Green Harvest Asset Management’s Core Index Plus U.S. Equity 50% Hedged Strategy offers investors access to a managed portfolio of passive Exchange Traded Funds (ETFs) designed to provide 50% of the return of the S&P 500® Index. This strategy employs Green Harvest’s advanced SmartCapture discipline, which is an active, proprietary process designed to capture tax benefits with a focus on minimization of tracking error. This tax-beneficial investment strategy seeks to reduce equity market risk and capture tax benefits that may be used to offset capital gains which may improve after-tax performance.
Fact Sheet
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Pre-Tax Composite Performance as of 6/30/21
| Pre-Tax Performance | YTD | 1 Year | 3 year | Inception |
|---|---|---|---|---|
| Core Index Plus U.S. Equity 50% Hedged (Gross) | 8.34% | 21.17% | 10.94% | |
| Core Index Plus U.S. Equity 50% Hedged (Net) | 8.02% | 20.44% | 10.27% | |
| 50% of S&P 500 Total Return Index | 7.63% | 20.40% | 11.82% | |
| Tracking Difference (Gross)* | 0.72% | 0.77% | -0.88% | |
| Tax Alpha (Gross)** | ||||
| Core Index Plus U.S. Equity 50% Hedged | 3.75% | 9.42% | 14.77% | |
| After-Tax Performance | ||||
| Core Index Plus U.S. Equity 50% Hedged (Gross) | 11.96% | 30.21% | 25.35% | |
| 50% of S&P 500 Total Return Index | 7.48% | 20.02% | 11.46% | |
| Tracking Difference (Gross)*** | 4.47% | 10.19% | 13.89% |
Notes to Performance Table:
* Tracking Difference is the out-/underperformance of the Strategy versus the benchmark before taxes.
** Tax Alpha equals net after-tax excess return minus pre-tax excess return, i.e., the strategy’s after-tax return vs. after-tax benchmark return minus the strategy’s pre-tax return vs. pre-tax benchmark return.
*** After-Tax Tracking Difference is the Strategy’s after-tax return minus the benchmark’s after-tax return.
U.S. Equity 50% Hedged composite began January 1, 2020 and is benchmarked to 50% of the S&P 500 Index. All performance is total return.
Performance is highly dependent upon the initial date and time of investment as well as market direction during the investment period. The one-year performance period includes the market recovery following sharp declines in equity markets during Q1 2020. As such, these results may not be predictive of future results.
Green Harvest Asset Management LLC Disclosure Related to After-Tax Performance:
The Composite includes all portfolios managed by Green Harvest Asset Management LLC according to the Strategy.
The Strategy’s after-tax returns assume that short-term and long-term capital losses/gains realized in each account benefit from a deduction (or in case of gains, are additive) based on maximum federal tax rates applicable during the tax years shown, which were 40.8% and 23.8%, respectively. Dividend income received in each account, is assumed to be taxed at 40.8%.
A client’s eligibility for a tax deduction depends on the client’s individual circumstances, which are outside of Green Harvest’s knowledge and control.
After-tax returns for the benchmark are approximated by increasing the Index’s monthly price returns by its dividend yield after applying a 32.3% tax rate, which assumes that half of dividends are taxed at the 23.8% rate applicable to qualified dividends and the other half at the 40.8% rate for ordinary income.
See below for additional disclosures regarding after-tax returns.
* Tracking Difference is the out-/underperformance of the Strategy versus the benchmark before taxes.
** Tax Alpha equals net after-tax excess return minus pre-tax excess return, i.e., the strategy’s after-tax return vs. after-tax benchmark return minus the strategy’s pre-tax return vs. pre-tax benchmark return.
*** After-Tax Tracking Difference is the Strategy’s after-tax return minus the benchmark’s after-tax return.
U.S. Equity 50% Hedged composite began January 1, 2020 and is benchmarked to 50% of the S&P 500 Index. All performance is total return.
Performance is highly dependent upon the initial date and time of investment as well as market direction during the investment period. The one-year performance period includes the market recovery following sharp declines in equity markets during Q1 2020. As such, these results may not be predictive of future results.
Green Harvest Asset Management LLC Disclosure Related to After-Tax Performance:
The Composite includes all portfolios managed by Green Harvest Asset Management LLC according to the Strategy.
The Strategy’s after-tax returns assume that short-term and long-term capital losses/gains realized in each account benefit from a deduction (or in case of gains, are additive) based on maximum federal tax rates applicable during the tax years shown, which were 40.8% and 23.8%, respectively. Dividend income received in each account, is assumed to be taxed at 40.8%.
A client’s eligibility for a tax deduction depends on the client’s individual circumstances, which are outside of Green Harvest’s knowledge and control.
After-tax returns for the benchmark are approximated by increasing the Index’s monthly price returns by its dividend yield after applying a 32.3% tax rate, which assumes that half of dividends are taxed at the 23.8% rate applicable to qualified dividends and the other half at the 40.8% rate for ordinary income.
See below for additional disclosures regarding after-tax returns.
Initial Holdings (New Portfolio as of 6/30/21)
| Symbol | ETF | Position Type | % |
|---|---|---|---|
| XLK | Technology Select Sector SPDR® | Long | 27.5 |
| XLV | Health Care Select Sector SPDR® | Long | 13.0 |
| XLY | Consumer Discretionary Select Sector SPDR® | Long | 12.3 |
| XLF | Financial Select Sector SPDR® | Long | 11.3 |
| XLC | Communication Services Select Sector SPDR® | Long | 11.2 |
| XLI | Industrial Select Sector SPDR® | Long | 8.5 |
| XLP | Consumer Staples Select SPDR® | Long | 5.9 |
| XLE | Energy Select Sector SPDR® | Long | 2.9 |
| XLB | Materials Select Sector SPDR® | Long | 2.6 |
| XLU | Utilities Select Sector SPDR® | Long | 2.6 |
| XLRE | Real Estate Select SPDR® | Long | 2.4 |
| Broad U.S. Equity Market ETF | Short | -50.0 | |
| Initial Holdings are as of the date stated and are subject to change |
Performance quoted represents past performance, which is no guarantee of future results. Investment return and principal value will fluctuate, so you may have a gain or loss when the portfolio is liquidated. Current performance may be higher or lower than that quoted. Performance of an index is not illustrative of any particular investment. It is not possible to invest directly in an index.
GHAM does not provide tax advice. Although GHAM does not employ a Certified Public Accountant on its staff, we have, and continue to work with outside accounting firms and outside tax counsel that provide ongoing guidance and updates on all relevant tax law. Federal, state and local tax laws are subject to change. GHAM is not responsible for providing clients updates on any changes in tax laws, rules or statutes.
Composite performance calculations based on asset weighted average of all accounts in the strategy.
Reasons to harvest capital losses, sources of capital gains and the suggestion that mutual funds distribute capital gains are for illustrative purposes only.
The availability of tax alpha is highly dependent upon the initial date and time of investment as well as market direction and security volatility during the investment period. Tax loss harvesting outcomes may vary greatly for clients who invest on different days, weeks, months and all other time periods.
All estimates of past returns of broad, narrow, sector, country, regional or other indices do not include the impact of advisor fees, unless specifically indicated.
Portfolio Characteristics analytics applies to assets invested in GHAM strategy and their underlying exposures, and excludes any directly held cash or money market balances, which are typically < 0.50% of account value.
All data and conclusions derived from data in this factsheet are unaudited and their reliability and accuracy is not guaranteed.
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