Download a diversified portfolio of alternative strategies

ADVISERS MANAGEMENT TRUST
U.S. EQUITY INDEX
PUTWRITE STRATEGY
PORTFOLIO
PORTFOLIO FOCUS:
•
Seeks long-term, equity-like returns with less volatility than the broader equity markets*
•
Aims to improve diversification, mitigate drawdowns and increase capital efficiency
•
Ability to earn additional income through interest generated from a limited duration, laddered
U.S. Treasury portfolio
Why Consider a PutWrite Strategy as Part of Your
Equity Allocation?
Put writing strategies can provide equity exposure while potentially mitigating risk in
diversified portfolios.
Add a Strategy that May Enhance Portfolio Efficiency
Historically, option writing indexes have generated similar returns to stocks while experiencing less volatility.*
Index Annual Return vs. Risk (June 2007 – March 2017)1
8%
Annual Total Return
7%
S&P 500
Russell 2000
PutWrite Index
6%
5%
4%
3%
HFRI Equity Hedge (total) (net)
2%
5.0%
7.5%
10.0%
12.5%
15.0%
17.5%
20.0%
22.5%
Annual Volatility (Monthly)
Source: CBOE and Bloomberg.
Potential for Equity-Like Returns with Lower Volatility
The CBOE S&P 500 PutWrite Index (“PutWrite Index”) has historically outperformed the S&P 500 in flat and down markets, and
lagged in up markets.
40%
30%
20%
10%
0%
-10%
-20%
-30%
-40%
Outperformed in Down Markets
PutWrite Index
Lagged in Up Markets
S&P 500
7.4
3.0
19.3
12.5
-26.8
-37.0
2008
(S&P 500 < -5%)
June 2007 – March 2017
2007, 2011, 2015
(S&P 500 -5 to 5%)
PutWrite Index
2009, 2010, 2012, 2013, 2014, 2016
(S&P 500 > 10%)
S&P 500
Total Return (%) (annual)
6.2
7.0
Volatility (%)
11.7
15.4
Risk-Adjusted Return
0.53
0.46
Beta (S&P 500)
0.65
1.00
Max Drawdown (%)
-32.7
-50.9
Up-Market Capture (%)
63
100
Down-Market Capture (%)
53
100
1
1
Outperformed in Flat Markets
Index data sourced from CBOE and Bloomberg LP and is gross of fees unless stated otherwise. Selected time period reflects the longest common history of indexes, not
meant to be reflective of all time periods. The CBOE S&P 500 (PUT) Index was incepted in June 2007. Past performance is not indicative of future results.
Neuberger Berman
U.S. Equity Index PutWrite Strategy Portfolio
What is a put option?
A put option allows the seller of the option to collect a premium in exchange for giving the buyer the right, not the obligation, to sell
the underlying security at a specified price (strike price) on or before a specified (expiration) date.
Seller Collects Premium
BUYER
SELLER
Buyer Receives Protection
(The right to sell underlying
security to the seller)
Investment Philosophy and Process
Option markets charge option buyers premiums to help mitigate portfolio risk, similar to an insurance arrangement. These premiums
can be substantial. Both the buyer and seller (‘underwriter’) can derive benefits from the activity. We believe investor fear and greed
contribute to behavioral biases in financial markets and they ultimately ‘overpay’ for put options.
Our systematic investment process seeks to improve diversification, mitigate risk during market drawdowns and
increase capital efficiency.
Key Features
•
U.S. All-Cap Exposure: The strategy writes put options on broad-based indexes, including the S&P 500 and Russell 2000*
•
Application: May be used to seek low volatility U.S. all cap equity exposure or as a daily liquid alternative to certain long/short
hedge fund offerings.
•
Income Potential: Ability to earn additional income through interest generated from a limited duration, laddered U.S. Treasury portfolio.
•
Experienced Team: Dedicated team, led by Derek Devens who has over 18 years of industry experience, is focused exclusively on
managing options with a proven track record.
Portfolio Facts
BENCHMARK
85% CBOE S&P 500 PutWrite Index
15% CBOE R2000 PutWrite Index
INCEPTION DATE OF STRATEGY
May 1, 2017**
EXPENSE RATIOS
Share Class S
Gross Expense
Total (Net) Expense2
2.57
1.05
*The portfolio composition, strategy, risks and fees and expenses, and accordingly the performance, of alternative products such as options strategies may differ
significantly from other traditional asset class offerings, including equities and fixed income products. In up markets, the Fund typically will not participate in the full gain
of the underlying index above the premium collected. **Please note that prior to May 1, 2017, the Fund was known as the Absolute Return Multi-Management Portfolio
and had a different investment strategy that included allocating assets to unaffiliated sub-advisers and had higher advisory fees and a higher total expense ratio.
2
Total (net) expense represents the total annual operating expenses that shareholders pay (after the effect of fee waivers and/or expense reimbursement). The Fund’s
Investment Manager (the “Manager”) contractually caps certain direct expenses of the Fund (excluding interest, taxes, brokerage commissions, acquired fund fees and
expenses, dividend and interest expenses relating to short sales, and extraordinary expenses, if any; consequently, total (net) expenses may exceed the contractual
cap) through 10/31/2020 for Class S at 1.05% (as a % of average net assets). Absent such arrangements, which cannot be changed without Board approval, the
returns may have been lower. Information as of the most recent prospectus dated May 1, 2017.
2
VISIT US AT WWW.NB.COM
At Neuberger Berman, our fundamental research approach dates to our origins in 1939.
Our funds are distinguished by a bottom-up, security-by-security investment thesis that
can translate into a powerful portfolio solution.
An investor should consider the Fund’s investment objectives, risks and
fees and expenses carefully before investing. This and other important
information can be found in the Fund’s prospectus, and if available
summary prospectus, which you can obtain by calling 877.628.2583.
