What is a Martingale?
As of 6/30/08
| Inception | October 1, 1992 |
| Benchmark | S&P/Citigroup 500 Value Index |
| Targeted excess return | 1% - 2% |
| Estimated tracking error | 2% - 3% |
| Assets in strategy | Incubated strategy |
| Number of clients | |
| Minimum investment | $20 million (separate accounts only) |
| Fees | 0.70% on the first $25 million 0.30% thereafter |
| Portfolio | S&P/Citigroup 500 Value | |
|---|---|---|
| Average price to earnings (forward) | 10.9x | 12.1x |
| Average price to book | 1.8x | 1.7x |
| Average price to cash flow | 6.8x | 11.1x |
| Average dividend yield | 3.1% | 3.4% |
| Earnings growth rate | 11.1% | 9.2% |
| ROE (trailing) | 12.2% | 9.4% |
| Weighted average market capitalization | $72B | $68B |
| Number of positions | 115 | 349 |
| Ten largest holdings (as % in portfolio) | 26% | |
| Turnover (avg. last 3 years) | 114% | |
| Beta (vs. benchmark) | 0.99 |
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.
