LargeCap Core 200

As of 6/30/11

Objective

The strategy seeks opportunities within the 400 largest U.S. equities that have below-average price-earnings ratios, high sustainable earnings growth, positive changes in earnings estimates, above average management quality, and stable or improving fundamentals.
Inception April 1, 2001
Benchmark Russell Top 200® Index
Targeted excess return 1% - 2%
Estimated tracking error 2% - 3%
Targeted beta 1.0
Assets in strategy $472 million
Minimum investment $20 million (separate accounts only)
Fees 0.70% on the first $25 million
0.30% thereafter

Characteristics

Portfolio Russell Top 200®
Price to earnings (12 months forward) 10.8x 12.0x
Price to book 2.1x 2.2x
Price to cash flow 7.2x 9.3x
Dividend yield 2.0% 1.8%
Sustainable growth 13.9% 12.8%
ROE 16.0% 14.7%
Market capitalization (weighted avg.) $116B $110B
Market capitalization (median) $33B $31B
Number of positions 87 200
Ten largest holdings (% of portfolio) 32%
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 Top 200® is a registered trademark of Russell Investments.

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