Please read the prospectus, and if available the summary prospectus,
carefully before making an investment.
Shares in the Portfolio may fluctuate based on market condition, interest rates credit
quality and other factors. Most of the Portfolio’s performance depends on what
happens in the equity and fixed income markets. Markets may be volatile and values
of individual securities and other investments, including those of a particular type,
may decline significantly in response to adverse issuer, political, regulatory, market,
economic or other developments that may cause broad changes in market value,
public perceptions concerning these developments, and adverse investor sentiment.
The value of your investment may fall, sometimes sharply, and you could lose money
by investing in the Portfolio. Since the Portfolio is recently launched, there is a risk the
Portfolio may not be successful in implementing its investment strategy, and may not
employ a successful investment strategy, either of which could result in the Portfolio
being liquidated at any time without shareholder approval and/or at a time that may
not be favorable for certain shareholders.
Derivatives involve risks different from, and in some respects greater than, those
associated with more traditional investments, as derivatives can be highly complex
and volatile, difficult to value, highly illiquid, and the Portfolio may not be able to close
out or sell a derivative at a particular time or at an anticipated price. Derivatives can
create leverage, and the Portfolio could lose more than the amount it invests. There
can be no assurance that the Portfolio’s use of any leverage will be successful and the
Portfolio’s investment exposure can exceed its total assets. Additionally, derivatives
involve the risk that the counterparty or clearing organization will default in the
performance of its obligations.
By writing put options, the Portfolio assumes the risk of declines in the value of the
underlying instrument and the risk that it must purchase the underlying instrument at
an exercise price that may be higher than the market price of the instrument, including
the possibility of a loss up to the entire strike price of each option it sells but without
the corresponding opportunity to benefit from potential increases in the value of the
underlying instrument. If there is a broad market decline and the Portfolio is not able
to close out its written put options, it may result in substantial losses to the Portfolio.
The Portfolio will receive a premium from writing options, but the premium received
may not be sufficient to offset any losses sustained from exercised put options.
Although certain securities carry U.S. government guarantees, these guarantees do
not extend to shares of the Portfolio itself or to the market prices of the securities; not
all securities issued by the U.S. government and its agencies and instrumentalities are
backed by the full faith and credit of the U.S. Treasury.
S&P 500 focuses on the large-cap segment of the market with over 80% coverage
of U.S. equities. Criteria for inclusion include financial stability (minimize turnover in
the index), screening of common shares to eliminate closely held companies, and
trading activity indicative of ample liquidity and efficient share pricing. Companies
in merger, acquisition, leveraged buyouts, bankruptcy (Chapter 11 filing or any
shareholder approval of recapitalization which changes a company’s debt-to-equity
ratio), restructuring, or lack of representation in their representative industry groups
are eliminated from the index.
The CBOE S&P 500 PutWrite Index (PUT) is designed to represent a proposed
hypothetical short put strategy. PUT is an award-winning benchmark index that
measures the performance of a hypothetical portfolio that sells S&P 500 Index put
options against collateralized cash reserves held in a money market account. The PUT
strategy is designed to sell a sequence of one-month, at-the-money, S&P 500 Index
puts and invest cash at one- and three-month Treasury Bill rates.
The Russell 2000® Index is an unmanaged index consisting of the securities of
the 2,000 issuers having the smallest capitalization in the Russell 3000® Index,
representing approximately 10% of Russell 3000 total market capitalization. The
smallest company’s market capitalization is roughly $78 million. The Russell 2000®
Value Index measures the performance of those Russell 2000® companies with lower
price-to-book ratios and lower forecasted growth values. Please note that indices do
not take into account any fees and expenses or taxes of investing in the individual
securities that they track, and that individuals cannot invest directly in any index. Data
about the performance of these indices are prepared or obtained by the Manager and
include reinvestment of all dividends and capital gain distributions. The Fund may
invest in many securities not included in the above described indices.
On August 24, 2016, Bloomberg acquired the Barclays fixed income benchmark
indices from Barclays. Barclays and Bloomberg have agreed to co-brand the indices as
the Bloomberg Barclays Indices for an initial term of five years. For more information,
please visit http://www.bloombergindices.com/
Shares of the separate Portfolios of Neuberger Berman Advisers Management Trust
are sold only through the currently effective prospectuses and are not available to the
general public. Shares of the AMT Portfolios may be purchased only by life insurance
companies to be used with their separate accounts which fund variable annuity and
variable life insurance policies or qualified retirement plans and are also available as
an underlying investment fund for certain qualified retirement plans.
The “Neuberger Berman” name and logo and “Neuberger Berman Investment
Advisers LLC” name are registered service marks of Neuberger Berman Group LLC.
The individual fund names in this piece are either service marks or registered service
marks of Neuberger Berman Investment Advisers LLC, an affiliate of Neuberger
Berman BD LLC, distributor, member FINRA.
Investments in ETFs and other investment companies are subject to the risks of the
investment companies’ investments, expenses and performance. ETFs may trade in
the secondary market at a price below the value of its underlying portfolio and may
not be liquid.
Portfolio performance is dependent upon the success of the Portfolio Manager
in implementing the Portfolio’s investment strategies in pursuit of its objective.
The Portfolio’s performance will also depend on the success of implementing and
managing the investment models that assist in allocating the Portfolio’s assets.
The S&P 500 Index is a capitalization weighted index comprised of 500 stocks chosen
for market size, liquidity, and industry group representation. The S&P 500 Index is
constructed to represent a broad range of industry segments in the U.S. economy. The
Neuberger Berman
1290 Avenue of the Americas
New York, NY 10104-0001
S0081 04/17 ©2017 Neuberger Berman BD LLC. All rights reserved.
www.nb.com