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 6/30/2019. 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 6/30/2019. 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
51
505
Weighted Average Market Cap ($ Mil)
273,163
224,923
Median Market Cap ($ Mil)
117,825
22,142
Forecasted Tracking Error (Barra Predicted)
1.9%
-
Portfolio Beta (Barra Predicted)
1.00
1.00
Dividend Yield
1.9%
2.0%
Price/Earnings (Trailing 12 Months)
20.5x
21.4x
Price/Book Value
5.8x
5.6x
Annual Turnover (Trailing 12 Months)
0.0%
2See Disclosures
Performance Characteristics (Gross of Fees) 1, 4,
TWIN Enhanced 50
Alpha
-2.3%
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 1-year track record
GICS® SECTOR WEIGHTS 2,
TWIN Enhanced 50
S&P 500® Index
Active
Communications Services
10.7%
10.2%
0.5%
Consumer Discretionary
10.4%
10.2%
0.2%
Consumer Staples
8.1%
7.3%
0.8%
Energy
5.2%
5.0%
0.2%
Financials
12.9%
13.1%
-0.2%
Health Care
13.9%
14.2%
-0.3%
Industrials
9.3%
9.4%
0.0%
Information Technology
21.3%
21.5%
-0.2%
Materials
2.1%
2.8%
-0.7%
Real Estate
2.5%
3.1%
-0.5%
Utilities
3.6%
3.3%
0.3%
2See Disclosures
