LL#1#(9#" +( '-(51&';
1#$71(" *7# $5 95($1'9$ $AD#> e71 L+1"$ D51$L5;+5 :AD5$:#"+" +" $:# &'(')#($ ';+)(($
:AD5$:#"+"> 8D#9+L+9';;AG $:# )1#'$#1 $:# ';+)(($ 5L +($#1#"$" -#$6##( &'(')#($ '(* 9;+#($"G
$:# :+):#1 $:# 1#$71(> 3L +($#1#"$" '1# -#$$#1 ';+)(#*G ')#(9A 95"$" '1# 1#*79#* +( $65 6'A"> Y+1"$G
&'(')#($ 1#,#';" $:# +(L51&'$+5( ]-A '9$+,#;A $1'*+() "#971+$+#"^ $:'$ '**" ,';7# $5 $:#
D51$L5;+5> 8#95(*G &'(')#($ 9:'1)#" ;56#1 #PD#("#" L51 $:# ,';7#O'**+() +(L51&'$+5( '(*
1#*79#" :+**#( #PD#("#" "79: '" "5L$ *5;;'1"> B:7"G 6# #PD#9$ $:'$ $:# 1+". '(* 1#$71( 1#;'$+5(
*+LL#1" -#$6##( $:# 51)'(+2'$+5('; L51&" ]D15P+#* -A D51$L5;+5 $AD#^G 1#L;#9$+() $:# ,'1+'$+5(" +(
$:# *#)1## 5L ';+)(($>Q
e71 "#95(* D51$L5;+5 :AD5$:#"+" +" $:# L;#P+-+;+$A :AD5$:#"+"G $:'$ +"G '" $:# L#6#1
1#"$1+9$+5(" 5( $:# &'(')#1G $:# :+):#1 $:# 1#$71( $5 9;+#($"> 3L L#6#1 1#"$1+9$+5(" #P+"$G
&'(')#($ +" -#$$#1 '-;# $5 '9:+#,# '( 5D$+&'; 1#$71( L51 $:# 1+". $'.#( +( '( #LL+9+#($ &'1.#$
'(* -#$$#1 '-;# $5 7"# $:# +(L51&'$+5( $:'$ $:#A :',# +L $:#A 1#9#+,# +(L51&'$+5( $:'$ +" (5$
';1#'*A 1#L;#9$#* +( $:# D1+9# 5L $:# "#971+$A>
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!"
0#9'7"# $:#"# ;'1)# L+('(9+'; 51)'(+2'$+5(" ,'1A 6+*#;A +( $:#+1 1#,#(7#G 6# +($15*79# "#,#1';
95($15; ,'1+'-;#" $:'$ D15PA L51 $:# U15""&'( '(* 8$+);+$2 #LL#9$> K# +(9;7*# $:# '""#$" 7(*#1
&'(')#($ -A $:# L7(* '(* $:# 95();5'$# $5 95($15; L51 *+LL#1#(9#" +( "+2#> 3( '**+$+5(G 6#
95($15; L51 $:# 95(9#($1'$+5( 5L $:# $AD# 5L L7(*" -#9'7"# $:# +(L51&'$+5( '(* ".+;; 957;* :',#
"5 #95(5&+#" 5L "95D# '915"" L7(* $AD#> 85 95();5'$#" '(* +(,#"$($ -'(." :',#
&5"$;A &7$7'; L7(*" 7(*#1 &'(')#($G 6:+;# 5$:#1" :',# 95(9#($1'$+5(" 5L :#*)# L7(*" '(*
+("$+$7$+5('; L7(*">
R'(A :#*)# L7(*" '1# A57()#1 '(* &51# '9$+,# $:'( &7$7'; L7(*" '(* +("$+$7$+5('; L7(*"G
A#$ $:+" *+LL#1#(9# :'" (5$:+() $5 *5 6+$: -#+() ' :#*)# L7(*> a57()#1 '(* &51# '9$+,# &7$7';
L7(*" 957;* :',# #P'9$;A $:# "' 1+".O1#$71( 9:'1'9$#1+"$+9"> B1'("'9$+5(" 95"$" D#1 ":'1# '1#
D15-'-;A ;56#1 L51 $:# &51# '9$+,# '(* ;'1)#1 D51$L5;+5"> 3("$+$7$+5('; D51$L5;+5" '1# 5L$#( &79:
;'1)#1 $:'( :#*)# L7(*" '(* &7$7'; L7(*" '(* 957;* +(971 "&';;#1 $1'("'9$+5(" 95"$"> K# 7"# L##"G
1#,#(7#"G '(* ')# $5 95($15; L51 $:#"# *+LL#1#(9#" '915"" D51$L5;+5" $:'$ :',# (5$:+() $5 *5 6+$:
