What is a Martingale?
As of 3/31/10
The strategy employs a systematic process to build a portfolio of over- and undervalued companies selected from the Russell 1000 universe. Our 130/30 assignments allow us to make selections from a wide range of stocks and typically call for us to invest 130 percent of the portfolio’s funds in long positions and 30 percent in short positions.
| Inception | June 1, 2004 |
| Benchmark | Russell 1000 Value Index |
| Targeted excess return | 2.0% - 3.0% |
| Estimated tracking error | 2.5% - 4.0% |
| Targeted beta | 1.0 |
| Assets in strategy | $187 million |
| Minimum investment | $50 million (separate accounts only) |
| Fees | 0.75% on all assets |
| Portfolio | Russell 1000 Value | |
|---|---|---|
| Average price to earnings (12 months forward) | 10.1x | 13.6x |
| Average price to book | 1.5x | 1.5x |
| Average price to cash flow | 3.9x | 6.1x |
| Average dividend yield | 2.0% | 2.1% |
| Sustainable growth | 9.9% | 6.9% |
| ROE (trailing) | 10.6% | 6.8% |
| Weighted average market capitalization | $73B | $71B |
| Median market capitalization | $7B | $4B |
| Number of positions | 259 | 672 |
| Ten largest holdings (as % in portfolio) | 29% | |
| Turnover (avg. last 3 years) | 155% |
Information regarding characteristics is from a representative account that reflects the current management for this strategy. It relates to the portfolio at a particular point in time and should not be regarded as predictive. Martingale Asset Management is the source of data presented. Calculations are derived using current available data from independent research sources that are believed to be accurate. Characteristics of this account may differ from those of other accounts in the same strategy. The targeted excess return and tracking error objectives are relative to the strategy’s benchmark over a full market cycle.
