Short Duration Income Portfolio
Share Class :
 
MPLDX CUSIP: 617440862
Short Duration Income Portfolio
MPLDX CUSIP: 617440862
Share Class :

Short Duration Income Portfolio

SHARE CLASS :
MPLDX CUSIP: 617440862
 
 
 
 
Investment Approach

The Short Duration Income Portfolio combines our top-down macro and asset allocation views with rigorous bottom-up fundamental and quantitative analysis to guide our active management decisions.

 
 
 
Pricing & Performance

Performance was positively impacted due to the receipt of proceeds from the settlement of a class action suit. For further details, refer to the disclosures below.

Performance data quoted represents past performance, which is no guarantee of future results, and current performance may be lower or higher than the figures shown. For the most recent month-end performance figures, please select the "month" timeframe or call 1-800-548-7786. Investment returns and principal value will fluctuate and fund shares, when redeemed, may be worth more or less than their original cost. For additional important information, please click here.

As of 07/31/2019

As of 08/23/2019

As of 07/31/2019

As of 08/23/2019


Performance of $10,000 invested
Performance of $10,000 invested

    
Past performance is not indicative of future results.
 
 
Average Annual Total Returns As of 07/31/2019 As of 06/30/2019
1 YR 3 YRS 5 YRS 10 YRS Since Inception
MPLDX 3.74 3.57 2.92 2.65 3.10
Bloomberg Barclays 1-3 Year U.S. Government/Credit Index (%) 3.91 1.29 1.22 1.20 3.71
ICE BofAML 1-Year U.S. Treasury Note Index (%) 2.91 1.45 1.03 0.76 --
Lipper Category Average (%) 3.93 1.99 1.61 2.26 --
Morningstar Category Average (%) 4.13 1.93 1.65 2.32 --
1 YR 3 YRS 5 YRS 10 YRS Since Inception
MPLDX 3.84 3.64 2.90 2.73 3.11
Bloomberg Barclays 1-3 Year U.S. Government/Credit Index (%) 4.02 1.31 1.23 1.23 3.73
ICE BofAML 1-Year U.S. Treasury Note Index (%) 2.98 1.43 1.02 0.76 --
Lipper Category Average (%) 4.04 2.06 1.55 2.43 --
Morningstar Category Average (%) 4.19 1.97 1.60 2.48 --
2018 2017 2016 2015 2014 2013 2012
MPLDX 2.11 1.94 8.37 -0.08 1.37 1.40 3.33
Bloomberg Barclays 1-3 Year U.S. Government/Credit Index (%) 1.58 0.45 0.87 0.57 0.64 0.37 0.51
ICE BofAML 1-Year U.S. Treasury Note Index (%) 1.86 0.57 0.76 0.15 0.18 0.26 0.24
Lipper Category Average (%) 1.03 1.68 2.00 0.24 0.70 0.55 3.54
Morningstar Category Average (%) 0.92 1.73 2.08 0.19 1.07 0.45 3.67
Average Annual Total Returns
As of 07/31/2019
TIMEFRAME MPLDX Bloomberg Barclays 1-3 Year U.S. Government/Credit Index (%) ICE BofAML 1-Year U.S. Treasury Note Index (%) Lipper Category Average (%) Morningstar Category Average (%)
1 Yr 3.74 3.91 2.91 3.93 4.13
3 Yrs 3.57 1.29 1.45 1.99 1.93
5 Yrs 2.92 1.22 1.03 1.61 1.65
10 Yrs 2.65 1.20 0.76 2.26 2.32
Since Inception 3.10 3.71 -- -- --
As of 06/30/2019
TIMEFRAME MPLDX Bloomberg Barclays 1-3 Year U.S. Government/Credit Index (%) ICE BofAML 1-Year U.S. Treasury Note Index (%) Lipper Category Average (%) Morningstar Category Average (%)
1 Yr 3.84 4.02 2.98 4.04 4.19
3 Yrs 3.64 1.31 1.43 2.06 1.97
5 Yrs 2.90 1.23 1.02 1.55 1.60
10 Yrs 2.73 1.23 0.76 2.43 2.48
Since Inception 3.11 3.73 -- -- --
TIMEFRAME MPLDX Bloomberg Barclays 1-3 Year U.S. Government/Credit Index (%) ICE BofAML 1-Year U.S. Treasury Note Index (%) Lipper Category Average (%) Morningstar Category Average (%)
2018 2.11 1.58 1.86 1.03 0.92
2017 1.94 0.45 0.57 1.68 1.73
2016 8.37 0.87 0.76 2.00 2.08
2015 -0.08 0.57 0.15 0.24 0.19
2014 1.37 0.64 0.18 0.70 1.07
2013 1.40 0.37 0.26 0.55 0.45
2012 3.33 0.51 0.24 3.54 3.67
Past performance is not indicative of future results. The Portfolio's calendar year returns do not include the deduction of any applicable sales charges.
 
