Low Volatility 130/30 LargeCap Core

As of 3/31/10

Objective

The strategy employs a systematic process to invest in companies in the Russell 1000 universe, considering both return expectations and volatility. By emphasizing undervalued and low volatility securities, the strategy seeks to achieve equity market returns with significantly lower volatility. A 130/30 structure provides the additional flexibility to short overvalued and/or high volatility securities to further enhance the strategy's risk reduction and return potential.
Inception January 1, 2008
Universe Russell 1000
Targeted excess return 1.0% - 2.0%
Estimated tracking error 6.0% - 14.0%
Beta (expected range) 0.4 - 0.7

Estimated total volatility

(as a % of the market)

60% - 70%
Assets in strategy <$1M
Minimum investment $20 million (separate accounts only)
Fees 0.75% on all assets

Characteristics

Portfolio
Average price to earnings (12 months forward) 12.4x
Average price to book 3.0x
Average price to cash flow 7.5x
Average dividend yield 2.6%
Sustainable growth 13.1%
ROE (trailing) 27.1%
Weighted average market capitalization $47B
Median market capitalization $6B
Number of positions 274
Ten largest holdings (as % in portfolio) 13%
Turnover (avg. last 3 years) N/A

Disclosures

Information regarding characteristics is from a representative account that reflects the current management for this strategy. It relates to the portfolio at a particular point in time and should not be regarded as predictive. Martingale Asset Management is the source of data presented. Calculations are derived using current available data from independent research sources that are believed to be accurate. Characteristics of this account may differ from those of other accounts in the same strategy. The targeted excess return and tracking error objectives are relative to the strategy’s benchmark over a full market cycle.

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