Russell 3000 Index Replication Strategy

Q4 2022 | December 31, 2022

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Annualized Returns (%) 

QTD YTD 1 Year 3 Years 5 Years 7 Years 10 Years Since Inception1
Gross of fees 7.18 – – – – – – 2.40
Net of fees 7.18 – – – – – – 2.40
Benchmark 7.18 – – – – – – 2.40
1 Inception Date: June 30, 2022 2 Benchmark: Russell 3000

Characteristics

Portfolio Weight Benchmark Weight
Excess return (gross since inception) – –
Excess return (net since inception) – –
Holdings 2,960 2,960
P/E using FY1 est 16.3 16.3
P/E using FY2 est 16.1 16.1
Dividend yield 1.7% 1.7%
Historical 3 year EPS growth 19.4% 19.4%
Weighted average market cap in $M $356,896.49mm $358,286.69mm

Sector Weights (%)

Portfolio Weight Benchmark Weight
Communication Services 6.77 6.78
Consumer Discretionary 9.97 9.97
Consumer Staples 6.58 6.58
Energy 5.29 5.28
Financials 12.30 12.29
Health Care 15.57 15.56
Industrials 9.74 9.74
Information Technology 24.39 24.40
Materials 3.02 3.02
Real Estate 3.31 3.31
Utilities 3.07 3.07

Top Ten Holdings (%)

Portfolio Weight
Apple Inc. 5.15
Microsoft Corporation 4.73
Amazon.com, Inc. 1.97
Berkshire Hathaway Inc. Class B 1.47
Alphabet Inc. Class A 1.40
UnitedHealth Group Incorporated 1.31
Alphabet Inc. Class C 1.25
Johnson & Johnson 1.23
Exxon Mobil Corporation 1.20
JPMorgan Chase & Co. 1.03

Distinguishing Attributes

  • Structured and disciplined investment process
  • Capabilities to customize index mandates
  • Experienced investment team
  • Corporate culture built on client service and diversity

Portfolio characteristics are subject to change, and current holdings may differ. Past performance is not an indication of future results. Returns are presented gross and net of management fees and include the reinvestment of all income. GIPS-compliant performance information for the firm’s strategies and products are available upon request at info@xponance.com. Results represent preliminary data which is subject to change.

Portfolio Management

Sumali Sanyal, CFA

Managing Director, Senior Portfolio Manager, Systematic Global Equities

Cameron McLennan, CFA

Director, Portfolio Manager, Systematic Global Equities

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 3000 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 06/30/2022
Assets in strategy $318mm
Benchmark Russell 3000
Predicted tracking error 0-0.25% vs. b/m
No. of stocks B/m
Sectors B/m
Annual Turnover 20-30%
Min. investment $10mm
Vehicles available Separately managed