Magni Islamic Stewardship Back Tested Portfolio

Transcription

1. Morningstar DirectSM | Print Date: 1/19/2017 Page 1 of 1 Magni Islamic Stewardship Back-Tested Portfolio Currency USD Performance Evaluation Benchmark 1 S&P 500 Shariah TR USD Return vs Peer Group 32 8 -16 -40 Subject Investment Benchmark 1 Benchmark 2 Peer Group — — Top Quartile 2nd Quartile 3rd Quartile Bottom Quartile 90% of Category 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016-06 History 17.39 15.00 4.90 -30.59 -31.29 -37.45 50.17 26.79 25.55 27.56 12.61 14.37 6.70 4.27 1.47 21.96 12.28 15.22 40.72 31.74 31.55 16.18 13.37 12.99 -0.35 2.06 0.75 5.82 3.10 3.49 Subject Investment Benchmark 1 Benchmark 2 — — — — — — — — — — — — — — — — — — — — — — — — — — — — — — — — — — — — — — — — — — — — — — — — — — — — — — — — — — — — Peer Group Avg Best 25th Percentile 50th Percentile 75th Percentile Worst — — — — — — — — — — Gross Expense Ratio 440 306 172 38 2007 Name 2008 2009 Total # of Calculations 120 120 120 Subject Investment Benchmark 1 Benchmark 2 2010 % in Top Quartile 0.00 0.00 0.00 2011 % in 2nd Quartile 0.00 0.00 0.00 2012 % in 3rd Quartile 0.00 0.00 0.00 2013 2014 % in Btm Quartile 2015 % Above B-mark 1 0.00 0.00 0.00 2016 % Above B-mark 2 64.17 — — 68.33 — — 3 2 1 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 3 2 1 2006 B-mark 2% 3.10 3.49 1 Month 3 Months 6 Months 0.04 2.19 5.82 -0.07 1.42 3.10 0.21 2.29 3.49 1 Year 2 Years 3 Years 4 Years 5 Years 10 Years 3.27 6.49 14.06 17.16 15.15 14.57 4.08 5.30 12.23 13.21 11.47 8.76 3.31 5.02 10.95 13.10 11.38 6.74 Inv B-mark 1 B-mark 2 Cumulative Return Standard Deviation Sharpe Ratio Sortino Ratio Calmar Ratio 289.65 16.29 0.84 1.34 0.35 131.61 14.29 0.55 0.80 0.21 91.93 15.24 0.38 0.54 0.13 Best Month Worst Month Best Quarter Worst Quarter % of Up Month % of Down Month Avg Monthly Gain Avg Monthly Loss Gain Std Dev Loss Std Dev 14.66 -17.96 20.06 -22.95 65.83 34.17 3.74 -3.69 10.17 12.02 10.75 -14.84 12.76 -18.04 63.33 36.67 3.18 -3.44 7.93 10.82 10.88 -16.84 15.72 -22.13 62.50 37.50 3.22 -3.76 8.34 11.89 Longest Up Streak (Mo) Run Up % Start Date End Date 8 42.19 9/2010 4/2011 8 32.71 9/2010 4/2011 7 16.61 11/2012 5/2013 Longest Down Streak (Mo) Run Down % Start Date End Date 5 -16.45 5/2011 9/2011 5 -15.13 5/2011 9/2011 5 -16.49 5/2011 9/2011 Max Drawdown (Mo) Max Drawdown (%) Peak Date Valley Date 9 -41.92 6/2008 2/2009 16 -42.41 11/2007 2/2009 16 -51.44 11/2007 2/2009 Excess Return Alpha Beta R-Squared Tracking Error Information Ratio Treynor Ratio Up Capture Ratio Down Capture Ratio Up Number Ratio Down Number Ratio Up Percentage Ratio Down Percentage Ratio Tracking Error 0 B-mark 1% 5.82 Relative Performance 7/1/2006 to 6/30/2016 Information Ratio 0 Inv % YTD Return/Risk Analysis 7/1/2006 to 6/30/2016 Rolling Performance 1 months per calculation 2006 Morningstar Category — Trailing Returns as of 6/30/2016 56 -96 Benchmark 2 S&P 500 NR USD 2007 2008 2009 2010 2011 2012 2013 2014 2015 B-mark 1 B-mark 2 5.81 4.75 1.09 91.94 4.82 1.20 12.45 7.83 7.07 1.03 93.48 4.20 1.87 13.18 118.92 95.02 0.92 0.80 0.64 0.64 118.33 84.00 0.92 0.78 0.67 0.71 2016 © Morningstar 2017. All rights reserved. Use of this content requires expert knowledge. It is to be used by specialist institutions only. The information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied, adapted or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information, except where such damages or losses cannot be limited or excluded by law in your jurisdiction. Past financial performance is no guarantee of future results. ß ®
2. DESCRIPTION OF THE ISLAMIC STEWARDSHIP BACK-TESTED PORTFOLIO The returns are based on a 10 year back-tested portfolio starting 6 /30/06 ending 6/30/16. The portfolio uses Islamic Stewardship governance scores as of 6/30/16 and the portfolio allocations were based on these scores. The rebalancing was monthly and based on closing prices at month-end. Trading costs and imputed commissions were not included. The model’s universe contains stocks in the S&P 500 index that were rated as Shariah-compliant of as 6/30/16 by a leading global custodial bank.