U.S. Large Cap Equity
Objective

The U.S. Large Cap Equity Strategy seeks to outperform the S&P 500 Index over a market cycle, while reducing overall volatility.

Investment Strategy
Team
Portfolio Guidelines
Characteristics As Of September 30, 2021
Sector Weights
CharacteristicsStrategyS&P 500 Low VolS&P 500
Strategy Assets ($ Million)767.91--
Number of Holdings95101505
Beta*0.840.691.00
Standard Deviation* (%)0.160.150.19
Market Cap. ($ Billion)62.0743.61193.26
Price to Trailing Earnings33.3124.7927.66
Price to Cash Flow22.7319.2622.74
Price to Book7.754.657.60
Enterprise Value to Sales5.174.705.80
Debt as % of Assets24.5238.3728.02
Return on Equity (%)30.4118.2827.51
* Beta & Standard Deviation 36 months
Top 10 HoldingsTickerWeight
MICROSOFT CORPMSFT3.87%
AMAZON.COM INCAMZN3.78%
TARGET CORPTGT3.65%
ADOBE INCADBE3.51%
INTUIT INCINTU3.49%
WALMART INCWMT3.46%
TAKE-TWO INTERACTIVE SOFTWRETTWO3.30%
APPLE INCAAPL2.86%
IDEXX LABORATORIES INCIDXX2.72%
ADVANCED MICRO DEVICESAMD2.47%
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 Inception (February 01, 2011) Risk Statistics Strategy S&P 500 Low Vol
Annualized Return 14.24% 13.41%
Annualized Standard Deviation 10.81% 10.87%
Return/Risk 1.32 1.23
Tracking Error 6.53% 7.95%
R-Squared 76.34% 64.40%
Alpha 3.83% 2.98%
Beta 0.71 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:

Total Returns As Of September 30, 2021

Past performance does not guarantee future results.
*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
YTD 2021202020192018201720162015201420132012
Strategy Gross of Fees6.99%12.51%28.23%1.13%17.64%10.04%4.58%16.06%28.94%12.08%
Strategy Net of Fees6.36%11.60%27.20%0.36%16.92%9.32%3.57%14.94%27.71%10.98%
S&P 500 Low Vol9.80%-1.11%28.26%0.27%17.41%10.37%4.34%17.49%23.59%10.30%
Excess Return-2.81%13.62%-0.03%0.86%0.23%-0.33%0.25%-1.43%5.35%1.78%

Strategy Gross of Fees6.99%12.51%28.23%1.13%17.64%10.04%4.58%16.06%28.94%12.08%
Strategy Net of Fees6.36%11.60%27.20%0.36%16.92%9.32%3.57%14.94%27.71%10.98%
S&P 50015.91%18.39%31.47%-4.39%21.82%11.95%1.37%13.68%32.37%15.99%
Excess Returns-8.92%-5.87%-3.24%5.52%-4.19%-1.91%3.21%2.38%-3.44%-3.92%

Past performance does not guarantee future results.

SGI Large Cap Vs. Average Peer Returns

Past performance does not guarantee future results.

SGI Large Cap Vs. Average Peer Volatility

Past performance does not guarantee future results.

Max Drawdowns

Past performance does not guarantee future results.

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:

Fact Sheets
U.S. Large Cap Equity 2021 Q3
Commentary
Quarterly Market Commentary U.S. Large Cap Commentary
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