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 9/30/2023. 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 9/30/2023. 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)
583,739
586,299
Median Market Cap ($ Mil)
46,160
29,983
Forecasted Tracking Error (Barra Predicted)
1.1%
-
Portfolio Beta (Barra Predicted)
1.00
Dividend Yield
1.6%
1.6%
Price/Earnings (Trailing 12 Months)
21.7x
23.1x
Price/Book Value
5.9x
6.5x
Annual Turnover (Trailing 12 Months)
29.9%
2See Disclosures
Performance Characteristics (Gross of Fees) 1, 4,
TWIN Enhanced Equity
Alpha
0.6%
Tracking Error
1.5%
Information Ratio
0.41
Beta
0.97
Standard Deviation
15.0%
Sharpe Ratio
0.43
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
9.1
8.9
0.2
Consumer Discretionary
10.7
10.7
0.0
Consumer Staples
6.7
6.6
0.1
Energy
4.7
4.7
0.0
Financials
12.6
12.8
-0.2
Health Care
13.7
13.4
0.3
Industrials
8.2
8.3
-0.1
Information Technology
27.4
27.5
-0.1
Materials
27
2.4
0.3
Real Estate
1.8
2.4
-0.6
Utilities
2.5
2.4
0.1
2See Disclosures
