TWIN Enhanced 50
A variant of Enhanced Equity, this concentrated portfolio holds 50 stocks or less seeking to deliver excess returns relative to its S&P 500Ⓡ benchmark while minimizing tracking error.
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.
1See Disclosures
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.
1See Disclosures
*Inception October 1, 2018
Strategy Characteristics 2,
TWIN Enhanced 50
S&P 500® Index
Number of Holdings
50
505
Weighted Average Market Cap ($ Mil)
278,620
230,186
Median Market Cap ($ Mil)
123,878
22,443
Forecasted Tracking Error (Barra Predicted)
1.9%
-
Portfolio Beta (Barra Predicted)
0.98
1.00
Dividend Yield
1.9%
2.0%
Price/Earnings (Trailing 12 Months)
20.5x
20.9x
Price/Book Value
6.2x
6.1x
Annual Turnover (Trailing 12 Months)
17.4%
2See Disclosures
Performance Characteristics (Gross of Fees) 1, 4,
TWIN Enhanced 50
Alpha
-1.6%
Tracking Error*
Information Ratio*
Beta*
Standard Deviation*
Sharpe Ratio*
Upside Capture*
Downside Capture*
1See Disclosures
4See Disclosures
*Data not provided for strategies with less than 3-year track record
GICS® SECTOR WEIGHTS 2,
TWIN Enhanced 50
S&P 500® Index
Active
Communications Services
10.8%
10.4%
0.5%
Consumer Discretionary
10.2%
10.1%
0.1%
Consumer Staples
8.5
7.6%
0.9%
Energy
4.5%
4.5%
0.0%
Financials
13.2%
12.9%
0.3%
Health Care
12.8%
13.7%
-0.8%
Industrials
9.4%
9.3%
0.1%
Information Technology
21.6%
21.9%
-0.3%
Materials
1.9%
2.7%
-0.8%
Real Estate
3.3%
3.2%
0.0%
Utilities
3.7%
3.6%
0.1%
2See Disclosures