 
Risk/Return Statistics

TIMEFRAME:
    MPLDX
Alpha (%) 2.09
Beta (vs. benchmark) 0.47
Excess return (%) 2.01
Information ratio 1.04
R squared 0.05
Sharpe ratio 1.13
Standard deviation (%) 1.92
    MPLDX
Alpha (%) 1.71
Beta (vs. benchmark) 0.57
Excess return (%) 1.47
Information ratio 0.70
R squared 0.05
Sharpe ratio 0.96
Standard deviation (%) 2.11
Past performance is not indicative of future results.
 
 
Distributions
 
Record Date Ex-Date Payable Date Net Investment Income ($ per share) Long-Term Capital Gains ($ per share) Short-Term Capital Gains ($ per share) Total Capital Gains ($ per share)
08/01/2019 08/02/2019 08/02/2019 0.017500 0.000000 0.000000 0.000000
07/01/2019 07/02/2019 07/02/2019 0.017500 0.000000 0.000000 0.000000
06/03/2019 06/04/2019 06/04/2019 0.017500 0.000000 0.000000 0.000000
05/01/2019 05/02/2019 05/02/2019 0.017500 0.000000 0.000000 0.000000
04/01/2019 04/02/2019 04/02/2019 0.015000 0.000000 0.000000 0.000000
03/01/2019 03/04/2019 03/04/2019 0.015000 0.000000 0.000000 0.000000
02/01/2019 02/04/2019 02/04/2019 0.015000 0.000000 0.000000 0.000000
12/10/2018 12/11/2018 12/11/2018 0.027100 0.000000 0.000000 0.000000
12/03/2018 12/04/2018 12/04/2018 0.015000 0.000000 0.000000 0.000000
11/01/2018 11/02/2018 11/02/2018 0.015000 0.000000 0.000000 0.000000
10/01/2018 10/02/2018 10/02/2018 0.015000 0.000000 0.000000 0.000000
09/04/2018 09/05/2018 09/05/2018 0.015000 0.000000 0.000000 0.000000
08/01/2018 08/02/2018 08/02/2018 0.015000 0.000000 0.000000 0.000000
07/02/2018 07/03/2018 07/03/2018 0.015000 0.000000 0.000000 0.000000
06/01/2018 06/04/2018 06/04/2018 0.012500 0.000000 0.000000 0.000000
05/01/2018 05/02/2018 05/02/2018 0.012500 0.000000 0.000000 0.000000
04/02/2018 04/03/2018 04/03/2018 0.012500 0.000000 0.000000 0.000000
03/01/2018 03/02/2018 03/02/2018 0.012500 0.000000 0.000000 0.000000
02/01/2018 02/02/2018 02/02/2018 0.012500 0.000000 0.000000 0.000000
12/08/2017 12/11/2017 12/11/2017 0.018725 0.000000 0.000000 0.000000
12/01/2017 12/04/2017 12/04/2017 0.012500 0.000000 0.000000 0.000000
11/01/2017 11/02/2017 11/02/2017 0.012500 0.000000 0.000000 0.000000
10/02/2017 10/03/2017 10/03/2017 0.012500 0.000000 0.000000 0.000000
09/01/2017 09/05/2017 09/05/2017 0.012500 0.000000 0.000000 0.000000
Record Date Ex-Date Payable Date Net Investment Income ($ per share) Long-Term Capital Gains ($ per share) Short-Term Capital Gains ($ per share) Total Capital Gains ($ per share)
08/01/2019 08/02/2019 08/02/2019 0.017500 0.000000 0.000000 0.000000
07/01/2019 07/02/2019 07/02/2019 0.017500 0.000000 0.000000 0.000000
