As of 6/30/11
| Inception | July 1, 1996 |
| Benchmark | Russell 2000® Value Index |
| Targeted excess return | 2% - 3% |
| Estimated tracking error | 3% - 4% |
| Targeted beta | 1.0 |
| Assets in strategy | $199 million |
| Minimum investment |
$20 million - separate accounts $ 5 million - commingled fund |
| Fees | 1.00% on all assets |
| Portfolio | Russell 2000® Value | |
|---|---|---|
| Price to earnings (12 months forward) | 11.5x | 15.7x |
| Price to book | 1.4x | 1.3x |
| Price to cash flow | 6.5x | 10.9x |
| Dividend yield | 1.4% | 1.8% |
| Sustainable growth | 11.0% | 8.4% |
| ROE | 7.6% | 4.3% |
| Market capitalization (weighted avg.) | $1,072M | $1,096M |
| Jarket capitalization (median) | $594M | $458M |
| Number of positions | 244 | 1,364 |
| Ten largest holdings (% of portfolio) | 9% | |
| Turnover (avg. last 3 years) | 110% |
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 2000® Value is a registered trademark of Russell Investments.