Large Cap Core

Overview

The Strategy typically invests in a diversified mix of larger U.S. company stocks

Strategy Inception Date
December 31, 2007
Composite Inception Date
December 31, 2007
Composite AUM
(as of 07/31/2019)
$13.70 BN
Composite Benchmark
S&P 500 Index
Available Vehicles
Separate Account
Commingled Vehicle
Model Portfolio Delivery
Performance
Average Annual Returns
Calendar Year Returns
as of 07/31/2019
as of 06/30/2019

Cumulative
Annualized
ytd as of 2019-06-30
1 yr 3 yr 5 yr 10 yr since inception
Large Cap Core (gross of fees)
21.70% 12.66% 12.58% 10.30% 14.48% 8.58%
Large Cap Core (net of fees)
21.42% 12.12% 12.05% 9.77% 13.93% 8.07%
S&P 500 Index
18.54% 10.42% 14.19% 10.71% 14.70% 8.53%
Cumulative
Annualized
ytd as of 2019-07-31
1 yr 3 yr 5 yr 10 yr since inception
Large Cap Core (gross of fees)
23.72% 11.00% 12.09% 10.97% 13.90% 8.67%
Large Cap Core (net of fees)
23.38% 10.47% 11.55% 10.44% 13.36% 8.16%
S&P 500 Index
20.24% 7.99% 13.36% 11.34% 14.03% 8.60%

Year Large Cap Core (gross of fees) Large Cap Core (net of fees) S&P 500 Index
2008 -38.18% -38.49% -37.00%
2009 29.94% 29.33% 26.46%
2010 16.98% 16.43% 15.06%
2011 0.86% 0.37% 2.11%
2012 17.72% 17.17% 16.00%
2013 32.75% 32.12% 32.39%
2014 11.52% 10.99% 13.69%
2015 4.05% 3.55% 1.38%
2016 12.51% 11.98% 11.96%
2017 17.83% 17.27% 21.83%
2018 -7.05% -7.50% -4.38%
Portfolio

Top Issuers

(59.4% of assets as of 07/31/2019)


Portfolio Holdings Breakdown

Country
Developed Markets
Equity Sector
Industry
Asset Allocation
Market Cap 2
Country Large Cap Core S&P 500 Index Overweight / Underweight
United States 93.5% 99.9% -6.4%
Canada 2.3% - -
United Kingdom 1.3% 0.1% 1.3%
Denmark 0.4% - -
Developed Markets Large Cap Core S&P 500 Index Overweight / Underweight
Americas 95.9% 99.9% -4.1%
Europe 1.8% 0.1% 1.7%
Equity Sector Large Cap Core S&P 500 Index Overweight / Underweight
Information Technology 18.8% 21.8% -3.0%
Financials 18.5% 13.2% 5.3%
Health Care 14.7% 13.8% 1.0%
Consumer Discretionary 14.0% 10.2% 3.8%
Industrials 9.2% 9.3% -0.1%
Consumer Staples 7.3% 7.3% 0.0%
Communication Services 5.4% 10.5% -5.1%
Energy 4.6% 4.9% -0.3%
Real Estate 3.1% 3.1% 0.0%
Utilities 1.4% 3.3% -1.9%
Materials 0.6% 2.7% -2.1%
Industry Large Cap Core S&P 500 Index Overweight / Underweight
Software 8.2% 6.7% 1.6%
Banks 6.5% 5.6% 0.8%
Pharmaceuticals 6.5% 4.3% 2.2%
Internet & Direct Marketing Retail 5.6% 3.7% 1.9%
Specialty Retail 5.5% 2.3% 3.2%
Diversified Financial Services 5.1% 1.6% 3.5%
Semiconductors & Semiconductor Equipment 4.5% 3.9% 0.6%
Household Products 4.5% 1.8% 2.7%
Capital Markets 4.0% 2.8% 1.2%
Health Care Providers & Services 3.8% 2.7% 1.1%
Interactive Media & Services 3.6% 5.0% -1.4%
Oil Gas & Consumable Fuels 3.5% 4.4% -0.9%
Equity Real Estate Investment Trusts (REITs) 3.1% 3.0% 0.1%
Communications Equipment 3.0% 1.2% 1.8%
Aerospace & Defense 2.8% 2.6% 0.3%
IT Services 2.4% 5.3% -3.0%
Health Care Equipment & Supplies 2.3% 3.6% -1.3%
Tobacco 2.1% 0.9% 1.2%
Commercial Services & Supplies 1.8% 0.4% 1.4%
Diversified Telecommunication Services 1.8% 2.0% -0.1%
Asset Allocation Large Cap Core S&P 500 Index Overweight / Underweight
Equity 97.6% 100.0% -2.4%
Market Cap Large Cap Core S&P 500 Index Overweight / Underweight
Large 85.1% 90.2% -5.1%
Mid 12.5% 9.8% 2.7%
Analytics
(As of 07/31/2019)

Performance Statistics
3Y
5Y
Alpha
-1.09
-0.23
Beta
1.00
0.99
Information Ratio
-0.52
-0.17
R-Squared
96.05
96.80
Sharpe Ratio
0.87
0.85
Standard Deviation
12.34
12.07
Upside Capture
95.63
98.51
Downside Capture
101.25
100.10
Sortino Ratio
1.28
1.34
Win Ratio
53.00
55.00
Loss Ratio
47.00
45.00
Margin of Outperformance
0.34
0.36
Margin of Underperformance
-0.58
-0.50
Tracking Error
2.45
2.16
Yields
Portfolio Characteristics
Rep Portfolio
Composite Benchmark
Average Market Cap (weighted)
$237.63 B
$250.25 B
Median Market Cap (weighted)
$89.11 B
$115.27 B
P/E Ratio (LTM)
19.32
19.34
P/E Ratio (NTM)
17.02
17.12
Price/Book
3.65
3.39
Debt to Capital Ratio
51.00
47.22
Turnover Ratio
56%
-
Team
  1. 1. Holdings are subject to change and are dollar-weighted based on assets.
  2. 2. Holdings are subject to change, are dollar-weighted based on assets, and may not reflect the use of leverage in the Fund. Market Cap breakdown is calculated using Morningstar's methodology and those capitalization standards may not align with those in the Fund's prospectus.
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