RVI™ Large Value
This strategy is Cimarron's Relative Value Investing (RVI™) process applied to the large cap value space, benchmarked by the Russell 1000 Value 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 with less volatility than the benchmark by selecting stocks that are undervalued relative to their sector and industry peers, rather than the market overall.
| RVI™ Large Value Fact Sheet |
Inception: July 2001 (GIPS track record begins September 2005)
Universe: Top 700 U.S. listed stocks by market cap
Benchmark: Russell 1000 Value
Number of stocks: 53
| Characteristics (as of September 30, 2009):
|
Portfolio |
R1000V |
|
|
|
| Price to Earnings (NTM) |
13.05 |
20.98 |
| Price to Cash Flow (PTM) |
7.59 |
7.74 |
| Price to Book (PTM) |
2.50 |
1.86 |
| PEG Ratio |
1.32 |
2.68 |
| Historical 3 Yr EPS Growth |
12.87 |
5.21 |
| Projected LT EPS Growth |
9.87 |
7.84 |
| Dividend Yield |
2.52 |
2.88 |
| Market Cap (Weighted Avg, $B) |
54,048 |
68,595 |
| Market Cap (Median, $B) |
29,440 |
3,666 |
| Return on Equity |
17.93 |
11.77 |
|
Performance (as of September 30, 2009):
|
Gross |
Net |
R1000V |
|
|
|
|
| YTD 09 |
11.71 |
11.17 |
14.85 |
| 1 Year |
-14.13 |
-14.71 |
-10.62 |
| 3 Year |
-6.71 |
-7.38 |
-7.87 |
| 5 Year |
1.71 |
0.97 |
0.90 |
| 7 Year |
7.32 |
6.53 |
6.63 |
| Inception |
2.68 |
1.92 |
1.81 |
Inception July 2001; GIPS track record begins October 2005. For further information please see disclosures.
| Risk/Reward Statistics (as of September 30, 2009):
|
Portfolio |
R1000V |
|
|
|
| Alpha |
0.99 |
|
| Beta |
0.89 |
|
| Tracking Error |
3.81 |
|
| Information Ratio |
0.23 |
|
| Standard Deviation |
14.98 |
16.40 |
| Sharpe Ratio |
-0.02 |
-0.07 |
|
|