Cash is represented by US 3-month Government Bond TR, measuring theUS dollar-denominated active 3-Month, fixed-rate, nominal debt issues by the US Treasury. Commodities asset class contains the index composites — GSCI Precious Metals Index, GSCI Energy Index, GSCI Industrial Metals Index, and GSCI Agricultural Index — measuring investment performance in different markets, namely precious metals (e.g., gold, silver), energy commodity (e.g., oil, coal), industrial metals (e.g., copper, iron ore), and agricultural commodity (i.e., soy, coffee) respectively. Reuters/Jeffries CRB Spot Price Index, the TR/CC CRB Excess Return Index, an arithmetic average of commodity futures prices with monthly rebalancing, is used for supplemental historical data. Emerging Market Sovereign is composed of bonds issued by countries with developing economies, as well as by corporations within those nations. It does not include borrowing from government, supranational organizations, or private sources. Global Developed Market Equity is composed of MSCI indices capturing large-, mid- and small-cap representation across 23 individual developed market countries, as weighted by the market capitalization of these countries. The composite covers approximately 95% of the free float-adjusted market capitalization in each country. Global Developed Investment Grade Fixed Income is composed of Barclays indices capturing investment-grade debt from twenty different local currency markets. The composite includes fixed-rate treasury, government-related, and investment grade rated corporate and securitized bonds from the developed-market issuers. Local market indices for US, UK and Japan are used for supplemental historical data. Global Emerging Market Equity is composed of MSCI indices capturing large- and mid cap representation across 24 individual emerging market countries. The composite covers approximately 85% of the free float-adjusted market capitalization in each country. Global Emerging Market Fixed Income is composed of Barclays indices measuring performance of fixed-rate local currency emerging markets government debt for 19 different markets across Latin America, EMEA and Asia regions. iBoxx ABF China Govt. Bond, the Markit iBoxx ABF Index comprising local currency debt from China, is used for supplemental historical data. Hedge Funds is composed of investment managers employing different investment styles as characterized by different subcategories – HFRI Equity Long/Short: Positions both long and short in primarily equity and equity derivative securities; HFRI Credit: Positions incorporate fixed income securities; HFRI Event Driven: Positions in companies currently or prospectively involved in wide variety of corporate transactions; HFRI Relative Value: Positions based on a valuation discrepancy between multiple securities; HFRI Multi-Strategy: Positions based on realization of a spread between related yield instruments; HFRI Macro: Positions based on movements in underlying economic variables and their impact on different markets; Barclays Trader CTA Index: The composite performance of established programs (Commodity Trading Advisors) with more than four years of performance history.
Private Equity characteristics are driven by those for Developed Market Small Cap Equities, adjusted for illiquidity, sector concentration, and greater leverage.
Real Estate contains index contains all Equity REITs (US REITs andpublicly-traded real estate companies) not designated as Timber REITs or Infrastructure REITs: NAREIT US REIT Index, NAREIT Canada REIT Index, NAREIT UK REIT Index, NAREIT Switzerland REIT Index, NAREIT Euro-zone REIT Index, NAREIT Japan REIT Index, NAREIT Hong Kong REIT Index, NAREIT Singapore REIT Index, NAREIT Australia REIT Index.
US High Yield Corporate is composed of US dollar-denominated high-yield corporate bonds issued by companies whose country of risk use official G10 currencies. Securities must have a below investment-grade rating and maturities of one or more months.
US Aggregate is composed of US-traded investment grade bonds, including Treasury securities, Government agency bonds, mortgage-backed bonds, corporate bonds, and some foreign bonds traded in the US.
The Barclays Multiverse Bond Index is a broad fixed-rate multicurrency benchmark that measures the global fixed income bond market. The index represents the union of the Global Aggregate Index and the Global High-Yield Index and captures investment grade and high yield securities in all eligible currencies.
The Cisco Visual Networking Index forecast is a measure of the Internet’s growth using analyst projections for broadband connections, video subscribers, mobile connections, and Internet application adoption.
The Citigroup Euro Area Economic Surprise Index is a measure of how economic data compares with consensus expectations of market economists. The index is a gauge of optimism about the economy.
The Euro Stoxx 600 represents large, mid and small cap companies across 17 countries across Europe including: Austria, Belgium, Czech Republic, Denmark, Finland, Germany, Ireland, Italy, Luxembourg, the Netherlands, Norway, Portugal, Spain, Sweden, Switzerland and the United Kingdom.
