Unconstrained Equity

As of 6/30/11

Objective

This strategy seeks the most attractively valued securities on an industry relative basis within the Russell 1000® universe of U.S. large cap companies. The strategy is well diversified across a large number of companies, but does not adhere to benchmark weightings at the security, industry or sector level.
Inception January 1, 2006
Universe Russell 1000®
Targeted excess return 2% - 3%
Estimated tracking error 3% -6%
Beta (expected range) 0.9 - 1.2
Assets in strategy <$1M
Minimum investment $ 20 million (separate accounts only)
Fees 0.70% on the first $25 million
0.30% thereafter

Characteristics

Portfolio Russell 1000®
Price to earnings (12 months forward) 11.3x 12.8x
Price to book 1.8x 2.2x
Price to cash flow 6.6x 9.4x
Dividend yield 1.4% 1.7%
Sustainable growth 13.8% 12.7%
ROE 13.2% 13.3%
Market capitalization (weighted avg.) $23B $79B
Market capitalization (median) $7B $6B
Number of positions 194 1,000
Ten largest holdings (% of portfolio)
7%
Turnover (avg. last 3 years) 94%

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. Russell 1000® is a registered trademark of Russell Investments.

See Also: