At the start of the quarter, the U.S. equity markets staged yet another dramatic rally, sending most global equity markets higher and pushing the S&P 500 Index to new all-time highs. Concerns around COVID, stimulus and elections led to an extremely volatile finish to the quarter in risk assets. Despite the volatile finish to the quarter, our income-based Overlay Strategy generated gross income of 1.42% for the quarter, bringing the annualized gross income produced by the Strategy to 2.94% since inception in 2013.
| Overlay Strategy Returns through 9/30/20 | |
| Q3 2020 | Annualized Since Inception (11/1/2013) |
| 1.42% (Gross) | 2.94% (Gross) |
| 1.24% (Net) | 2.17% (Net) |
Net of fees assumes a 0.75% management fee applied monthly.
The Strategy continues to demonstrate the ability to generate positive long-term incremental income to underlying beta sources in a variety of market conditions. For investors that would have been invested in these various strategies since the inception of the firm, below are the illustrative long-term performance results:
ANNUALIZED SEPARATE ACCOUNT ILLUSTRATIVE RETURNS (Net1)
11/01/2013 - 09/30/2020
| 1 YEARS | 3 YEARS | 5 YEARS | Inception to Date | |
| Large Cap Equity Strategy | 16.45% | 11.22% | 15.59% | 14.14% |
| S&P 500 Index | 15.15% | 12.28% | 14.15% | 12.11% |
| Small Cap Equity Strategy | -7.01% | -1.27% | 8.57% | 7.96% |
| S&P 600 Index | -8.32% | -0.33% | 7.20% | 6.04% |
| Foreign Equity Strategy | -1.46% | 0.93% | 6.65% | 6.14% |
| MSCI ACWI ex US | 3.00% | 1.16% | 6.23% | 2.68% |
| Core Bond Strategy | 7.40% | 8.60% | 4.68% | 5.82% |
| Bbg Barc US Agg Index | 6.98% | 5.24% | 4.18% | 3.90% |
| Municipal Bond Strategy | 5.62% | 3.45% | 5.24% | 6.15% |
| Bbg Barc Muni Bond Index | 4.09% | 4.28% | 3.84% | 4.25% |
1Net of fees assumes a 0.75% management fee applied monthly. These returns are illustrative, hypothetical numbers representative of two actual return streams (Liquid Strategies Overlay and the underlying index ETF). The numbers illustrate what would have happened had we taken the underlying index ETF returns and added Liquid Strategy Overlay returns to them. Source: Morningstar, Liquid Strategies.
OVERLAY STRATEGY ANNUALIZED PERFORMANCE
11/01/2013-09/30/2020
| 1 YEAR | 3 YEARS | 5 YEARS | Inception to Date | |
| Overlay Strategy (Gross) | 2.39% | 0.26% | 2.41% | 2.94% |
| Overlay Strategy (Net) | 1.63% | -0.48% | 1.65% | 2.17% |
Net of fees assumes a 0.75% management fee applied monthly.
*Hypothetical/Illustrative performance is not an indicator of future actual results. The results reflect performance of a strategy not offered to investors during the time indicated in the analysis and do not represent returns that any investor actually attained. Hypothetical/Illustrative results are calculated by the retroactive application of the Overlay strategy constructed on the basis of historical data combined with other existing independently-managed ETFs and based on assumptions integral to this presentation which may or may not be testable and are subject to losses. General assumptions include: The manager would have been able to purchase securities in a single portfolio with similar characteristics to the Overlay Strategy and the Index ETFs recommended by the illustration, and the markets were sufficiently liquid to permit all trading. Indexes used for comparative purposes cannot be traded, however there are securities, funds, and similar investments that can be purchased to obtain similar results and include no fees. Changes in these assumptions may have a material impact on the hypothetical returns presented. No representations and warranties are made as to the reasonableness of the assumptions. This information is provided for illustrative purposes only. Actual performance may differ significantly from hypothetical/illustrative performance. Source: Morningstar, Bloomberg, L.P., Liquid Strategies.