$:# L51& 5L $:# 95($1'9$>
3$ +" 1#'"5('-;# $5 #PD#9$ $:'$ :#*)# L7(*" 657;* D15*79# ' "7D#1+51 1+".O1#$71( 1#;'$+5(
-#9'7"# :#*)# L7(* &'(')#1" 957;* +(,#"$ +( ' 6+*#1 ,'1+#$A 5L '""#$" $:'( &7$7'; '(*
+("$+$7$+5('; L7(* &'(')#1" '(* -#9'7"# +(9#($+,# "9:#" *+LL#1 '915"" +(*7"$1+#"> !9.#1&'((G
R9X(';;AG '(* c',#("91'L$ ]IMMM^ L+(* #&D+1+9'; #,+*#(9# ;+(.+() D#1L51&'(9# L##" $5 +&D15,#*
:#*)# L7(* D#1L51&'(9#G -7$ (5$ $5 +(91#'"#* 1+".> K#G $:#1#L51#G 95($15; L51 $:# #LL#9$ 5L L##" 5(
L7(* ';D:'" +( $:1## 6'A"> Y+1"$G ';; 1#$71(" '1# '"71#* (#$ 5L L##"> 8#95(*G '" '( #PD;'('$51A
,'1+'-;# 6# +(9;7*# $:# L##" 5L #'9: L7(*> Y+(';;AG 6# +(9;7*# $:# 1#,#(7# 5L $:# 95();5'$#
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!#
U5#$2&'((G 3()#1"5;;G '(* c5"" ]EHHJ^ L+(* *#91#'"+() 1#$71(" $5 "9';# '&5() :#*)#
L7(*" $:'$ 0#1. '(* U1##( ]EHHQ^ "7))#"$ +" 1#;'$#* $5 +(,#"$51 #PD#1+#(9# 6+$: &'(')#1">
X&D+1+9';;AG !)'16';G m'(+#;G '(* 4'+. ]EHHM^ #"$'-;+": $:'$ &'(')#($ 95&D'(+#"n ')# +"
(#)'$+,#;A 1#;'$#* $5 $:#+1 D#1L51&'(9#> B:#1#L51#G ')# +" '( +&D51$'($ 95($15; ,'1+'-;#>
K# *+"97"" $:# D1#9+"# '"71#($ 5L $:#"# ,'1+'-;#" +( $:# (#P$ "#9$+5(>
3. Data collection and descriptive statistics
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EHHN> e71 *#L+(+$+5( 5L '( +(,#"$($ -'(. +" $:'$ $:# 51)'(+2'$+5( :'* $5 #()')# +(
7(*#161+$+()> !;; +(,#"$($ -'(." #P9#D$ ?#:&'( 015$:#1" '(* 45&71' &'(')#* ';; $:1##
$AD#" "+&7;$'(#57";A>[K# &'$9:#* $:# +(,#"$($ -'(." 6+$: +(,#"$($ 51)'(+2'$+5(" $:'$
1#D51$#* 1#$71("G '""#$"G '(* 5$:#1 *'$' L51 ';; $:1## $AD#" 5L D51$L5;+5" 5,#1 $:+" D#1+5*> B:#
51)'(+2'$+5( :'* $5 1#D51$ *'$' 5( ';; $:1## D51$L5;+5 $AD#" "+&7;$'(#57";A L51 '$ ;#'"$ IE &5($:">
B:+" 1#"7;$#* +( QN +(,#"$($ 51)'(+2'$+5(" $:'$ 6# $#1& 95();5'$#"> B:7"G 571 95&-+(#*
"'&D;# 95("+"$" 5L ZI +(,#"$($ 51)'(+2'$+5(" ]EJ -'(." '(* QN 95();5'$#"^ &'(')+() '
$5$'; 5L FEI :#*)# L7(*"G EGFZM +("$+$7$+5('; L7(*"G '(* EGNF[ &7$7'; L7(*">F
3.1. Databases
B:# *'$'-'"#" 7"#* +( 571 "'&D;# '1# L51 :#*)# L7(*"k?+DD#1 B!88 ]B1'*+() !*,+"51
8#;#9$+5( 8A"$#&^G 45&71'"$5DD#* 1#D51$+() &7$7'; L7(* 1#$71(" +( EHHI '(* 1#D51$#* +$" L+1"$ :#*)# L7(* +( EHH[> K# $1#'$ R#1971A '""#$&'(')#($ '" '( +(,#"$($ -'(. 'L$#1 +$" '9b7+"+$+5( -A R#11+;; ?A(9: +( IMMN>
