DWS Global Small Cap Fund - Class S · NASDAQ:SGSCX
DWS Global Small Cap Fund - Class S — DWS Group — D24 DWS Directions (October 2018)
38 slides from DWS Global Small Cap Fund - Class S's conference presentation, October 2018
Slide 1: D24 DWS Directions
Slide 2: Portfolio Construction Direction
PORTFOLIO CONSTRUCTION DIRECTION Michael Earley, JD, CFA Scott Ladner Taylor Anderson, CFA Americas Head of Client Solutions Head of Investments, Senior Portfolio Consultant Horizon Investments, LLC For institutional use and registered representative use only. Not for public viewing or distribution.
Slide 3: Portfolio Construction Direction
PORTFOLIO CONSTRUCTION DIRECTION Michael Earley, JD, CFA Americas Head of Client Solutions For institutional use and registered representative use only. Not for public viewing or distribution. Investment products: No bank guarantee I Not FDIC insured I May lose value.
Slide 4: Enterprise Strategic Asset Allocation
ENTERPRISE STRATEGIC ASSET ALLOCATION Comprehensive and customized _ Highly constrained investors _ Insurance companies Enterprise Establish Assessment Framework _ Pension plans _ Frequently funding a liability _ Multiple objectives STRATEGIC _ Return ASSET _ Income ALLOCATION _ Cash flow _ Solvency
Slide 5: Relative Efficiency Analysis
RELATIVE EFFICIENCY ANALYSIS Return versus volatility compared to yield versus volatility 2.0 Expected Return efficient 1.8 ABS CLOs (>A) Expected Return/Expected Volatility 1.6 Bank Loans 1.4 IG Credit (Short) Tax Muni (Short) 1.2 Govt (Short) MBS CMBS 1.0 Infra Debt Mezz Debt Private Equity Privat
Slide 6: Marginal Analysis
MARGINAL ANALYSIS Impact of reallocating 1% of current portfolio into each asset class 5.0 MARGINAL ANALYSIS 4.0 Private Equity Private Debt _ Used to screen asset classes Intl Equity Change in Expected Return (bps) 3.0 Mezz Debt relative to existing or 2.0 Private RE ILS US Equity reference portfol
Slide 7: Asset Allocation: Traditional efficient frontier
ASSET ALLOCATION Traditional efficient frontier DEMONSTRATES RISK/RETURN TRADEOFF ECONOMIC EFFICIENT FRONTIER _ Most common form of asset allocation analysis Return versus volatility 6.0% _ High level view of risk/reward trade off P10 P09 _ Limited to total return P08 P07 Expected Return (%) 5.0% P0
Slide 8: Asset Allocation: Augmented efficient frontier
ASSET ALLOCATION Augmented efficient frontier DEMONSTRATES RISK/RETURN TRADEOFF ECONOMIC EFFICIENT FRONTIER _ High level view of risk/reward trade off Return versus volatility with maximum yield and return at current risk 6.0% _ Incorporates yield concepts as well _ Optimal portfolios may not lie on
Slide 9: Asset Allocation: Comparative efficient frontiers
ASSET ALLOCATION Comparative efficient frontiers DEMONSTRATES RISK/RETURN TRADEOFF ECONOMIC EFFICIENT FRONTIER _ High level view of risk/reward trade off Return versus volatility with potential allocation solutions 6.0% _ Can show the cost of incorporating constraints _ Provides increased context to
Slide 10: Risk Factors
RISK FACTORS Additional perspectives on portfolio construction Current Solution RISK FACTOR COMPARISON Expected Return Expected Volatility 3.7% 3.7% 3.9% 3.2% Contribution to volatility by asset class Sharpe Ratio 1.00 1.23 Portfolio Yield 2.6% 2.8% Tax-Exempt Muni, 3% Tax-Exempt Muni, 2% VaR 95% -6
Slide 11: Portfolio Construction Direction
PORTFOLIO CONSTRUCTION DIRECTION Scott Ladner Head of Investments, Horizon Investments, LLC For institutional use and registered representative use only. Not for public viewing or distribution. Investment products: No bank guarantee I Not FDIC insured I May lose value.
Slide 12: Why goals-based?