The Household Debt Service Ratio is the ratio of total required household debt payments to total disposable income published by the US Federal Reserve Board. The Debt Service Ratio is divided into two parts: The Mortgage Debt Service Ratio is the total quarterly required mortgage payments divided by total quarterly disposable personal income. The Consumer Debt Service Ratio is the total quarterly scheduled consumer debt payments divided by the total quarterly disposable personal income.
The MSCI All Country World Index represents 48 developed and emerging equity markets. Index components are weighted by market capitalization.
The MSCI with DM Exposure Index is derived from the MSCI World Index, its parent index. The top-ranked constituents with the highest proportion of revenues derived from Developed markets are selected for the MSCI World with DM Exposure Index. With 650 constituents, the index concentrates on companies with high revenue exposures to developed markets.
The MSCI Emerging Markets Index captures large and mid cap representation across 24 Emerging Markets (EM) countries. With 845 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in each country.
The MSCI Emerging Markets (EM) Latin America Index captures large and mid-cap representation across 5 Emerging Markets (EM) countries in Latin America. With 121 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in each country.
European equities are represented by the MSCI Europe index, which captures large- and mid-cap representation across 15 Developed Markets (DM) countries in Europe. It covers approximately 85% of the free float-adjusted market capitalization across the European Developed Markets equity universe.
The G10 CESI is the Citigroup Economic Surprise Index covering the Group of the G10 countries. It objectively and quantitatively measures economic news. They are calculated as weighted historical standard deviations of data surprises, defined as actual releases vs consensus
The Standard & Poor’s 500 Index is a capitalization-weighted index that includes a representative sample of 500 leading companies in leading industries of the US economy.
Although the S&P 500 focuses on the large-cap segment of the market, with over 80% coverage of US equities, it is also an ideal proxy for the total market.
Uncertainty indices are derived using terms from over 2,000 US newspapers by scanning for language stressing uncertainty around various policy event types. “Non-trade” is a simple average of the following separate indices: Monetary Policy, Fiscal Policy, Taxes, Government Spending, Healthcare, National Security, Entitlements, Regulation, Financial Regulation, Debt and Currency issues.
Adaptive Valuations Strategies is Citi Private Bank’s own strategic asset allocation methodology. It determines the suitable long-term mix of assets for each client’s investment portfolio.
Compound return is the rate of return that represents the cumulative effect that a series of gains or losses have on an original amount of capital over a period of time.
Price-to-book ratio (P/B) compares the capitalization of an individual stock or of an index of stocks to the value of that stock or that index’s combined shareholder capital. It is calculated by dividing the current closing price of the stock by the most recently reported book value per share. A low P/B can indicate a lowly-valued company or index, while a high P/B can indicate high valuation.
The Sharpe ratio is a ratio used to measure risk-adjusted performance. The Sharpe ratio is calculated by subtracting the risk-free rate - such as that of the 10-year US Treasury bond - from the rate of return for a portfolio and dividing the result by the standard deviation of the portfolio returns.
Strategic asset allocation is the process of creating a long-term investment plan by assembling an appropriate mix of equities, fixed income, cash and other investments. It can potentially enhance portfolio returns and help manage risk.
Strategic Return Estimates are Citi Private Bank’s forecast of returns for specific asset classes over a 10-year time horizon. The forecast for each specific asset class is made using a proprietary methodology that is appropriate for that asset class. Equity asset classes are forecast using a proprietary methodology based on the calculation of valuation levels with the assumption these valuation levels revert to their long-term trends over time. Fixed Income asset classes are forecast using a proprietary methodology based on current yield levels. Other asset classes have other specific forecasting methodologies. Please note that hedge funds, private equity, real estate, structured products and managed futures are generally illiquid investments and are subject to restrictions on transferability and resale. Each SRE is gross of actual client fees and expenses. Components of the methodology used to create the SREs include the rate of return for various asset classes based on indices. Termination and replacement of investments may subject investors to new or different charges. Past performance is not indicative of future results. Future rates of return cannot be predicted with certainty. Investments that pay higher rates of return are often subject to higher risk and greater potential loss in an extreme scenario. The actual rate of return on investments can vary widely over time, especially for long-term investments. This includes the potential loss of principal on your investment. It is not possible to invest directly in an index.