F8+P$AO$:1## 5L $:# 51)'(+2'$+5(" :'* ';; $:1## $AD#" 5L D51$L5;+5" "+&7;$'(#57";A L51 $:1## 51 &51# A#'1"> e71"'&D;# "+2# (#,#1 95("+"$" 5L ';; $:#"# L7(*" +( '(A )+,#( A#'1>
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!$
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6#1# 7"#* -A &5"$ ;'1)# D#("+5( L7(* "D5("51" '(* #(*56($ L7(*" $5 *#$#1&+(# 6:5 657;*
&'(')# $:#+1 &5(#A> K# 915""O9:#9. $:# 1#$71(" 5L $:# ;56#"$ 1#$71( *#9+;# 5L &'(')#1" 6+$:
'(5$:#1 95&+';;A ','+;'-;# *'$'-'"# ]3(L51&' V84^ '(* ' D1+,'$# "5719# 5L 1#$71( *'$'>NY51
EHHNG 6# '** *'$' L15& 3(L51&' V84G 6:+9: '9b7+1#* R5-+7" +( EHHF '(* #(*#* $:# D15*79$ +(
EHHZ> K# #P'&+(# $:# 1#$71(" '(* ;5()#,+$A 5L #,#1A &5(#A &'(')#1 +( $:#"# *'$' 6:5 :'* L7;;
*+"91#$+5( 5,#1 $:#+1 '9957($"> B5 5-$'+( '**1#""#" '(* ;#)'; 95&D'(A 1#;'$+5("G 6# 7"#
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L15& 1#;#'"# $5 1#;#'"#> Y51 Y51 ?+DD#1 B!88G 6# :',# 8#D$#&-#1 EHH[G Y#-17'1A
EHHNG R'19: EHHMG '(* /7;A EHHM> ?+DD#1 B!88 *15DD#* J>HQl 5L +$" L7(*" -A /7;A EHHM L15&
5(# 5L $:# D1#,+57" 1#;#'"#" $:'$ 6# :',#> K# :'(*O&'$9: $:# :#*)# L7(* *'$' L15& ';; 1#;#'"#"
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!%
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K# $:#( 9:#9. $:# '**1#"" &'$9: -#$6##( :#*)# L7(*" '(* &7$7'; L7(*"> 8#,#1';
95&D'(+#" *5 (5$ :',# ' D1#9+"# (' &'$9: '" $:#+1 L7(* 95();5'$# &7$7'; L7(*" '(* :#*)#
L7(*" 6#1# 5LL#1#* -A *+LL#1#($ "7-"+*+'1+#"> K# 1#b7+1# $:'$ $:# 3$ ';"5 ;+"$" L'&+;A ;#)';
'**1#""#">
3.3 Fund-level filters and joining of assets classes
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!&
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-7$ (5 95();5'$#" L15& 571 "'&D;#> Y51 +("$+$7$+5('; L7(*"G 6# $'.# L7(*" $:'$ 1#D51$#* (#$
'""#$" '$ ;#'"$ 5(9#G #;+&+('$+() ' L#6 (#6;A 91#'$#* L7(*"> Y51 :#*)# L7(*"G 6# #;+&+('$# L7(*"
$:'$ (#,#1 1#D51$#* '""#$ ,';7#" +L 5$:#1 :#*)# L7(*" +( $:# "' 95&D;#P 1#D51$#* '""#$ ,';7#">
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+("$+$7$+5('; L7(* +" $:# 5(;A '""#$ 9;'"" ','+;'-;# '(* ' L7(* 6+$: ' "+&+;'1 (' +" 1#D51$#* -A
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8/13/2019 Asset Mgnt
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5.1 Baseline model
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#*
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#!
