Equity

Tax Sensitive Low Volatility SMA

Russell 1000® Index
Benchmark name
7/31/2017
Inception date
Systematic Edge – Equity Team
Team
$2.5M
Assets under management
Data as of 12/31/2023
SMA overview
Unlocking better outcomes for clients
The Tax-Sensitive Low Volatility SMA seeks to outperform its benchmark with significantly less volatility through the rational, systematic application of quantitative techniques.

The team uses a multifaceted quantitative approach to help investors manage the amount of risk in their portfolios.

Key differentiators

  • Seeks to maintain standard deviation of 20% to 30% less than its primary benchmark index
  • Seeks to outperform over a full risk cycle: outperform in falling markets, lag in risk-seeking markets, market perform in moderately rising markets
  • Targets approximately 80 to 150 highly liquid securities

General facts

Weight average market cap

60.67

Dividend yield

1.90%

Performance

Average annual returns Add Minus

Average annual returns

(as of 12/31/2023)
7/31/2017
1M
3M
YTD
1Y
3Y
5Y
10Y
Inception
Composite (Pure Gross)
3.87
7.55
5.11
5.11
4.60
7.30
-
6.41
Composite (Net)
3.61
6.74
1.98
1.98
1.50
4.14
-
3.27
Russell 1000® Index
-
-
-
-
-
-
-
-

One-month, three-month and year-to-date returns are not annualized.

Performance is historical and does not guarantee future results. For more information, please refer to the GIPS composite report found in the documents section.

Calendar year Add Minus

Calendar year

(as of 12/31/2023)
2023
2022
2021
2020
2019
2018
Fund
5.11
-6.58
16.55
-0.15
24.48
-2.26
Benchmark
26.53
-19.13
26.45
20.96
31.43
-4.78

Performance is historical and does not guarantee future results. For more information, please refer to the GIPS composite report found in the documents section.


Performance and volatility metrics Add Minus

Performance and volatility metrics

(as of 12/31/2023)
3 Year 5 Year
Alpha -1.40 -3.57
Beta 0.66 0.72
Downside Market Capture Ratio 78.46 84.38
Information Ratio -0.52 -0.98
R2 0.78 0.81
Sharpe Ratio 0.18 0.36
Standard Deviation 12.90 15.00
Tracking Error 8.60 8.40
Upside Market Capture Ratio 55.94 44.24
Correlation 0.89 0.90

Composition

Portfolio statistics Add Minus

Portfolio statistics

(as of 12/31/2023)
SMA Benchmark
Number of holdings 117 1010
Top 10 holdings Add Minus

Top 10 holdings

(as of 12/31/2023)
Security
SMA
Palo Alto Networks, Inc.
2.37%
Costco Wholesale Corporation
2.21%
Republic Services, Inc.
1.99%
Coca-Cola Company
1.94%
FLEETCOR Technologies, Inc.
1.90%
AutoZone, Inc.
1.73%
Colgate-Palmolive Company
1.71%
Expeditors International of Washington, Inc.
1.71%
Amdocs Limited
1.71%
Motorola Solutions, Inc.
1.68%
Top 10 represents 18.96% of total net assets

Largest company weights are based on market value of the representative account and not necessarily held in all client portfolios. The information shown is not intended to be, nor should it be construed to be, a recommendation to buy or sell an individual security. A list of all holdings from the prior one-year period is available upon request.

Sector allocation Add Minus

Sector allocation

(as of 12/31/2023)
Type
SMA
Benchmark
Cash & equivalents
2.84% -
Communication services
2.41% 8.31%
Consumer discretionary
5.64% 10.90%
Consumer staples
22.38% 5.85%
Energy
1.40% 3.84%
Financials
13.76% 13.50%
Health care
22.10% 12.46%
Industrials
11.54% 9.56%
Information technology
11.06% 27.89%
Materials
3.48% 2.61%
Real estate
0.82% 2.83%
Utilities
2.57% 2.25%

Sector weighting is based on a representative account within the Allspring Global Investments composite and may have changed since the date specified. Percent total may not add to 100% due to rounding.

Our team
Meet the investment team

The team believes company returns are predictable based on quantitative factors. They seek to systematically harvest these factors to generate alpha for their clients.

Contact Us

We look forward to helping you with your investment needs

 

Market Risk: Stock values fluctuate in response to the activities of individual companies and general market and economic conditions. Management Risk: Investment decisions, techniques, analyses or models implemented by a strategies manager seeking to achieve the strategies investment objective may not produce the returns expected and may cause the strategy to lose value. Growth/Value Investing Risk: Securities that exhibit growth or value characteristics tend to perform differently and shift into and out of favor with investors depending on changes in market and economic sentiment and conditions.

Allspring Managed Account Services (the firm) is a unit within Allspring Global Investments and is responsible for the management and administration of the Allspring Funds Management, LLC, retail separately managed account portfolios (wrap portfolios). Allspring Funds Management acts as a discretionary manager for separately managed accounts ("SMA") and as a non-discretionary model provider in a variety of managed account or wrap fee programs (“MA Programs”) sponsored by third party investment advisers, broker-dealers, or other financial services firms (a “Sponsor”). When acting as non-discretionary model provider, Allspring Funds Management responsibility is limited to providing non-discretionary investment recommendations (in the form of model portfolios) to the Sponsor. The Sponsor may use these recommendations in connection with its management of MA Program accounts. In these “model-based” programs, the Sponsor serves as the investment manager and maintains trade implementation responsibility.