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 9/30/2019. 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 9/30/2019. 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)
235,864
230,186
Median Market Cap ($ Mil)
44,911
22,443
Forecasted Tracking Error (Barra Predicted)
0.9%
-
Portfolio Beta (Barra Predicted)
0.99
1.00
Dividend Yield
2.1%
2.0%
Price/Earnings (Trailing 12 Months)
20.0x
20.9x
Price/Book Value
5.7x
6.1x
Annual Turnover (Trailing 12 Months)
21.8%
Performance Characteristics (Gross of Fees) 14
TWIN Enhanced Equity
Alpha
0.8%
Tracking Error
1.5%
Information Ratio
0.54
Beta
0.97
Standard Deviation
14.1%
Sharpe Ratio
0.43
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
10.2%
10.4%
-0.1%
Consumer Discretionary
9.8%
10.1%
-0.3%
Consumer Staples
7.8%
7.6%
0.2%
Energy
4.0
4.5
-0.6
Financials
12.7%
12.9%
-0.2%
Health Care
13.3%
14.2%
-0.3%
Industrials
9.4%
9.3%
0.0%
Information Technology
21.9%
21.9%
0.0%
Materials
3.0%
2.7%
0.3%
Real Estate
3.4%
3.2%
0.2%
Utilities
4.4%
3.6%
0.8%
TWIN Capital Management
3244 Washington Road
Suite 202
McMurray, PA 15317
Phone
724.942.2000
Fax
724.942.2002
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