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 9/30/2024. 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 9/30/2024. 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
162
503
Weighted Average Market Cap ($ Mil)
936,201
946,319
Median Market Cap ($ Mil)
60,324
38,164
Forecasted Tracking Error (Barra Predicted)
0.9%
-
Portfolio Beta (Barra Predicted)
1.00
Dividend Yield
1.3%
1.3%
Price/Earnings (Trailing 12 Months)
26.6x
29.8x
Price/Book Value
6.5x
7.0x
Annual Turnover (Trailing 12 Months)
21%
2See Disclosures
Performance Characteristics (Gross of Fees) 1, 4,
TWIN Enhanced Equity
Alpha
0.6%
Tracking Error
1.5%
Information Ratio
0.41
Beta
0.98
Standard Deviation
15.0%
Sharpe Ratio
0.50
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
9.0
8.9
0.1
Consumer Discretionary
10.1
10.1
0.0
Consumer Staples
5.9
5.9
0.0
Energy
3.3
3.3
0.0
Financials
13.0
12.9
0.1
Health Care
11.6
11.6
0.0
Industrials
8.7
8.5
0.2
Information Technology
31.3
31.7
-0.4
Materials
2.2
2.2
0.0
Real Estate
2.4
2.3
0.1
Utilities
2.5
2.5
0.0
2See Disclosures
