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 3/31/2020. 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 3/31/2020. 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
164
505
Weighted Average Market Cap ($ Mil)
278,266
265,610
Median Market Cap ($ Mil)
38,955
17,449
Forecasted Tracking Error (Barra Predicted)
1.5%
-
Portfolio Beta (Barra Predicted)
0.98
1.00
Dividend Yield
2.4%
2.4%
Price/Earnings (Trailing 12 Months)
20.0x
20.8x
Price/Book Value
6.8x
6.9x
Annual Turnover (Trailing 12 Months)
23.4%
Performance Characteristics (Gross of Fees) 14
TWIN Enhanced Equity
Alpha
0.8%
Tracking Error
1.5%
Information Ratio
0.53
Beta
0.98
Standard Deviation
14.4%
Sharpe Ratio
0.38
Upside Capture
100%
Downside Capture
95%
*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
10.6%
10.7%
-0.1%
Consumer Discretionary
9.6%
9.8%
-0.2%
Consumer Staples
8.5%
7.8%
0.7%
Energy
2.7%
2.6%
0.1%
Financials
10.4%
10.9%
-0.5%
Health Care
15.6%
15.4%
0.2%
Industrials
7.4%
8.2%
-0.8%
Information Technology
25.9%
25.5%
0.4%
Materials
2.2%
2.4%
-0.2%
Real Estate
3.1%
3.0%
0.1%
Utilities
4.1%
3.6%
0.5%
TWIN Capital Management
3244 Washington Road
Suite 202
McMurray, PA 15317
Phone
724.942.2000
Fax
724.942.2002
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