Portfolio Guidelines

  • Typically 40–60 positions
  • Maximum position size is 7%
  • Top 10 holdings are typically greater than 30% of net assets
  • Maximum industry exposure is 20%
  • Maximum sector exposure is 30%

Market Capitalization

The portfolio typically invests in large-capitalization companies with a market capitalization of $5 billion or greater.

Top Ten Equity Holdings
As Of December 31, 2017

Abbott Laboratories Health Care 4.1%
Citigroup, Inc. Financials 4.1
Discover Financial Services Financials 3.7
JPMorgan Chase & Co. Financials 3.6
United Technologies Corp. Industrials 3.3
Microsoft Corp. Info. Technology 3.2
Alphabet, Inc. (Cl A) Info. Technology 3.1
Morgan Stanley Financials 3.1
Philip Morris International, Inc. Consumer Staples 2.8
Pfizer, Inc. Health Care 2.8
Total As % Of Net Assets 33.9%
Total Number Of Equity Holdings 53

Sector Allocation1
As Of December 31, 2017

Large Cap Composite Russell 1000 Index Russell 1000 Value Index
Financials 27.9% 14.9% 26.6%
Cons. Discretionary 17.2 13.1 7.9
Health Care 13.7 13.1 13.5
Info. Technology 12.1 23.4 8.6
Consumer Staples 11.6 7.1 7.5
Industrials 8.4 10.5 8.3
Energy 3.8 5.9 11.0
Materials 3.8 3.4 3.0
Real Estate 0.0 3.6 4.7
Telecom 0.0 2.0 3.0
Utilities 0.0 2.9 5.9
Cash & Other 1.5 0.0 0.0

Portfolio Characteristics Vs. Benchmark2

As Of December 31, 2017

Large Cap Composite Russell 1000 Index Russell 1000 Value Index
Median Forward P/E 19.3x 21.2x 19.9x
Median Trailing P/E 21.2x 24.6x 22.4x
Weighted Average Dividend Yield 1.7% 1.8% 2.3%
Median Price / Book 3.1x 3.1x 2.4x
Median Price / Sales 2.4x 2.6x 2.2x
Median Market Cap. $41.5B $10.1B $9.4B
Weighted Average Market Cap. $135.4B $162.8B $119.5B
Portfolio Turnover 5 Year 20% —   —  
Active Share3 vs. Core4 / Value5 Benchmark 80% / 82% —   —  
Upside/Downside Capture Ratio6 vs. Core Benchmark4 110% / 91% —   —  
Upside/Downside Capture Ratio6 vs. Value Benchmark5 112% / 93% —   —  

1 Cash & Other may include cash, treasuries, money market funds, and short duration fixed income funds

2 Source: FactSet.

3 Source: Morningstar Direct. Active share measures the difference between portfolio holdings and the benchmark. The higher the active share, the greater the difference.

4 The Russell 1000 Index is the core benchmark.

5 The Russell 1000 Value Index is the value benchmark.

6 Source: eVestment Analytics based on quarterly returns (gross of fees) from 7/1/01 – 12/31/17.

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