The Fund, which recognized its three-year anniversary on March 21 2015, was rated against close to 1000 funds in Morningstar’s US Large-Cap Blend Equity category based on risk-adjusted returns as of March 31 2015.

 

“The Fund offers a solution for investors who desire US large-cap equity exposure while seeking to reduce volatility and drawdown risk,” said Peter Arnold, head of Citi’s International Funds Distribution Group.

 

The Fund aims to track the performance of the Citi Volatility Balanced Beta (VIBE) Equity US Net Total Return Index (the Index), a “smart beta” index, which since its launch on June 10 2011 to date, has outperformed both its benchmark, the S&P 100 Net TR Index, and also the S&P 500 Net TR Index. The Index is exposed to the performance of the same stocks comprising the S&P 100 Index, but with the stock weights determined by a proprietary equal risk contribution approach (the VIBE methodology) which aims to provide a more balanced and diversified risk profile across index constituents.

 

“Compared to a market cap-weighted approach, Citi’s VIBE methodology typically allocates a lower weight to higher-volatility stocks, and a higher weight to lower-volatility stocks, which has historically offered enhanced risk-adjusted returns when compared with market capitalization benchmark indices,” according to Emanuele di Stefano, head of Citi Investment Strategies Equities and Multi-Asset.

 

Since its launch on March 21 2012 until March 31 2015, the Fund’s annualized return was 16.8%, contributing to a Sharpe Ratio of 1.881. In addition to the “I” share class for institutional investors, Citi offers the Fund in “C” and “A” share class formats for private investors. Additionally, certain investors may access the Index in note and swap formats. Availability varies by country and client type.