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 3/31/2023. 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 3/31/2023. 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
179
503
Weighted Average Market Cap ($ Mil)
508,813
510,937
Median Market Cap ($ Mil)
48,757
29,890
Forecasted Tracking Error (Barra Predicted)
1.0%
-
Portfolio Beta (Barra Predicted)
1.00
Dividend Yield
1.6%
1.6%
Price/Earnings (Trailing 12 Months)
21.1x
22.8x
Price/Book Value
5.2x
5.9x
Annual Turnover (Trailing 12 Months)
25.5%
2See Disclosures
Performance Characteristics (Gross of Fees) 1, 4,
TWIN Enhanced Equity
Alpha
0.6%
Tracking Error
1.5%
Information Ratio
0.40
Beta
0.97
Standard Deviation
15.1%
Sharpe Ratio
0.43
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
8.3
8.1
0.2
Consumer Discretionary
10.4
10.1
0.2
Consumer Staples
7.0
7.2
-0.2
Energy
4.7
4.6
0.1
Financials
12.1
12.9
-0.8
Health Care
14.2
14.2
0.0
Industrials
8.7
8.7
0.0
Information Technology
26.8
26.1
0.7
Materials
2.5
2.6
-0.2
Real Estate
2.4
2.6
-0.2
Utilities
2.9
2.9
0.0
2See Disclosures
