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 3/31/2022. 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 3/31/2022. 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
182
506
Weighted Average Market Cap ($ Mil)
597,431
597,222
Median Market Cap ($ Mil)
53,174
31,532
Forecasted Tracking Error (Barra Predicted)
1.0%
-
Portfolio Beta (Barra Predicted)
1.00
Dividend Yield
1.4%
1.4%
Price/Earnings (Trailing 12 Months)
24.3x
26.2x
Price/Book Value
7.1x
8.1x
Annual Turnover (Trailing 12 Months)
28.8%
Performance Characteristics (Gross of Fees) 14
TWIN Enhanced Equity
Alpha
0.7%
Tracking Error
1.5%
Information Ratio
0.44
Beta
0.98
Standard Deviation
14.6%
Sharpe Ratio
0.53
Upside Capture
99%
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
9.5
9.4
0.2
Consumer Discretionary
11.8
12.0
-0.2
Consumer Staples
6.3
6.1
0.2
Energy
3.9
3.9
0.0
Financials
11.4
11.1
0.3
Health Care
13.6
13.6
0.0
Industrials
7.7
7.9
-0.1
Information Technology
27.7
28.0
-0.3
Materials
2.5
2.6
-0.1
Real Estate
2.5
2.7
-0.2
Utilities
3.1
2.7
0.3
TWIN Capital Management
3244 Washington Road
Suite 202
McMurray, PA 15317
Phone
724.942.2000
Fax
724.942.2002

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