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 9/30/2022. 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 9/30/2022. 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
178
503
Weighted Average Market Cap ($ Mil)
446,500
438,190
Median Market Cap ($ Mil)
43,764
27,009
Forecasted Tracking Error (Barra Predicted)
1.0%
-
Portfolio Beta (Barra Predicted)
1.00
Dividend Yield
1.8%
1.8%
Price/Earnings (Trailing 12 Months)
18.1x
19.8x
Price/Book Value
5.7x
6.3x
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
0.45
Beta
0.97
Standard Deviation
15.0%
Sharpe Ratio
0.41
Upside Capture
99%
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
8.1
0.3
0.2
Consumer Discretionary
11.4
11.7
-0.3
Consumer Staples
7.0
6.9
0.1
Energy
4.5
4.6
-0.1
Financials
11.2
11.0
0.2
Health Care
15.5
15.1
0.4
Industrials
7.8
7.9
-0.1
Information Technology
26.1
26.3
-0.2
Materials
2.2
2.5
-0.3
Real Estate
2.6
2.8
-0.2
Utilities
3.4
3.1
0.2
TWIN Capital Management
3244 Washington Road
Suite 202
McMurray, PA 15317
Phone
724.942.2000
Fax
724.942.2002

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