06/03/2019 06/04/2019 06/04/2019 0.017500 0.000000 0.000000 0.000000
05/01/2019 05/02/2019 05/02/2019 0.017500 0.000000 0.000000 0.000000
04/01/2019 04/02/2019 04/02/2019 0.015000 0.000000 0.000000 0.000000
03/01/2019 03/04/2019 03/04/2019 0.015000 0.000000 0.000000 0.000000
02/01/2019 02/04/2019 02/04/2019 0.015000 0.000000 0.000000 0.000000
12/10/2018 12/11/2018 12/11/2018 0.027100 0.000000 0.000000 0.000000
12/03/2018 12/04/2018 12/04/2018 0.015000 0.000000 0.000000 0.000000
11/01/2018 11/02/2018 11/02/2018 0.015000 0.000000 0.000000 0.000000
10/01/2018 10/02/2018 10/02/2018 0.015000 0.000000 0.000000 0.000000
09/04/2018 09/05/2018 09/05/2018 0.015000 0.000000 0.000000 0.000000
08/01/2018 08/02/2018 08/02/2018 0.015000 0.000000 0.000000 0.000000
07/02/2018 07/03/2018 07/03/2018 0.015000 0.000000 0.000000 0.000000
06/01/2018 06/04/2018 06/04/2018 0.012500 0.000000 0.000000 0.000000
05/01/2018 05/02/2018 05/02/2018 0.012500 0.000000 0.000000 0.000000
04/02/2018 04/03/2018 04/03/2018 0.012500 0.000000 0.000000 0.000000
03/01/2018 03/02/2018 03/02/2018 0.012500 0.000000 0.000000 0.000000
02/01/2018 02/02/2018 02/02/2018 0.012500 0.000000 0.000000 0.000000
12/08/2017 12/11/2017 12/11/2017 0.018725 0.000000 0.000000 0.000000
12/01/2017 12/04/2017 12/04/2017 0.012500 0.000000 0.000000 0.000000
11/01/2017 11/02/2017 11/02/2017 0.012500 0.000000 0.000000 0.000000
10/02/2017 10/03/2017 10/03/2017 0.012500 0.000000 0.000000 0.000000
09/01/2017 09/05/2017 09/05/2017 0.012500 0.000000 0.000000 0.000000
Historical Yields (Subsidized)

As of 07/31/2019

 
Past performance is not indicative of future results.
 
 
 
Composition As of 06/30/2019
Portfolio
Corporates 73.50
Industrial 40.03
Utility 3.56
Financial Institutions 29.91
Securitized 24.03
RMBS 13.71
CMBS 0.41
ABS 9.92
Governments 2.10
Cash & equivalents 0.38
  Fund
AAA 11.67
AA 20.86
A 29.26
BBB 28.12
Not Rated 9.72
Cash 0.38
Total 100.00
  Fund
Less than 1 Year 41.11
1 to 3 Years 58.77
3 to 5 Years 0.12
Total 100.00


Holdings As of 07/31/2019
Fund
United States Treasury 4.57
Vericrest Opportunity Loan Transferee Vo 2.05
Oesterreichische Kontrollbank AG 1.97
Caterpillar Financial Services Corporati 1.58
Ibm 1.51
CVS Caremark Corp 1.39
Goldman Sachs Group Inc/the 1.36
Nissan Motor Acceptance Corp 1.05
AT&T Inc 1.02
Ford Motor Credit Company Llc 1.01
Total 17.51


Portfolio Characteristics
Fund
Number of holdings 355
Duration (years) 1.00
Turnover (%) 40
Portfolio turnover is sourced from the fund's current prospectus. View current prospectus for the as of date.
 