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#$
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#&
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References
!9.#1&'(G G R9X(';;AG c>G c',#("91'L$G m>G IMMM> B:# D#1L51&'(9# 5L :#*)# L7(*"T 1+".G1#$71(G '(* +(9#($+,#"> /571('; 5L Y+('(9# [QG NJJfNZQ>
!)'16';G _>G 4'+.G 4> a>G EHHQ> c+"." '(* D51$L5;+5 *#9+"+5(" +(,5;,+() :#*)# L7(*"> c#,+#6 5L
Y+('(9+'; 8$7*+#" IZG FJfMN>!)'16';G _>G 4'+.G 4> a>G EHHM> c5;# 5L &'(')#1+'; +(9#($+,#" '(* *+"91#$+5( +( :#*)# L7(*D#1L51&'(9#> /571('; 5L Y+('(9# FQG EEEIfEE[F>
0#1.G /> 0>G U1##(G c> G EHHQ> R7$7'; L7(* L;56" '(* D#1L51&'(9# +( 1'$+5('; &'1.#$"> /571(';5L V5;+$+9'; X95(5&A IIE ]F^G IEFMfIEM[>
0:'$$'9:'1A'G 8>G VL;#+*#1#1G V>G IMN[> m#;#)'$#* D51$L5;+5 &'(')#($> /571('; 5L X95(5&+9B:#51A JFG IfE[>
05;;#(G 4>G W1#D#;AOV55;G _>G EHHM> m5 :#*)# L7(* &'(')#1" &+"1#D51$ 1#$71("j X,+*#(9# L15&$:# D55;#* *+"$1+-7$+5(> /571('; 5L Y+('(9# FQG EE[ZfEENN>
05;$5(G V>G Y1#+P'"G `>G 8:'D+15G />G EHHZ>
G 8'($5"G />G EHHI> G R57""'6+G c>G EHIH> R7$7'; L7(* D#1L51&'(9# 6:#( D'1#($ L+1&"
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3($#1('$+5('; /571('; 5L W';'-'G c>G B#"L'$"+5(G ?>G IMMF> ! &7;$+91+$#1+' 'DD15'9: $5 &5*#; "D#9+L+9'$+5( '(* #"$+&'$+5(>
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#(
?+'()G 0>G EHHH> =#*)# L7(*"T $:# ;+,+() '(* $:# *#'*> /571('; 5L Y+('(9+'; '(* o7'($+$'$+,#!(';A"+" J[G JHMfJEF>
?5G !>G EHHE> B:# "$'$+"$+9" 5L 8:'1D# 1'$+5"> Y+('(9+'; !(';A"$" /571('; [NG JFf[E>?7$.#D5:;G =>G IMMJ> B:# "5719#" 5L @8 &5(#A *#&'(* +("$'-+;+$A> X&D+1+9'; X95(5&+9" ING
ZEMfZQJ>?7$.#D5:;G =>G =#16'1$2G =>G IMMF> 8D#9+L+9'$+5( 5L ,'1A+() 95#LL+9+#($ $+ "#1+#" &5*#;" ,+')#(#1';+2#* L;#P+-;# ;#'"$ "b7'1#"> /571('; 5L X95(5$1+9" ZHG EFIfEMH>
R'""'G R>G c#:&'(G d>G EHHN> 3(L51&'$+5( L;56" 6+$: L+('(9+'; 95();5'$#"T #,+*#(9# L15&$:# -'(."O&7$7'; L7(*" 1#;'$+5(> /571('; 5L Y+('(9+'; X95(5&+9" NMG ENNfJHF>
