RVI™ Socially Responsible
This strategy is the socially responsible investing (SRI) version of Cimarron's Relative Value Investing (RVI™) process. The investment universe is the FTSE KLD 400 Index, and the benchmark is a 50-50 combination of the KLD 400 and the S&P 500 (there is a combined benchmark because occasionally there are some sectors that are thinly represented in the Domini index). The portfolio is sector neutral to the KLD 400, 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.
Cimarron recognizes that social investing criteria can differ from one client to the next, and that certain stocks in Cimarron's universe may be off limits to certain clients. The RVI™ Socially Responsible strategy can be customized to meet a client's specific needs, and stocks that are off limits to a given client can be built into Cimarron's trading system to be automatically excluded from that account.
| RVI™ Socially Responsible Fact Sheet |
Inception: February 2000
Universe: U.S. listed stocks in the KLD 400 Index
Benchmark: KLD 400 / S&P 500
Number of stocks: 54
| Characteristics (as of September 30, 2009):
|
Portfolio |
KLD 400 |
|
|
|
| Price to Earnings (NTM) |
14.21 |
17.34 |
| Price to Cash Flow (PTM) |
8.80 |
10.77 |
| Price to Book (PTM) |
3.01 |
3.55 |
| PEG Ratio |
1.39 |
1.62 |
| Historical 3 Yr EPS Growth |
16.31 |
10.18 |
| Projected LT EPS Growth |
10.22 |
10.73 |
| Dividend Yield |
1.85 |
1.93 |
| Market Cap (Weighted Avg, $B) |
40,368 |
63,653 |
| Market Cap (Median, $B) |
21,007 |
4,111 |
| Return on Equity |
21.54 |
21.71 |
|
Performance (as of September 30, 2009):
|
Gross |
Net |
KLD 400 |
|
|
|
|
| YTD 09 |
22.34 |
21.66 |
22.57 |
| 1 Year |
-6.42 |
-7.12 |
-3.69 |
| 3 Year |
-2.69 |
-3.42 |
-4.20 |
| 5 Year |
3.98 |
3.20 |
1.10 |
| 7 Year |
9.80 |
8.98 |
5.90 |
| Inception |
5.11 |
4.32 |
-1.43 |
For further information please see disclosures.
|
Risk/Reward Statistics (as of September 30, 2009):
|
Portfolio |
KLD 400 |
|
|
|
| Alpha |
6.41 |
|
| Beta |
0.84 |
|
| Tracking Error |
6.12 |
|
| Information Ratio |
0.95 |
|
| Standard Deviation |
15.29 |
16.52 |
| Sharpe Ratio |
0.12 |
-0.26 |
|
|