Russell 1000 Index Replication Strategy
Q3 2021 | September 30, 2021
Annualized Returns (%)
| QTD | YTD | 1 Year | 3 Years | 5 Years | 7 Years | 10 Years | Since Inception1 | ||
| Gross of fees | 0.21 | – | – | – | – | – | – | 0.21 | |
| Net of fees | 0.20 | – | – | – | – | – | – | 0.20 | |
| Benchmark | 0.21 | – | – | – | – | – | – | 0.21 | |
| 1 Inception Date: June 29, 2021 2 Benchmark: Russell 1000 | |||||||||
Characteristics
| Portfolio Weight | Benchmark Weight | |
| Excess return (gross since inception) | – | – |
| Excess return (net since inception) | – | – |
| Holdings | 1026 | 1026 |
| P/E using FY1 est | 21.1 | 21.1 |
| P/E using FY2 est | 19.8 | 19.8 |
| Dividend yield | 1.3% | 1.3% |
| Historical 3 year EPS growth | 23.5% | 23.5% |
| Weighted average market cap in $M | $501,752mm | $502,544mm |
Sector Weights (%)
| Portfolio Weight | Benchmark Weight | |
| Communication Services | 10.60 | 10.59 |
| Consumer Discretionary | 12.26 | 12.25 |
| Consumer Staples | 5.41 | 5.42 |
| Energy | 2.63 | 2.62 |
| Financials | 11.59 | 11.60 |
| Health Care | 13.12 | 13.13 |
| Industrials | 8.66 | 8.65 |
| Information Technology | 27.99 | 27.98 |
| Materials | 2.25 | 2.25 |
| Real Estate | 3.13 | 3.13 |
| Utilities | 2.36 | 2.36 |
Top Ten Holdings (%)
| Portfolio Weight | |
| Apple Inc. | 5.39 |
| Microsoft Corporation | 5.15 |
| Amazon.com, Inc. | 3.46 |
| Facebook, Inc. Class A | 1.97 |
| Alphabet Inc. Class A | 1.96 |
| Alphabet Inc. Class C | 1.81 |
| Tesla Inc | 1.50 |
| Berkshire Hathaway Inc. Class B | 1.23 |
| NVIDIA Corporation | 1.20 |
| JPMorgan Chase & Co. | 1.18 |
Distinguishing Attributes
- Structured and disciplined investment process
- Capabilities to customize index mandates
- Experienced investment team
- Corporate culture built on client service and diversity
Portfolio Management
Sumali Sanyal, CFA
Cameron McLennan, CFA
About Xponance®
Xponance® is a multistrategy investment firm offering strategies across equity and fixed income. We are independent and employee owned by women and diverse professionals, whose common passion is to do the right thing for our clients and each other. Xponance® is the successor firm representing the integration of two great legacy firms, FIS Group, Inc. and Piedmont Investment Advisors, LLC
Investment Philosophy & Process
Founded on a risk-aware philosophy and quantitative investment process, the goal of index strategies at Xponance is to replicate the returns of the client specified benchmark as closely as possible in a cost efficient way and with minimal tracking error. The Russell 1000 Index Strategy is managed on a fully replicated basis where the weight of each stock in the portfolio is in line with its weight in the benchmark. This portfolio holds cash at 0.25% or less. Portfolio managers have the ability to use ETFs to minimize non-equity exposure in the portfolio. The portfolio for this index strategy is constructed using full replication so that the tracking error of the portfolio is minimal, and the portfolio is self-rebalancing, allowing turnover to be in line with the benchmark and transaction costs to remain low. The portfolio is compared and tracked versus the benchmark throughout each trading day to ensure that it reflects the index as closely as possible. Transactions resulting from benchmark changes or changes in cash levels are planned ahead of time and executed in a cost efficient manner. We use data from the index providers to construct and monitor our portfolios.
Portfolio Facts
| Inception date | 06/29/2021 |
| Assets in strategy | $383mm |
| Benchmark | Russell 1000 |
| Predicted tracking error | 0-0.25% vs. b/m |
| No. of stocks | B/m |
| Sectors | B/m |
| Annual Turnover | 10-20% |
| Min. investment | $10mm |
| Vehicles available | Separately managed |