 
Resources
Product Literature
 
 
Prospectus & Reports
SAI
 
 
 
 
 

Lipper Fund Awards: Source: Lipper Inc. The Lipper Fund Awards, granted annually, highlight funds and fund companies that have excelled in delivering consistently strong risk-adjusted performance relative to their peers. The Lipper Fund Awards are based on the Lipper Leader for Consistent Return rating, which is a risk-adjusted performance measure calculated over 36, 60 and 120 months. The fund with the highest Lipper Leader for Consistent Return (Effective Return) value in each eligible classification wins the Lipper Fund Award. Asset Class fund groups with at least five equity, five bond, or three mixed-asset portfolios are eligible for a group award. The lowest average decile rank of the three years' Consistent Return measure of the eligible funds per asset class and group will determine the asset class group award winner. In cases of identical results, the lower average percentile rank will determine the winner. For more information, see www.lipperfundawards.com. Although Lipper makes reasonable efforts to ensure the accuracy and reliability of the data contained herein, the accuracy is not guaranteed by Lipper. Other share classes may have different performance and expense characteristics. From Refinitiv Lipper Awards, © 2019 Refinitiv. All rights reserved. Used by permission and protected by the Copyright Laws of the United States. The printing, copying, redistribution, or retransmission of this Content without express written permission is prohibited.

During calendar years 2016, 2018 and 2019, the MSIFT Short Duration Income Portfolio received monies related to certain nonrecurring litigation settlements. If these monies were not received, any period returns which include these settlement monies would have been lower. For example, the 2019 YTD returns for Class I Shares were positively impacted by approximately 0.13%, the 2018 calendar year returns by approximately 0.25% and the 2016 calendar year returns by approximately 6.52%. The returns on the other Share Classes would also have been similarly impacted. These were one-time settlements, and as a result, the impact on the net asset value and consequently the performance will not likely be repeated in the future. Rankings for the fund were more favorable due to these settlements and ratings may also have been positively impacted. Please call the toll free number for additional information.

Class C shares include deferred sales charge of 1.00% which declines to zero after first year.

Where the net expense ratio is lower than the gross expense ratio, certain fees have been waived and/ or expenses reimbursed. These waivers and/or reimbursements will continue for at least one year from the date of the applicable fund’s current prospectus (unless otherwise noted in the applicable prospectus) or until such time as the fund's Board of Trustees acts to discontinue all or a portion of such waivers and/or reimbursements. Absent such waivers and/or reimbursements, returns would have been lower. Expenses are based on the fund's current prospectus.

Class IS shares, are being offered only to eligible investors who must meet a minimum initial investment of $10,000,000 or be a defined contribution, defined benefit or other employer sponsored employee benefit plan, whether or not qualified under the Internal Revenue Code of 1986, as amended (the "Code"), in each case subject to the discretion of the Portfolio's investment advisor.

On January 11, 2016, Morgan Stanley ("MS") Limited Duration U.S. Government Trust merged into Morgan Stanley Institutional Fund Trust (“MSIFT”) Limited Duration Portfolio. In conjunction with the merger, MSIFT Limited Duration Portfolio (the Portfolio) was renamed MSIFT Short Duration Income Portfolio and changed its principal investment policy such that under normal circumstances, it seeks  to achieve its investment objective of above-average total return over a market cycle of three to five years by investing substantially all of its assets in investment grade fixed income securities denominated in US dollars, while seeking to maintain an overall duration of its portfolio of approximately one year or less. In addition, the Portfolio changed its benchmark from the Bloomberg Barclays 1-3 Year U.S. Government/Credit Index to the Bank of America/Merrill Lynch 1-Year U.S. Treasury Note Index.