R#:1'(G =>G 8$7;2G c>G EHHZ> B:# #95(5&+9" 5L 95(L;+9$" 5L +($#1#"$ +( L+('(9+'; +("$+$7$+5(">/571('; 5L Y+('(9+'; X95(5&+9" N[G EFZfEMF>
c+$$#1G />G d:'()G m>G EHHZ> !LL+;+'$#* &7$7'; L7(*" '(* $:# ';;59'$+5( 5L +(+$+'; D7-;+9 5LL#1+()">/571('; 5L Y+('(9+'; X95(5&+9" NFG JJZfJFN>
8$'1."G ?> B>G IMNZ> V#1L51&'(9# +(9#($+,# L##"T '( ')#(9A $:#51#$+9 'DD15'9:> /571('; 5LY+('(9+'; '(* o7'($+$'$+,# !(';A"+" EEG IZfJE>
8/13/2019 Asset Mgnt
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#)
Table 1
!""#$" L51 ';; D51$L5;+5"B:+" $'-;# D1#"#($" $:# '""#$ $+ "#1+#" L51 $:# L7(*" &'(')#* -A EJ +(,#"$($ -'(." '(* QN 95();5'$#"> !""#$" 7(*#1 '9$+,#&'(')#($ '$ $:# #(* 5L $:# A#'1 '1# 1#D51$#* +( &+;;+5(" 5L *5;;'1"> B:#1# '1# FEI 7(+b7# :#*)# L7(*"G EGFZM 7(+b7# +("$+$7$+5('; L7(*"G '(*EGNF[ 7(+b7# &7$7'; L7(*">
=#*)# L7(*" 3("$+$7$+5('; L7(*" R7$7'; L7(*"
a#'1 ( R#*+'( B5$'; ( R#*+'( B5$'; ( R#*+'( B5$'; B5$';
EHHN EQH IH[ FJGJZ[ IGJFN ZQ[ QGEMNG[MZ IGFJH EHF IGJM[GI[F [GZ[ZGIEN
EHHZ JIN IHN NHGIF[ IGQNQ IGIEM [GMJFGHFQ IGZI[ EJE IGF[JGQJJ ZGFFMGFFE
EHHF JIF NJ FFGEEJ IGFHZ MNF [GFNFGJQJ IGZMH EHQ IGQJFGFQJ ZGINMGEHM
EHH[ EMI ZQ [JGFJQ IGZEH NJI [GHZEGZFE IGZHF IME IGINIGNFH FGJHNGE[F
EHHQ EZN F[ Q[GJIH IGZNI ZHN QGQZEGNFI IGFFI IZE MZZGZFM [GQM[GMQI
EHHJ E[I [Z JFGHIQ IGNHM FJM QGHHFGJJF IGFMF IJJ ZZ[GEJN QGNIZG[NN
EHHE EIM [Q JHGIMZ IGZM[ [EI JGJF[GJQQ IGZJH II[ Z[MGZHJ QGI[[GEQJ
EHHI EII [Q ENGZIF IGZEF FIN JG[EJG[MQ IGFMJ IIZ NFMGMQN QGQEEGE[N
EHHH IZN [I EFGFNH IGFHH FHJ JGIZJG[EF IGFEJ IIE MMJGQQJ QGIMJGFQN
IMMM IFJ QJ EIGMJI IG[IH FEN JGJINGZHQ IGQQZ IHQ NHEGJMM QGIQJGHJ[
IMMN IQN QJ EHGEMQ IGQJF [ZF JGHQMGMJF IGEJJ NF FFFGHIE JGZJFGEQE
IMMZ IJZ JM IZGZM[ IGJJ[ [FI EG[MZGJJH IGHN[ MQ [[[GJFE JGIZHGQNZ
IMMF IEQ JQ IEG[JJ IGEEZ [JJ EGIJHGZFM MQI NE QE[GM[N EG[FMGEFH
IMM[ IHF JN MGFHQ IGHN[ [IQ IGZIJG[MQ NIZ MH JJHGQJJ EGH[JGFJH
IMMQ NJ QE NGMQZ M[F Q[J IGJHHGIJM ZJM NF ENHGNQZ IG[NMGMJJ
IMMJ FM QH FG[HI NEZ Q[J IGIHFGHHQ FHM MJ EEMG[JM IGJQEGHQQ
