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.
Category
Enhanced Index
Benchmark
S&P 500® Index
Inception
February 1995

Annualized Returns 1

As of 6/30/2019. Performance is preliminary. Returns for periods greater than a year are annualized. Past performance is not necessarily indicative of future results. 

*Strategy inception 2/1/1995,
Enhanced Index Posture initiated 1/1/2001

Annual Rates of Return 1

As of 6/30/2019. Performance is preliminary. Returns for periods greater than a year are annualized. Past performance is not necessarily indicative of future results. 

*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
174
505
Weighted Average Market Cap ($ Mil)
224,264
224,923
Median Market Cap ($ Mil)
38,115
22,142
Forecasted Tracking Error (Barra Predicted)
0.9%
-
Portfolio Beta (Barra Predicted)
0.99
1.00
Dividend Yield
2.1%
2.0%
Price/Earnings (Trailing 12 Months)
20.1x
21.4x
Price/Book Value
4.5x
5.6x
Annual Turnover (Trailing 12 Months)
20.4%
Performance Characteristics (Gross of Fees) 14
TWIN Enhanced Equity
Alpha
0.9%
Tracking Error
1.5%
Information Ratio
0.55
Beta
0.97
Standard Deviation
14.2%
Sharpe Ratio
0.42
Upside Capture
100%
Downside Capture
96%
*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
10.4%
10.2%
0.3%
Consumer Discretionary
9.9%
10.2%
-0.2%
Consumer Staples
7.7%
7.3%
0.5%
Energy
4.6%
5.0%
-0.5%
Financials
12.8%
13.1%
-0.3%
Health Care
13.9%
14.2%
-0.3%
Industrials
9.2%
9.5%
-0.2%
Information Technology
21.6%
21.5%
0.1%
Materials
2.8%
2.8%
0.0%
Real Estate
2.9%
3.1%
-0.1%
Utilities
4.1%
3.3%
0.8%
TWIN Capital Management
3244 Washington Road
Suite 202
McMurray, PA 15317
Phone
724.942.2000
Fax
724.942.2002
Other Info
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