As of the close of business on January 6, 2016, the Portfolio is suspended the continuous offering of its Class C shares and thus, no further purchases of Class C shares of the Portfolio may be made by investors. Existing Class C shareholders may continue to invest through reinvestment of dividends and distributions.

Growth of Investment illustration is based on an initial investment of $10,000 made since fund inception, assumes reinvestment of dividends and capital gains and application of fees, but does not include sales charges. Performance would have been lower if sales charges had been included. Results are hypothetical.

Subject to change daily. Fund information, Portfolio Composition and Characteristics are provided for informational purposes only, and should not be deemed as a recommendation to buy or sell any security or securities in the region presented. 

Returns are net of fees and assume the reinvestment of all dividends and income. Returns for less than one year are cumulative (not annualized). Performance of other share classes will vary.

Please keep in mind that double-digit returns are highly unusual and cannot be sustained. Investors should also be aware that these returns were primarily achieved during favorable market conditions. 

This material is a general communication, which is not impartial and all information provided has been prepared solely for informational and educational purposes and does not constitute an offer or a recommendation to buy or sell any particular security or to adopt any specific investment strategy. The information herein has not been based on a consideration of any individual investor circumstances and is not investment advice, nor should it be construed in any way as tax, accounting, legal or regulatory advice. To that end, investors should seek independent legal and financial advice, including advice as to tax consequences, before making any investment decision.

DEFINITIONS
SEC yield is a measure of the income generated by the portfolio's underlying asset over the trailing 30 days, relative to the asset base of the portfolio itself. The SEC 30-Day yield - Subsidized (Sub.) reflects current fee waivers in effect. Absent such fee waivers, the yield would have been lower. The SEC 30-Day yield- Unsubsidized (Unsub.) does not reflect the fee waivers currently in effect.

PORTFOLIO CHARACTERISTICS DEFINITIONS 
The Net Asset Value (NAV) per share is determined by dividing the value of the fund's portfolio securities, cash and other assets, less all liabilities, by the total number of common shares outstanding. The common share market price is the price the market is willing to pay for shares of the fund at a given time. Number of holdings provided are a typical range, not a maximum number. The portfolio may exceed this from time to time due to market conditions and outstanding trades. Duration is a measure of the sensitivity of the price (the value of principal) of a fixed-income investment to a change in interest rates. Duration is expressed as a number of years. Rising interest rates mean falling bond prices, while declining interest rates mean rising bond prices. 

Turnover is sourced from the fund's current prospectus.

Quality distribution refers to the rating given by a Nationally Recognized Statistical Rating Organization ("NRSRO") and is the rating firms’ subjective opinion concerning the ability and willingness of an issuer to meet its financial obligations in full and on time. Ratings apply only to portfolio holdings and do not remove the Fund’s market risk. Quality distribution data for securities is sourced from Fitch, Moody’s and S&P. Where the credit ratings for individual securities differ between the three ratings agencies, the ‘highest’ rating is applied. The rating of credit default swaps is based on the ‘highest’ rating of the underlying reference bond. ‘Cash’ includes investments in short term instruments, including investments in Morgan Stanley liquidity funds.

