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 12/31/2023. 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 12/31/2023. 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
151
503
Weighted Average Market Cap ($ Mil)
674,056
677,564
Median Market Cap ($ Mil)
58,576
33,545
Forecasted Tracking Error (Barra Predicted)
1.0%
-
Portfolio Beta (Barra Predicted)
1.00
Dividend Yield
1.5%
1.5%
Price/Earnings (Trailing 12 Months)
22.7x
26.4x
Price/Book Value
6.1x
6.4x
Annual Turnover (Trailing 12 Months)
28.1%
2See Disclosures
Performance Characteristics (Gross of Fees) 1, 4,
TWIN Enhanced Equity
Alpha
0.6%
Tracking Error
1.5%
Information Ratio
0.4
Beta
0.97
Standard Deviation
15.1%
Sharpe Ratio
0.46
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
8.6
0.2
Consumer Discretionary
11.3
10.9
0.4
Consumer Staples
6.2
6.2
0.0
Energy
4.0
3.9
0.1
Financials
13.1
13.0
0.1
Health Care
12.3
12.6
-0.3
Industrials
8.6
8.8
-0.2
Information Technology
28.7
28.9
-0.2
Materials
2.5
2.4
0.1
Real Estate
2.2
2.5
-0.3
Utilities
2.3
2.3
0.0
2See Disclosures
