Russell 1000 Value 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||-0.77||16.14||34.97||10.07||–||–||–||9.85|
|Net of fees||-0.79||16.05||34.83||9.96||–||–||–||9.75|
|1 Inception Date: February 7, 2018 2 Benchmark: Russell 1000 Value|
|Portfolio Weight||Benchmark Weight|
|Excess return (gross since inception)||-0.01%||–|
|Excess return (net since inception)||-0.11%||–|
|P/E using FY1 est||16.1||16.1|
|P/E using FY2 est||15.7||15.7|
|Historical 3 year EPS growth||14.9%||14.9%|
|Weighted average market cap in $M||$155,398.83mm||$155,599.56mm|
Sector Weights (%)
|Portfolio Weight||Benchmark Weight|
Top Ten Holdings (%)
|Berkshire Hathaway Inc. Class B||2.55|
|JPMorgan Chase & Co.||2.45|
|Johnson & Johnson||2.15|
|UnitedHealth Group Incorporated||1.73|
|Procter & Gamble Company||1.71|
|Bank of America Corp||1.59|
|Walt Disney Company||1.47|
|Comcast Corporation Class A||1.29|
|Exxon Mobil Corporation||1.26|
- Structured and disciplined investment process
- Capabilities to customize index mandates
- Experienced investment team
- Corporate culture built on client service and diversity
Sumali Sanyal, CFA
Cameron McLennan, CFA
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 Value 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.
|Assets in strategy||$11.4mm|
|Benchmark||Russell 1000 Value|
|Predicted tracking error||0-0.25% vs. b/m|
|No. of stocks||B/m|
|Vehicles available||Separately managed|
Annualized Disclosure Presentation
|Annualized Performance Results (%)||3-Yr Annualized Ex-Post Standard Deviation (%)|
|Year End||Composite Gross TWR||Composite Net TWR||Benchmark1||Composite Gross||Benchmark1||Number of Portfolios||Composite Assets ($mm)||Total Firm Assets ($mm)|
|2020||2.79||2.69||2.80||N/A||N/A||Five or fewer||9||12,493|
|2019||26.45||26.35||26.54||N/A||N/A||Five or fewer||7||5,411|
|20182||-7.21||-7.28||-7.25||N/A||N/A||Five or fewer||5||4,026|
|Composite inception date: February 28,, 2018. 1 Benchmark: Russell 1000 Value Index 2 Partial Period Performance Shown from 02/28/18-12/31/18
Xponance,® Inc. (“Xponance®”) claims compliance with the Global Investment Performance Standards (GIPS®) and has prepared and presented this report in compliance with the GIPS standards. Xponance® has been independently verified for the periods from November 1, 1998 through December 31, 2020. The verification report is available upon request.
A firm that claims compliance with the GIPS standards must establish policies and procedures for complying with all the applicable requirements of the GIPS standards. Verification provides assurance on whether the firm’s policies and procedures related to composite and pooled fund maintenance, as well as the calculation, presentation, and distribution of performance, have been designed in compliance with the GIPS standards and have been implemented on a firm-wide basis. Verification does not provide assurance on the accuracy of any specific performance report.
GIPS® is a registered trademark of CFA Institute. CFA Institute does not endorse or promote this organization, nor does it warrant the accuracy or quality of the content contained herein.
On August 31, 2018, FIS Group, Inc. (“FIS Group”) acquired Piedmont Investment Advisors, Inc.’s (“PIA”) predecessor, Piedmont Investment Advisors, LLC. Xponance®, Inc. (“Xponance®”) is an independent, registered investment adviser and is the successor registrant under the Investment Advisers Act of 1940 (the “Advisers Act”) to both FIS Group and its wholly-owned subsidiary, PIA. Pursuant to a corporate rebranding and consolidation strategy, Xponance® was established effective April 1, 2020, to leverage the long histories of its predecessor entities in providing customized investment management products to institutional clients. FIS Group (through its former subsidiaries, Fiduciary Investment Solutions, Inc. and FIS Funds Management, Inc.) managed assets since 1996 and PIA (through its former affiliate Piedmont Investment Advisors, LLC) began managing assets in 2000. The firm maintains a list of composite descriptions and limited pool fund(s) descriptions, which is available upon request.
Total firm assets presented through, and including, Calendar Year 2019 represent total firm assets for PIA, prior to April 1, 2020, this composite was managed by legacy firm PIA. Total firm assets presented post April 1, 2020 represent the total firm assets of Xponance®.
Russell 1000 Value Index Strategy Composite contains fully discretionary passive Russell 1000 Value accounts and for comparison purposes is measured against the Russell 1000 Value Index. The strategy is to replicate and track the return of the Russell 1000 Value. The Russell 1000 Value Index Strategy Composite was created on February 28, 2018. The Russell 1000 Value is an index composed of large capitalization U.S. equities that exhibit value characteristics.
Results are based on fully discretionary accounts under management, including those accounts no longer with the firm. Past performance is not indicative of future results. The composite maintains a significant cash flow policy. A significant cash flow has been defined as any client requested cash withdrawal where we must execute trades to generate the requested cash. We will remove the cash from the account the day we raise the cash; therefore, significant cash flows out of an account will be treated as a temporary account and the member account will remain in the composite.
The U.S. Dollar is the currency used to express performance. Returns are presented gross and net of management fees and include the reinvestment of all income. Net of fee performance was calculated using actual management fees. Policies for valuing investments, calculating performance, and preparing GIPS reports are available upon request ..
The management fee schedule is as follows: First $50mm: 5 bps; Next $100mm: 4 bps; Next $100mm: 3 bps; Next $250mm: 2 bps; Over $500mm: 2 bps
Fees are charged to clients on a quarterly basis. Fees are calculated as a percentage of assets under management and vary based upon the type of product and the total amount of assets under management. The percentage fee is expressed terms of basis points (“BPS”) for our products. One hundred basis points equal 1%. All fees are negotiable.
The three-year annualized standard deviation measures the variability of the composite gross returns, and the benchmark returns over the preceding 36-month period.
Internal dispersion presented is an equal-weighted standard deviation of annual gross returns of those portfolios that were in the composite for the entire year. For those years when less than six portfolios were included in the composite for the full year, no dispersion measure is presented.