Equity

Low Volatility SMA

Russell 1000® Index
Benchmark name
10/31/2004
Inception date
Systematic Core Equity Team
Team
$1,355.0M
Strategy assets
Data as of 9/30/2024
Low Volatility
SMA overview
Unlocking better outcomes for clients
The Low Volatility SMA seeks to outperform its benchmark with significantly less volatility through the rational, systematic application of quantitative techniques.

A multifaceted quantitative approach is used 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 80 to 150 highly liquid securities

General facts

Weighted average market cap

$78.56B

(as of 9/30/2024)

Dividend yield

1.54%

(as of 9/30/2024)

Quick resources

Fact Sheet

Performance

Average annual returns

Average annual returns

(as of 9/30/2024)
10/31/2004
1M
3M
YTD
1Y
3Y
5Y
10Y
Inception
Composite (Pure Gross)
-0.32
8.78
17.53
27.68
9.23
8.68
9.69
9.51
Composite (Net)
-0.57
7.96
14.87
23.85
5.95
5.42
6.41
6.27
Russell 1000® Index
2.14
6.08
21.18
35.68
10.83
15.64
13.10
10.71

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.

Performance shown is related performance of the institutional composite. The Low Volatility strategy is only provided via a non-discretionary model to Sponsors, and as such, Allspring Funds Management does not have a retail SMA performance composite. Performance information shown above is not actual performance for any Allspring Funds Management retail SMA performance composite but is related institutional composite performance for a similar strategy offered by our affiliated institutional investment adviser, Allspring Global Investments, which acts as a sub-adviser for the Low Volatility model provided to Sponsors. The performance is being shown solely as supplemental information to help you understand how a similar strategy offered by an affiliated institutional investment adviser has performed. This is not intended as an offer for any Allspring Global Investments institutional composites or accounts. If your firm (Sponsor) uses this model, actual performance can be obtained from your firm and will differ from the institutional composite performance shown.

The U.S. Low Volatility strategy is designed to maintain 20-30% less volatility than the Russell 1000 and seeks to outperform the broad US Equity Market over a full market cycle. As such, the Russell 1000 Index (primary benchmark) is an appropriate long-term benchmark. As a result of the portfolio's long-term investment horizon, when evaluating performance over the short-term, the performance uses a (non-official) risk-adjusted benchmark (75% Russell 1000, 25% Cash) to generate performance comparisons. Considering the objectives of the U.S. Low Volatility Equity strategy, as a secondary benchmark, the MSCI USA Minimum Volatility Index (Gross) offers an added comparison with a similar focus on volatility. MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indexes or any securities or financial products. This report is not approved, reviewed, or produced by MSCI.

Please keep in mind that high double-digit returns were primarily achieved during favorable market conditions. You should not expect that such favorable returns can be consistently achieved. A fund's performance, especially for short time periods, should not be the sole factor in making your investment decision.

Calendar year

Calendar year

(as of 12/31/2023)
2023
2022
2021
2020
2019
2018
2017
2016
2015
2014
Fund
4.18
-2.96
16.53
5.11
28.56
-4.57
13.44
10.51
4.67
15.74
Benchmark
26.53
-19.13
26.45
20.96
31.43
-4.78
21.69
12.05
0.92
13.24

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

Performance and volatility metrics

(as of 9/30/2024)
3 Year 5 Year 10 Year
Alpha 2.17 -2.36 0.00
Beta 0.64 0.73 0.00
Downside Market Capture Ratio 68.35 85.88 0.00
Information Ratio -0.17 -0.81 0.00
R2 0.73 0.79 0.00
Sharpe Ratio 0.43 0.42 0.00
Standard Deviation 13.00 14.99 0.00
Tracking Error 9.43 8.58 0.00
Upside Market Capture Ratio 58.63 50.37 0.00
Correlation 0.85 0.89 0.00

Composition

Portfolio statistics

Portfolio statistics

(as of 9/30/2024)
SMA Benchmark
Number of holdings 102 1010
Top 10 holdings

Top 10 holdings

(as of 9/30/2024)
Security
SMA
Willis Towers Watson Public Limited Company
2.54%
Allstate Corporation
2.48%
Colgate-Palmolive Company
2.47%
Northrop Grumman Corp.
2.46%
Cboe Global Markets Inc
2.44%
Merck & Co., Inc.
2.42%
Amdocs Limited
2.34%
Cencora, Inc.
2.28%
PG&E Corporation
2.23%
Walmart Inc.
2.21%
Top 10 represents 23.86% 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

Sector allocation

(as of 9/30/2024)
Type
SMA
Benchmark
Cash & equivalents
 0.91% -
Communication services
 5.90% -
Consumer discretionary
 9.98% -
Consumer staples
 22.75% -
Energy
 0.00% -
Financials
 13.41% -
Health care
 18.38% -
Industrials
 14.25% -
Information technology
 8.32% -
Materials
 1.96% -
Real estate
 0.00% -
Utilities
 4.16% -

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.

Documents

Literature Date
Fact Sheet 9/30/2024 Download
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.

View Team
Harindra

Harindra de Silva

Co-Head of Systematic Research
Robert

Robert Miller

Portfolio Manager
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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.