Enhanced Equity
This Enhanced Index approach aims to deliver excess returns relative to its S&P 500Ⓡ benchmark while minimizing tracking error, providing a diversified portfolio as an alternative to passive investing.
Annualized Returns †, 1,
†As of 6/30/2024. Performance is preliminary. Returns for periods greater than a year are annualized. Past performance is not necessarily indicative of future results.
1See Disclosures
*Strategy inception 2/1/1995,
Enhanced Index Posture initiated 1/1/2001
Annual Rates of Return †, 1,
†As of 6/30/2024. Performance is preliminary. Returns for periods greater than a year are annualized. Past performance is not necessarily indicative of future results.
1See Disclosures
*Strategy inception 2/1/1995,
Enhanced Index Posture initiated 1/1/2001
Strategy Characteristics 2,
TWIN Enhanced Equity
S&P 500® Index
Number of Holdings
156
503
Weighted Average Market Cap ($ Mil)
948,676
948,257
Median Market Cap ($ Mil)
56,052
34,742
Forecasted Tracking Error (Barra Predicted)
0.9%
-
Portfolio Beta (Barra Predicted)
1.00
Dividend Yield
1.4%
1.3%
Price/Earnings (Trailing 12 Months)
27.2x
27.9x
Price/Book Value
6.5xx
7.0x
Annual Turnover (Trailing 12 Months)
22%
2See Disclosures
Performance Characteristics (Gross of Fees) 1, 4,
TWIN Enhanced Equity
Alpha
0.6%
Tracking Error
1.5%
Information Ratio
0.43
Beta
0.98
Standard Deviation
15.0%
Sharpe Ratio
0.49
Upside Capture
99%
Downside Capture
97%
1See Disclosures
4See Disclosures
*Strategy inception 2/1/1995, Enhanced Index Posture initiated 1/1/2001
GICS® SECTOR WEIGHTS (%) 2,
TWIN Enhanced Equity
S&P 500® Index
Active
Communications Services
9.2
9.3
-0.1
Consumer Discretionary
10.0
10.0
0.0
Consumer Staples
5.8
5.8
0.0
Energy
3.5
3.7
-0.2
Financials
12.1
12.4
-0.3
Health Care
11.9
11.7
0.2
Industrials
8.3
8.1
0.2
Information Technology
32.5
32.5
0.0
Materials
2.3
2.2
0.1
Real Estate
2.1
2.2
-0.1
Utilities
2.3
2.3
0.0
2See Disclosures