RISK/RETURN DEFINITIONS 
Excess Return 
or value added (positive or negative) is the portfolio’s return relative to the return of the benchmark. Alpha (Jensen's) is a risk-adjusted performance measure that represents the average return on a portfolio or investment above or below that predicted by the capital asset pricing model (CAPM) given the portfolio's or investment's beta and the average market return. Prior to 6/30/2018 Alpha was calculated as the excess return of the fund versus benchmark. Beta is a measure of the relative volatility of a security or portfolio to the market's upward or downward movements. A beta greater than 1.0 identifies an issue or fund that will move more than the market, while a beta less than 1.0 identifies an issue or fund that will move less than the market. The Beta of the Market is always equal to 1. Information ratio is the portfolio’s alpha or excess return per unit of risk, as measured by tracking error, versus the portfolio’s benchmark. R squared measures how well an investment’s returns correlate to an index. An R squared of 100 means the portfolio performance is 100% correlated to the index’s, whereas a low r-squared means that the portfolio performance is less correlated to the index’s. Sharpe ratio is a risk-adjusted measure calculated as the ratio of excess return to standard deviation. The Sharpe ratio determines reward per unit of risk. The higher the Sharpe ratio, the better the historical risk-adjusted performance. Standard deviation measures how widely individual performance returns, within a performance series, are dispersed from the average or mean value.

RISK CONSIDERATIONS


There is no assurance that a Portfolio will achieve its investment objective. Portfolios are subject to market risk, which is the possibility that the market values of securities owned by the Portfolio will decline and that the value of Portfolio shares may therefore be less than what you paid for them. Accordingly, you can lose money investing in this Portfolio. Please be aware that this Portfolio may be subject to certain additional risks. Fixed-income securities are subject to the ability of an issuer to make timely principal and interest payments (credit risk), changes in interest rates (interest-rate risk), the creditworthiness of the issuer and general market liquidity (market risk). In the current rising interest-rate environment, bond prices may fall and may result in periods of volatility and increased portfolio redemptions. Longer-term securities may be more sensitive to interest rate changes. In a declining interest-rate environment, the portfolio may generate less income. Mortgage- and asset-backed securities are sensitive to early prepayment risk and a higher risk of default and may be hard to value and difficult to sell (liquidity risk). They are also subject to credit, market and interest rate risks. Foreign securities are subject to currency, political, economic and market risks. The risks of investing in emerging market countries are greater than risks associated with investments in foreign developed countries. Derivative instruments may disproportionately increase losses and have a significant impact on performance. They also may be subject to counterparty, liquidity, valuation, correlation and market risks. Illiquid securities may be more difficult to sell and value than publicly traded securities (liquidity risk). Certain U.S. government securities purchased by the Strategy, such as those issued by Fannie Mae and Freddie Mac, are not backed by the full faith and credit of the U.S. It is possible that these issuers will not have the funds to meet their payment obligations in the future.

Morningstar
Rankings:
 The percentile rankings are based on the average annual total returns for the periods stated and do not include any sales charges, but do include reinvestment of dividends and capital gains and Rule 12b-1 fees. The highest (or most favorable) percentile rank is 1 and the lowest (or least favorable) percentile rank is 100. The top-performing fund in a category will always receive a rank of 1.

Ratings: The Morningstar Rating™ for funds, or "star rating", is calculated for managed products (including mutual funds, variable annuity and variable life subaccounts, exchange-traded funds, closed-end funds, and separate accounts) with at least a three-year history. Exchange-traded funds and open-ended mutual funds are considered a single population for comparative purposes. It is calculated based on a Morningstar Risk-Adjusted Return measure that accounts for variation in a managed product's monthly excess performance, placing more emphasis on downward variations and rewarding consistent performance. The top 10% of products in each product category receive 5 stars, the next 22.5% receive 4 stars, the next 35% receive 3 stars, the next 22.5% receive 2 stars, and the bottom 10% receive 1 star. The Overall Morningstar Rating for a managed product is derived from a weighted average of the performance figures associated with its three-, five-, and 10-year (if applicable) Morningstar Rating metrics. The weights are: 100% three-year rating for 36-59 months of total returns, 60% five-year rating/40% three-year rating for 60-119 months of total returns, and 50% 10-year rating/30% five-year rating/20% three-year rating for 120 or more months of total returns. While the 10-year overall star rating formula seems to give the most weight to the 10-year period, the most recent three-year period actually has the greatest impact because it is included in all three rating periods. Ratings do not take into account sales loads.

