CURRENT MATERIALS
Current Materials
Portfolio Managers
Aash M. Shah, CFA
Senior Portfolio Manager
BIO
David Harden, Founder
President | Portfolio Manager | Chief Executive Officer | Chief Investment Officer
BIO
Performance
Total Returns As Of June 30, 2023
*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
| 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
| Strategy Gross of Fees | -11.20% | 18.53% | 12.51% | 28.23% | 1.13% | 17.64% | 10.04% | 4.58% | 16.06% | 28.94% | 12.08% |
| Strategy Net of Fees | -11.88% | 17.62% | 11.60% | 27.20% | 0.36% | 16.92% | 9.32% | 3.57% | 14.94% | 27.71% | 10.98% |
| S&P 500 Low Vol | -4.59% | 24.42% | -1.11% | 28.26% | 0.27% | 17.41% | 10.37% | 4.34% | 17.49% | 23.59% | 10.30% |
| Excess Return | -6.62% | -5.89% | 13.62% | -0.03% | 0.86% | 0.23% | -0.33% | 0.25% | -1.43% | 5.35% | 1.78% |
| Strategy Gross of Fees | -11.20% | 18.53% | 12.51% | 28.23% | 1.13% | 17.64% | 10.04% | 4.58% | 16.06% | 28.94% | 12.08% |
| Strategy Net of Fees | -11.88% | 17.62% | 11.60% | 27.20% | 0.36% | 16.92% | 9.32% | 3.57% | 14.94% | 27.71% | 10.98% |
| S&P 500 | -18.13% | 28.68% | 18.39% | 31.47% | -4.39% | 21.82% | 11.95% | 1.37% | 13.68% | 32.37% | 15.99% |
| Excess Returns | 6.93% | -10.15% | -5.87% | -3.24% | 5.52% | -4.19% | -1.91% | 3.21% | 2.38% | -3.44% | -3.92% |
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
- 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
| Characteristics | Strategy | S&P 500 Low Vol | S&P 500 |
| Strategy Assets ($ Million) | 640.88 | - | - |
| Number of Holdings | 103 | 100 | 505 |
| Beta* | 0.80 | 0.67 | 1.00 |
| Standard Deviation* (%) | 0.16 | 0.15 | 0.18 |
| Market Cap. ($ Billion) | 43.48 | 43.49 | 188.97 |
| Price to Trailing Earnings | 19.79 | 19.89 | 26.47 |
| Price to Cash Flow | 14.52 | 15.15 | 21.22 |
| Price to Book | 4.92 | 2.78 | 6.20 |
| Enterprise Value to Sales | 3.59 | 3.95 | 5.07 |
| Debt as % of Assets | 24.97 | 35.60 | 27.23 |
| Return on Equity (%) | 25.69 | 12.38 | 23.47 |
| Top 10 Holdings | Ticker | Weight |
| MICROSOFT CORP | MSFT | 3.44% |
| LAMB WESTON HOLDINGS INC | LW | 2.53% |
| CISCO SYSTEMS INC | CSCO | 2.51% |
| PROGRESSIVE CORP | PGR | 2.50% |
| VERTEX PHARMACEUTICALS INC | VRTX | 2.49% |
| ELECTRONIC ARTS INC | EA | 2.49% |
| MERCK & CO. INC. | MRK | 2.42% |
| UNITEDHEALTH GROUP INC | UNH | 2.37% |
| GILEAD SCIENCES INC | GILD | 2.33% |
| HERSHEY CO/THE | HSY | 2.32% |
* 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.
| HERSHEY CO/THE | Strategy | S&P 500 Low Vol | S&P 500 |
| Annualized Return | 12.36% | 14.25% | 12.69% |
| Annualized Standard Deviation | 11.98% | 11.70% | 14.42% |
| Return/Risk | 1.03 | 1.22 | 0.88 |
| Tracking Error | 6.73% | 8.52% | - |
| R-Squared | 78.58% | 65.14% | - |
| Alpha | 2.83% | 2.83% | - |
| Beta | 0.74 | 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 2023 Q2