Why goals-based? While diversification and risk management are critical components of investment management, the goals-based approach and the traditional approach differ greatly in how advice is delivered and product selected. Some highlights of these differences: TRADITIONAL Investing GOALS-BASED I
Slide 13: Investment Journey
INVESTMENT JOURNEY The path investors commonly encounter along their financial journey. wealth curve lifespan BEGIN SPENDING WEALTH BEGIN GROWING WEALTH horizoninvestments. com For institutional use and registered representative use only. Not for public viewing or distribution. Investment products:
Slide 14: Stages of the Journey
STAGES OF THE JOURNEY Horizon has identified three major stages along this journey. BEGIN SPENDING WEALTH wealth curve lifespan BEGIN GROWING WEALTH horizoninvestments. com For institutional use and registered representative use only. Not for public viewing or distribution. Investment products: No b
Slide 15: Wealth Objectives
WEALTH OBJECTIVES The investor seeks a specific outcome for their wealth within these stages. wealth curve lifespan ACCUMULATE PRESERVE DISTRIBUTE horizoninvestments. com For institutional use and registered representative use only. Not for public viewing or distribution. Investment products: No ban
Slide 16: Know the Objective
KNOW THE OBJECTIVE Each stage has a specific objective – or goal. The current stage’s objective always remains the primary focus, even as it builds upon the prior stage’s objective/goal. DISTRIBUTION PRESERVATION PRESERVATION ACCUMULATION ACCUMULATION ACCUMULATION horizoninvestments. com For institu
Slide 17: Identify the Risk
IDENTIFY THE RISK Each stage has its own unique risk, requiring a strategy designed specifically for that risk without losing focus on or compromising the main objective. DISTRIBUTION PRESERVATION PRESERVATION ACCUMULATION ACCUMULATION ACCUMULATION DOMINANT RISK VOLATILITY LOSS LONGEVITY horizoninve
Slide 18: Portfolio Construction Direction
PORTFOLIO CONSTRUCTION DIRECTION Taylor Anderson, CFA Senior Portfolio Consultant For institutional use and registered representative use only. Not for public viewing or distribution. Investment products: No bank guarantee I Not FDIC insured I May lose value.
Slide 19: Portfolio Analysis Tool
PORTFOLIO ANALYSIS TOOL Overview, Assumptions & Limitations The holding, performance and factor analysis is conducted using Bloomberg (function PORT), based on the underlying holdings of Mutual Funds in the Portfolio and Indices in the Benchmark. These underlying holdings are accessed and fed into P
Slide 20: Relative Equity Sector Weights
RELATIVE EQUITY SECTOR WEIGHTS GICS SECTOR EXPOSURES ACTIVE WEIGHTS Percentage (%) Percentage (%) 14 Consumer Discretionary 1.14 12 Consumer Staples -1.78 10 8 Energy 1.60 6 Financials -2.47 4 Health Care -4.71 2 0 Industrials 1.33 Information Technology -1.88 Telecommunication Materials Real Estate
Slide 21: Tracking Error
TRACKING ERROR Portfolio EXAMPLE PORTFOLIO Currency USD Benchmark Default (80 ACWI/20 AGG) Risk Model Bloomberg Risk Model (Global) As-of Date 8/17/2018 Horizon 1 year ACTIVE RISK (%) ACTIVE RISK BREAKDOWN (%) 2.0 2.0 1.18 1.11 0… 0.29 1.09 0.58 0.46 0.66 1.0 0.11 1.0 0.31 0 0 0.4 0.0 Currency Fixed
Slide 22: VaR Comparison
VaR COMPARISON Risk Model Bloomberg Risk Model (Global) Horizon 1 month (22 days)(scaled 1D) Confidence Level 95% Reporting Units Returns (%) VaR COMPARISON (%) 6 5.02 4.87 5 3.58 3.49 4 3 2 1 0 Port Bench Port Bench VaR (MC) VaR (MC) CVaR (MC) CVaR (MC) VaR CVaR For illustrative purposes only. Plea
Slide 23: Scenario Analysis
SCENARIO ANALYSIS RISK MODEL: BLOOMBERG GLOBAL RISK MODEL Scenario analysis 15 11.33 10.91 10 5 3.21 2.71 0 -5 -10 -15 -20 -18.28 -16.9 -25 Port Bench Port Bench Port Bench P&L% P&L% P&L% P&L% P&L% P&L% (Bull Market – SPX Up (Bull Market – SPX Up (Lehman Default – 2008) (Lehman Default – 2008) (US 1
Slide 24: PortfolioIQ
PortfolioIQ _Uncover potential risks using Bloomberg’s industry leading tools _Perform Scenario Analysis and measure Value at Risk _Identify performance drivers _Optimize portfolios For institutional use and registered representative use only. Not for public viewing or distribution. Investment produ
Slide 25: Glossary
GLOSSARY Definitions provided by Bloomberg LP Short Name or Acronym Full Name Definition Closing Price The close price of yesterday (last business day), depending on the user's default settings for today, is returned. If there was no price for that business day, the field will return 'N.A.'. Unlike