© 2019 Morningstar. All Rights Reserved. The information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information. Past performance is no guarantee of future results.

OTHER CONSIDERATIONS
The Bloomberg Barclays 1-3 Year U.S Government/Credit Index tracks the securities in the 1-3 year maturity range of the Bloomberg Barclays U.S. Government/Credit Index which tracks investment-grade (BBB-/Baa3) or higher publicly traded fixed rate U.S. government, U.S. agency, and corporate issues.

The ICE BofAML 1-Year U.S. Treasury Note Index is an unmanaged index tracking U.S. government securities. The index is unmanaged and does not include any expenses, fees or sales charges. It is not possible to invest directly in an index.

Indexes are unmanaged and do not include any expenses, fees or sales charges. It is not possible to invest directly in an index.

Effective August 1, 2019, the Fund’s primary benchmark index will change to the Bloomberg Barclays 1-3 Year U.S. Government/Credit Index. In addition, the Fund’s average duration target will change from 1 year or less to 3 years or less. See prospectus for details.

Please consider the investment objective, risks, charges and expenses of the fund carefully before investing. The prospectus contains this and other information about the fund. To obtain a prospectus, download one at morganstanley.com/im or call 1-800-548-7786. Please read the prospectus carefully before investing. 

Morgan Stanley Investment Management (MSIM) is the asset management division of Morgan Stanley.

 
 

WAM is the weighted average maturity of the portfolio. The WAM calculation utilizes the interest-rate reset date, rather than a security's stated final maturity, for variable- and floating- rate securities. By looking to a portfolio's interest rate reset schedule in lieu of final maturity dates, the WAM measure effectively captures a fund's exposure to interest rate movements and the potential price impact resulting from interest rate movements.

 

WAL is the weighted average life of the portfolio. The WAL calculation utilizes a security's stated final maturity date or, when relevant, the date of the next demand feature when the fund may receive payment of principal and interest (such as a put feature). Accordingly, WAL reflects how a portfolio would react to deteriorating credit (widening spreads) or tightening liquidity conditions.

 

Tracking error and information ratio are calculated using the Portfolio's Blended Index (added October 2, 2013), as this is a better representation of the Portfolio's global multi-asset strategy. The investment team manages the Portfolio relative to this Blended Index.

 

Excess return versus Custom Benchmark is calculated using the Portfolio's Blended Index based on the period since it was added as a benchmark on October 2, 2013.

 

NTM = Next Twelve Months

 

LTM = Last Twelve Months

 

Because the Portfolio had not commenced operations as of the most recent fiscal year end, no portfolio turnover rate is available for the Portfolio.

 

The Reorganization occurred on January 6, 2015. The inception date reflects the inception date of the Private Fund.

 

Global equities is represented by the MSCI All Country World Index.

 

Net exposure % calculated as [(MV of long cash security and derivative positions)-(absolute value of MV in short derivative positions)]/(portfolio MV)

 

Gross exposure % calculated as [(MV of long cash security and derivative positions)+(absolute value of MV in short derivative positions)]/(portfolio MV).

 

Fixed income net and gross exposure is duration adjusted (U.S. Treasury 10-Year equivalents)

 

Security ratings disclosed above have been obtained from Standard & Poor's Ratings Group ("S&P"). S&P's credit ratings express its opinion about the ability and willingness of an issuer to meet its financial obligations in full and on time.'AAA' is the highest rating. Any rating below 'BBB-' rating is considered non-investment grade. Ratings are relative and subjective and are not absolute standards of quality. Ratings apply only to the underlying holdings of the portfolio and does not remove market risk. "NR" or "Not Rated" indicates that no rating has been requested, that there is insufficient information on which to base a rating, or that S&P does not rate a particular obligation as a matter of policy. Futures are not rated.

 

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