IMME [Z JI QGJZI [FE JJJ FEQGQFF QMM NZ IZJGMJM NHEGZZZ
IMMI [H JH JGFN[ QMJ JEF [JIGEMF JFQ NM IEIG[FN F[FG[QM
IMMH QF JI JGQZZ QI[ EMF QHZGFQM JH[ M[ IHHGIEE [IIGEQZ
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$*
Table 2
!""#$" L51 #b7+$A D51$L5;+5"B:+" $'-;# D1#"#($" $:# '""#$ $+ "#1+#" L51 $:# #b7+$A L7(*" &'(')#* -A EJ +(,#"$($ -'(." '(* QN 95();5'$#"> !""#$" 7(*#1 '9$+,#&'(')#($ '$ $:# #(* 5L $:# A#'1 '1# 1#D51$#* +( &+;;+5(" 5L *5;;'1"> B:#1# '1# JZQ 7(+b7# #b7+$A :#*)# L7(*"G IGNQH 7(+b7# #b7+$A +("$+$7$+5(';L7(*"G '(* EGEQN 7(+b7# &7$7'; L7(*">
=#*)# L7(*" 3("$+$7$+5('; L7(*" R7$7'; L7(*"
a#'1 ( R#*+'( B5$'; ( R#*+'( B5$'; ( R#*+'( B5$'; B5$';
EHHN I[M IHF JZGQJF MNJ [MH EGIHHGZHI IGJEI EI[ IGI[FGHQE JGEMQGIZM
EHHZ EHQ III Q[GHEM IGHF[ NMQ JGZQNGHJJ IGJNQ EFQ IGQH[GHNJ [GIMNGIQF
EHHF IME NQ J[GJEJ IGI[N NQQ JGFJNGJHQ IGQQI EIN IGEENGEEF QGMHIGN[Q
EHH[ INH ZE ENG[[[ IGEIH FMM JGIQ[GIHH IGJFM IMZ MM[GIJI QGIFNGZNZ
EHHQ IZF F[ EJGJNJ IGE[E FII EGZZJGMNQ IGJEM IZE NHFGZMM JGFHQGIFF
EHHJ IZE [Q EHGMIH IGEZF [IZ EGQNEGZZZ IGJF[ IEN FEEGMNI JGIEFGFFM
EHHE IQM [J INGEHN IGEFI JMM IGZZFGJZI IGJM[ IIH FJJGFFJ EGQENGEQE
EHHI IEM [M IZGEZM IGEHI [HM IGMNHG[FZ IGJZJ IIM Z[FGNII EGZ[QGF[Z
EHHH IHQ [Q IZGJJF IGIHE [F[ EGHJ[G[EM IGJHI IIM NMIGIII EGMQJGMZF
IMMM NM [Q IEGNQ[ IGHJE FIQ EGIQ[GIJE IGIJM IHZ FMZGZJZ EGN[[GZIQ
IMMN ZZ [I IHGQJZ M[M [EM IGNJFGIIM MQJ MZ [FQGHMH EGQIHGFQF
IMMZ ZF QQ MGII[ NZJ [[H IG[ZHGZF[ NEN IHI QZHG[ZZ EGH[HGQ[N
IMMF FZ QJ ZG[JE ZNN [JI IGENFGIJ[ FMN IHE J[ZGFZH IGF[IGJJZ
IMM[ FI QJ [GFIZ FNJ QMF MNJGJI[ FHE IHQ EZEGHQI IGEFHGMZQ
IMMQ QZ [Q QGZEH [MZ QEQ ZQQGQH[ [[E MJ EEZG[Q[ MZFGFFM
IMMJ QI [Q JGZME [EH QHI FJZGIQH QFJ IHH INIGNH[ NEEGZJF
IMME J[ [I EGNNI J[M EF[ J[JGMEF JZN NZ IJ[GEQI QMEGHQZ
IMMI JI [I EGFHF JIH E[M EMFGINN EZZ MQ MFGIFF JMQGMFH
IMMH EN [E EGQFE E[Z EQM EIIGZJ[ EJ[ MM NIG[H[ EM[GZHJ
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$!
