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 12/31/2019. 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 12/31/2019. 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
168
505
Weighted Average Market Cap ($ Mil)
278,038
269,811
Median Market Cap ($ Mil)
47,744
23,590
Forecasted Tracking Error (Barra Predicted)
0.9%
-
Portfolio Beta (Barra Predicted)
0.99
1.00
Dividend Yield
1.9%
1.9%
Price/Earnings (Trailing 12 Months)
22.2x
23.2x
Price/Book Value
5.6x
5.9x
Annual Turnover (Trailing 12 Months)
22.2%
Performance Characteristics (Gross of Fees) 14
TWIN Enhanced Equity
Alpha
0.8%
Tracking Error
1.5%
Information Ratio
0.55
Beta
0.97
Standard Deviation
14.1%
Sharpe Ratio
0.45
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
10.5%
10.4%
0.1%
Consumer Discretionary
9.4%
9.8%
-0.3%
Consumer Staples
7.4%
7.2%
0.2%
Energy
4.1%
4.3%
-0.2%
Financials
12.8%
13.0%
-0.2%
Health Care
14.3%
14.2%
0.1%
Industrials
8.9%
9.1%
-0.2%
Information Technology
22.9%
23.2%
-0.3%
Materials
2.7%
2.7%
0.1%
Real Estate
3.1%
2.9%
0.2%
Utilities
3.9%
3.3%
0.6%
TWIN Capital Management
3244 Washington Road
Suite 202
McMurray, PA 15317
Phone
724.942.2000
Fax
724.942.2002
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