RVI™ Large Cap
This strategy applies Cimarron's Relative Value Investing (RVI™) process to the S&P 500 Index. The portfolio is sector neutral to the benchmark, equally weighted, made up of between 50 and 60 stocks and remains fully invested. The strategy seeks to outperform the index with less volatility by selecting stocks that are undervalued relative to their sector peers, rather than the market overall.
|
Inception: July 1999
Universe: Top 700 U.S. listed stocks by market cap
Benchmark: S&P 500 Index
Number of stocks: 54
| Characteristics (as of September 30, 2009):
|
Portfolio |
S&P 500 |
|
|
|
| Price to Earnings (NTM) |
13.82 |
18.90 |
| Price to Cash Flow (PTM) |
9.01 |
9.97 |
| Price to Book (PTM) |
3.52 |
3.34 |
| PEG Ratio |
1.35 |
1.94 |
| Historical 3 Yr EPS Growth |
16.31 |
11.04 |
| Projected LT EPS Growth |
10.22 |
9.73 |
| Dividend Yield |
2.10 |
2.37 |
| Market Cap (Weighted Avg, $B) |
67,390 |
76,802 |
| Market Cap (Median, $B) |
29,706 |
8,041 |
| Return on Equity |
23.54 |
19.59 |
|
Performance (as of September 30, 2009):
|
Gross |
Net |
S&P 500 |
|
|
|
|
| YTD 09 |
14.99 |
14.43 |
19.26 |
| 1 Year |
-10.33 |
-10.93 |
-6.91 |
| 3 Year |
-4.79 |
-5.48 |
-5.43 |
| 5 Year |
2.84 |
2.09 |
1.02 |
| 7 Year |
6.75 |
5.96 |
5.86 |
| 10 Year |
4.35 |
3.57 |
-0.15 |
| Inception |
3.68 |
2.91 |
-0.77 |
For further information please see disclosures.
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Risk/Reward Statistics (as of September 30, 2009):
|
Portfolio |
S&P 500 |
|
|
|
| Alpha |
4.35 |
|
| Beta |
0.88 |
|
| Tracking Error |
5.05 |
|
| Information Ratio |
0.88 |
|
| Standard Deviation |
14.88 |
16.10 |
| Sharpe Ratio |
0.05 |
-0.23 |
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