Low Volatility 130/30 LargeCap Equity

As of 6/30/11

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. A 130/30 structure provides the additional flexibility to short overvalued and/or high volatility securities to further enhance the strategy's risk reduction and return potential.
Inception January 1, 2008
Universe Russell 1000®
Return target 1.0% - 2.0%

Volatility target

 60% - 70% of the Russell 1000® Index
Beta (expected range) 0.4 - 0.7
Estimated tracking error 6.0% - 14.0%
Assets in strategy <$1M
Minimum investment $20 million (separate accounts only)
Fees 0.75% on all assets

Characteristics

Portfolio
Price to earnings (12 months forward) 13.1x
Price to book 2.8x
Price to cash flow 7.6x
Dividend yield 2.7%
Sustainable growth 11.7%
ROE 21.2%
Market capitalization (weighted avg.) $53B
Market capitalization (median) $7B
Number of positions 319
Ten largest holdings (% of portfolio) 13%
Turnover (avg. last 3 years) 89%

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.

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