Low Volatility 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.
Inception January 1, 2008
Universe Russell 1000
Targeted excess return 0.5% - 1.0%
Estimated tracking error 4.0% -10.0%
Beta (expected range) 0.5 - 0.8

Estimated total volatility

(as a % of the market)

70% - 80%
Assets in strategy <$1M
Minimum investment $20 million (separate accounts only)
Fees

0.70% on the first $25 million

0.30% thereafter

Characteristics

Portfolio
Average price to earnings (forward) 14.1x
Average price to book 2.6x
Average price to cash flow 9.2x
Average dividend yield 2.2%
Sustainable growth 10.9%
ROE (trailing) 14.9%
Weighted average market capitalization $49B
Median market capitalization $9B
Number of positions 159
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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