Table 3
8:'1D# 1'$+5" 5L '9$+,#;A &'(')#* L7(*"B:#"# "7&&'1A "$'$+"$+9" '1# L51 $:# 8:'1D# 1'$+5" L51 ';; '9$+,# L7(*" +( $:# +(,#"$($ -'(. '(* 95();5'$# "'&D;# ]V'(#; !^ '(* $:# +(,#"$($ -'(."]V'(#; 0^> K# *15D $:# L+1"$ IE 1#$71( 5-"#1,'$+5(" L15& :#*)# L7(*" 5;*#1 $:'( EQ &5($:" $5 95($15; L51 -'9.L+;; -+'"> K# 7"# &7$7'; L7(*" '(*+("$+$7$+5('; L7(*" 6+$: '$ ;#'"$ IE 5-"#1,'$+5("> e71 +("$+$7$+5('; '(* &7$7'; L7(* "'&D;#" '1# L1## L15& -'9.L+;; -+'"> K# 95("+*#1#* &5($:;A 1#$71(" L15&
/'(7'1A IMMH $5 m#9#&-#1 EHHN> B:# 5(# &5($: BO-+;; 1'$# +" L15& 3--5$"5( !""59+'$#"> !;; 1#$71(" '1# (#$ 5L L##"> B:# 8:'1D# 1'$+5 +" 9';97;'$#* L51 #'9:D51$L5;+5 L15& $:# 95&D;#$# 1#$71( "#1+#" $:'$ '1# (5$ -'9.L+;;#*>
=#*)# L7(*" 3("$+$7$+5('; L7(*" R7$7'; L7(*"
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( FEI EGFZM EGNF[
R#'( H>HZF H>IHI OH>HIH
R#*+'( H>HZQ H>HMZ H>HIM
R+(+&7& OI>HHH OE>[HH OI>NHH
R'P+&7& E>IMH [>JHH E>IJH
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$"
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$#
Table4
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5-$'+('(';D:'L51#'9:&5($:'(*',#1')#$:#';D:'5,#1$:#&5($:"
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$:+"';D:'L51';;L7(*"56(#*-A$:#95();5'$#51+(,#"$($-'(.#P9;7*+()L7(*5LL7(*"G+(*#PL7(*"G&5(#A&'1.#$L7(*"G'(*&7(+9+D';-5(*L7(*">K#1#)1#""
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L7(*"]*RY^G#b7+$AL7(*"]*Xb7+$A^G'(*95($+(757",'1+'-;#"TL##"
9:'1)#*]Y##^G$:#('$71';;5)5LL##"$+"'""#$"7(*#1&'(')#($p?(]c#,#(7#^rG$:#('$71';;5)5L')#5LL7(*p?(]!)#^rG$:#('$71';;5)5L'""#$"7(*#1&'(')#($p?(]!7&^rG
$:#('$71'
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8/13/2019 Asset Mgnt
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$$
Fig.
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