Performance of sustainability portfolios versus unfiltered benchmarks
|Macroclimate Global Equity Portfolio SUSTAINABLE
|Macroclimate Global Equity Portfolio UNFILTERED
|MSCI All Country World Index
|Macroclimate Balanced 60/40 Portfolio (net fees)
|1 Year Treasury Index
As of June 30, 2019. Annualized returns for Macroclimate Balanced Portfolio — 60% equities / 40% fixed income — are net fund expenses and advisory fees; returns for others are net fund expenses but before advisory fees. For returns net expenses and advisory fees click here.
ABOUT OUR BENCHMARKS
MSCI All Country World Index (ACWI) is the benchmark for Macroclimate Global Equity Portfolios. We provide returns for both Macroclimate Global Equity (SUSTAINABLE) and Macroclimate Global Equity (UNFILTERED). The Sustainable version was enhanced in March 2016 to exclude or underweight carbon-intensive companies; the Unfiltered version does not exclude or underweight companies based on carbon-intensity or other sustainability factors, and serves as a benchmark only. Returns for Macroclimate portfolios are gross total returns and advisory fees but net fund expenses. (“Gross” means “before”; “net” means “after”.) For comparison of Macroclimate Global Equity Portfolio performance net both advisory fees and expenses versus MSCI ACWI, click here.
For your reference, we also provide returns for 1-year US Treasury Index and Macroclimate® Balanced Growth Portfolio (60% Low Carbon Equity / 40% Fixed Income). All indexes, including ACWI, are gross total returns, advisory fees and other expenses associated with an investment in a fund. Investors cannot invest directly in an index.
ABOUT MACROCLIMATE PORTFOLIOS
Macroclimate Global Equity Portfolio (Sustainable) is a composite of three funds: DFA US Sustainability Core Equity 1 Portfolio, DFA International Sustainability Core Equity 1 Portfolio, and DFA Emerging Markets Core Equity Portfolio (Sustainability as of March 2018). Macroclimate Global Equity Portfolio (Unfiltered) is a composite of three funds: DFA US Core Equity 1 Portfolio, DFA International Core Equity 1 Portfolio, and DFA Emerging Markets Core Equity Portfolio.
Performance results are not based on a portfolio or accounts that were actually managed by Macroclimate, do not represent actual trading, and may not reflect the impact that material economic and market factors might have had on Macroclimate’s decision-making if Macroclimate were actually managing clients’ money. Rather, they reflect the results achieved by means of the retroactive application of a model designed with the benefit of hindsight.
The hypothetical back-tested model is composed of specific DFA funds Macroclimate currently recommends as part of its global equity strategy (as noted above), weighted by a proprietary investment allocation methodology. Furthermore, please note that: 1) the volatility of the MSCI ACWI index may be materially different from that of the model portfolio; 2) Macroclimate’s clients may have utilized different funds and may have had investment results that were materially different from those portrayed in the model; and 3) Macroclimate began offering the Global Equity Portfolio after the performance period depicted above.
The comparison of the model performance to a single market index like MSCI ACWI is imperfect. Due to the differences between the model portfolio’s investment strategy and the methodology used to compute most indices, we caution potential investors that no indices are directly comparable to the results of a model portfolio.