What is a Martingale?
As of 6/30/11
The strategy employs a systematic process to build a portfolio of over- and undervalued companies selected from the Russell 1000® universe. Our 130/30 assignments allow us to make selections from a wide range of stocks and typically call for us to invest 130 percent of the portfolio’s funds in long positions and 30 percent in short positions.
| Inception | October 1, 2004 |
| Benchmark | Russell 1000® Growth Index |
| Targeted excess return | 2.0% - 3.0% |
| Estimated tracking error | 2.5% - 4.0% |
| Targeted beta | 1.0 |
| Assets in strategy | $215 million |
| Minimum investment | $50 million (separate accounts only) |
| Fees | 0.75% on all assets |
| Portfolio | Russell 1000® Growth | |
|---|---|---|
| Price to earnings (12 months forward) | 9.6x | 14.5x |
| Price to book | 2.5x | 4.0x |
| Price to cash flow | 6.7x | 12.3x |
| Dividend yield | 1.4% | 1.3% |
| Sustainable growth | 18.1% | 17.9% |
| ROE | 21.7% | 21.7% |
| Market capitalization (weighted avg.) | $93B | $84B |
| Market capitalization (median) | $8B | $7B |
| Number of positions | 243 | 591 |
| Ten largest holdings (% of portfolio) | 30% | |
| Turnover (avg. last 3 years) | 151% |
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® Growth and Russell 1000® are registered trademark of Russell Investments.
