U.S. Large Cap Equity Strategy

March 31, 2024
MANAGERS
PERFORMANCE
PORTFOLIO

Current Materials

Overview

INCEPTION February 01, 2011

OBJECTIVE Seeks capital appreciation.

INDEX S&P 500 Low Volatility®
STRATEGY
  • Invests primarily in common stocks within large capitalization companies, typically 80-120 stocks.
  • Utilizes a quantitative multi factor approach to identify companies that we believe have the potential to outperform.
  • Focused fundamental research that eliminates companies with heightened idiosyncratic risk.
  • Dynamic company specific constraint process that seeks to restrict stocks with weak prospects.
  • Unique risk management approach that results in a diversified portfolio with lower standard deviation than the benchmark over full market cycles.

Portfolio Managers

Aash M. Shah, CFA

Head of Investments & Sr. Portfolio Manager

David Harden, Founder

President | Portfolio Manager | Chief Executive Officer | Chief Investment Officer

Performance

Total Returns As Of March 31, 2024
*Inception Date: February 01, 2011
Strategy Net of Fees Excess Returns Vs. S&P 500 Index (Monthly)
Past performance does not guarantee future results. Performance for rolling periods other than monthly are different and are available upon request. The monthly rolling periods are calculated based on the strategy return minus the benchmark return. Outperformance is not indicative of positive absolute performance. Rolling periods calculated monthly since inception.
Calendar Year Returns
202320222021202020192018
Strategy Gross of Fees11.46%-11.20%18.53%12.51%28.23%1.13%
Strategy Net of Fees10.70%-11.88%17.62%11.60%27.20%0.36%
S&P 500 Low Vol0.72%-4.59%24.42%-1.11%28.26%0.27%
Excess Return10.75%-6.62%-5.89%13.62%-0.03%0.86%

2023202220212020
Strategy Gross of Fees11.46%-11.20%18.53%12.51%
Strategy Net of Fees10.70%-11.88%17.62%11.60%
S&P 500 Low Vol0.72%-4.59%24.42%-1.11%
Excess Return10.75%-6.62%-5.89%13.62%

20192018=B7-1=B8-1
Strategy Gross of Fees28.23%1.13%17.64%10.04%
Strategy Net of Fees27.20%0.36%16.92%9.32%
S&P 500 Low Vol28.26%0.27%17.41%10.37%
Excess Return-0.03%0.86%0.23%-0.33%

=B9-1=B10-1=B11-1=B12-1
Strategy Gross of Fees4.58%16.06%28.94%12.08%
Strategy Net of Fees3.57%14.94%27.71%10.98%
S&P 500 Low Vol4.34%17.49%23.59%10.30%
Excess Return0.25%-1.43%5.35%1.78%

Portfolio vs. Peer Average and Indices

Volatility
Returns
Max Drawdowns

Past performance does not guarantee future results.

Characteristics

Portfolio Guidelines
  • Benchmarked against the S&P 500 Low Volatility®
  • 80-120 U.S. large capitalization holdings
  • Sector weight +/- 15% of the benchmark
  • Turnover historically 40-80%
  • Lower standard deviation than the benchmark over full market cycles
  • Fully invested
  • Strong ESG (Environmental, Social, and Governance) considerations
  • Individually customizable for your constraints
Sector Weights
CharacteristicsStrategyS&P 500 Low Vol
Strategy Assets ($ Million)396.24-
Number of Holdings92101
Beta*0.800.65
Standard Deviation* (%)15.1813.64
Market Cap. ($ Billion)74.7459.03
Price to Trailing Earnings22.4522.59
Price to Cash Flow17.6417.47
Price to Book6.004.79
Enterprise Value to Sales3.364.77
Debt as % of Assets15.4136.49
Return on Equity (%)25.9517.93
Top 10 HoldingsTickerWeight
UNITED THERAPEUTICS CORPUTHR3.86%
ALPHABET INC-CL AGOOGL3.68%
EVEREST GROUP LTDEG3.49%
PROGRESSIVE CORPPGR3.36%
ELEVANCE HEALTH INCELV3.30%
COLGATE-PALMOLIVE COCL3.20%
OWENS CORNINGOC3.19%
AUTOMATIC DATA PROCESSINGADP3.11%
META PLATFORMS INC-CLASS AMETA2.64%
CARDINAL HEALTH INCCAH2.60%
* Beta & Standard Deviation 36 months
Fund holdings and sector allocations are subject to change at any time and should not be considered a recommendation to buy or sell any security.
Risk Statistics since February 01, 2011 Strategy S&P 500 Low Vol
Annualized Return 12.83% 10.84%
Annualized Standard Deviation 11.88% 11.53%
Return/Risk 1.08 0.94
Tracking Error 6.61% 8.46%
R-Squared 79.41% 65.55%
Alpha 2.70% 2.07%
Beta 0.73 0.65
Compliance Statement

Performance numbers for the most recent period are preliminary and subject to change. Returns for periods of less than one year are not annualized. Past performance is not a reliable indicator of future performance and should not be relied upon to make investment decisions. Investing involves risks including the possible loss of principal and fluctuation in value. Performance includes the reinvestment of dividends and other earnings.

Performance figures are presented net of fees or both gross and net. In some instances, fees deducted are actual, in other instances, fees deducted are the highest charged in the composite/portfolio. Actual fees may vary depending on, among other things, the applicable fees schedule and portfolio size. SGI fees are available upon request and may also be found in Part 2A of its Form ADV.

Composite returns are calculated from account-level returns based on account membership in the composite during the daily holding period and applying a beginning asset-weighted methodology to each account. Performance includes the reinvestment of dividends and other earning. Investing involves risks including the possible loss of principal and fluctuation in value. The volatility of the indices may be materially different from the individual performance attained by a specific investor. In addition, SGI’s holdings may differ significantly from the securities that comprise the indices. The indices have not been selected to represent an appropriate benchmark to compare an investor’s performance, but rather are disclosed to allow for comparison of the investor’s performance to that of certain well-known and widely recognized indices. You cannot invest directly in an index.

For a GIPS-compliant composite presentation, see this Fact Sheet: U.S. Large Cap Equity 2024 Q2