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 3/31/2024. 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 3/31/2024. 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
153
503
Weighted Average Market Cap ($ Mil)
745,363
755,557
Median Market Cap ($ Mil)
68,187
35,088
Forecasted Tracking Error (Barra Predicted)
1.0%
-
Portfolio Beta (Barra Predicted)
1.00
Dividend Yield
1.4%
1.4%
Price/Earnings (Trailing 12 Months)
24.4x
27.4x
Price/Book Value
5.8xx
6.3x
Annual Turnover (Trailing 12 Months)
28.8%
2See Disclosures
Performance Characteristics (Gross of Fees) 1, 4,
TWIN Enhanced Equity
Alpha
0.6%
Tracking Error
1.5%
Information Ratio
0.44
Beta
0.98
Standard Deviation
15.1%
Sharpe Ratio
0.48
Upside Capture
99%
Downside Capture
96%
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
8.8
9.0
-0.2
Consumer Discretionary
10.6
10.3
0.3
Consumer Staples
6.0
6.0
0.0
Energy
4.0
4.0
0.0
Financials
13.4
13.2
0.2
Health Care
12.4
12.4
0.0
Industrials
8.7
8.8
-0.1
Information Technology
29.3
29.6
-0.3
Materials
2.5
2.4
0.1
Real Estate
2.2
2.3
-0.1
Utilities
2.1
2.2
-0.1
2See Disclosures