Slide 26: Glossary (continued)
GLOSSARY (continued) Definitions provided by Bloomberg LP Short Name or Acronym Full Name Definition Debt/Equity Debt-to- 1) A company's total liabilities divided by total shareholders' equity. This reveals the extent to which owner's equity can absorb creditor claims in the Equity Ratio event of li
Slide 27: Glossary (continued)
GLOSSARY (continued) Definitions provided by Bloomberg LP Short Name or Acronym Full Name Definition Industry Industry Risk Industry Factors The Global model employs a bespoke set of 39 industry factors based on a combination of BICS Factors Level 1, 2, and 3 industry groupings. These industry facto
Slide 28: Glossary (continued)
GLOSSARY (continued) Definitions provided by Bloomberg LP Short Name or Acronym Full Name Definition Style Style Risk Style factors are the type of factors that are related to securities’ fundamental characteristics. Each style factor consists of one or multiple Factors “atomic” descriptors. The adv
Slide 29: Glossary (continued)
GLOSSARY (continued) Definitions provided by Bloomberg LP Short Name or Acronym Full Name Definition Value Value Value is a composite metric that differentiates “rich” and “cheap” stocks. Bloomberg combines fundamental and analyst consensus data to (style factor) calculate this factor. Combination o
Slide 30: Glossary (continued)
GLOSSARY (continued) Definitions provided by Bloomberg LP Short Name or Acronym Full Name Definition Trading Activity Trading Activity Trading Activity is a turnover based measure. Bloomberg focuses on turnover which is trading volume normalized by shares outstanding. (style factor) This indirectly
Slide 31: Glossary (continued)
GLOSSARY (continued) Definitions provided by Bloomberg LP Short Name or Acronym Full Name Definition Volatility Volatility Volatility differentiates more volatile stocks and less volatile ones by quantifying “volatile” from several different angles. Combination of the (style factor) following descri
Slide 32: Glossary (continued)
GLOSSARY (continued) Definitions provided by Bloomberg LP Short Name or Acronym Full Name Definition Leverage Leverage Leverage is a composite metric to gauge a firm’s level of leverage. Combination of the following descriptors: (style factor) _ Book Leverage (34%) _ Market Leverage (33%) _ Debt to
Slide 33: Glossary (continued)
GLOSSARY (continued) Definitions provided by Bloomberg LP Short Name or Acronym Full Name Definition Spread Spread Risk Measures risk from all Bloomberg spread factors and is expressed in standard deviation of % return. Factors (fixed- income factor) VaR Value at Risk Measured as a % of market value
Slide 34: Glossary (continued)
GLOSSARY (continued) Definitions provided by Bloomberg LP Short Name or Acronym Full Name Definition Scenario Analysis The process of estimating the expected value of a portfolio after a given period of time, assuming specific changes in the values of the portfolio's securities or key factors that w
Slide 35: Glossary (continued)
GLOSSARY (continued) Definitions provided by Bloomberg LP Short Name or Acronym Full Name Definition Global Equity Fundamental The model employs a multiple factor modeling approach, which allows a responsive yet stable assessment of major risk factors in the Risk Model Global equity markets. The bro
Slide 36: Glossary (continued)
GLOSSARY (continued) Definitions provided by Bloomberg LP Short Name or Acronym Full Name Definition Fixed Income Risk Model The Bloomberg fixed income model covers sovereign, agency (quasi government) and corporate bonds in both investment and high yield grades denominated in 38 currencies. Traditi
Slide 37: Glossary (continued)
GLOSSARY (continued) Definitions provided by Bloomberg LP Short Name or Acronym Full Name Definition Bloomberg Global The Bloomberg Global Risk Model is built upon the second-generation Bloomberg Multi-Asset Class risk model (MAC2), the successor to the Risk Model first-generation Bloomberg Multi-As
Slide 38: Important Information
IMPORTANT INFORMATION For institutional use and registered representative use only. Not for public viewing or distribution. DWS and ©Bloomberg Finance L.P are not affiliated. Please note that this report does not constitute investment advice, and the information contained in this communication shoul