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Equity Income

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Overview

A large-cap equity strategy focusing on investing in U.S. companies with above-average dividend yield and attractive valuation.

Strategy Inception Date
February 13, 1987
Composite Inception Date
December 31, 2007
Composite AUM
(as of 10/31/2017)
$3.90 BN
Composite Benchmark
Russell 1000® Value Index
Available Vehicles
Performance
Average Annual Returns
Cumulative Returns
Calendar Year Returns
as of 10/31/2017
as of 09/30/2017

Cumulative
Annualized
3 mo ytd as of 2017-09-30
1 yr 3 yr 5 yr since inception
Equity Income (gross of fees)
3.39% 8.32% 16.97% 5.73% 11.51% 8.50%
Equity Income (net of fees)
3.27% 7.93% 16.42% 5.23% 10.98% 7.98%
Russell 1000® Value Index
3.11% 7.92% 15.12% 8.53% 13.20% 6.72%
Cumulative
Annualized
3 mo ytd as of 2017-10-31
1 yr 3 yr 5 yr since inception
Equity Income (gross of fees)
2.99% 10.18% 19.45% 5.71% 11.76% 8.61%
Equity Income (net of fees)
2.87% 9.75% 18.88% 5.21% 11.23% 8.09%
Russell 1000® Value Index
2.50% 8.70% 17.78% 7.99% 13.48% 6.74%

Year Equity Income (gross of fees) Equity Income (net of fees) Russell 1000® Value Index
2008 -34.74% -35.06% -36.85%
2009 44.03% 43.36% 19.69%
2010 22.30% 21.73% 15.51%
2011 -5.32% -5.78% 0.39%
2012 20.43% 19.87% 17.51%
2013 33.01% 32.39% 32.53%
2014 11.22% 10.69% 13.45%
2015 -8.94% -9.38% -3.83%
2016 15.77% 15.23% 17.34%

Date Equity Income (gross of fees) Equity Income (net of fees) Russell 1000® Value Index
10/31/2012 0.00 0.00 0.00
11/30/2012 -1.07 -1.11 -0.04
12/31/2012 1.48 1.40 2.02
1/31/2013 7.15 7.02 8.65
2/28/2013 7.84 7.67 10.21
3/31/2013 12.96 12.74 14.58
4/30/2013 16.51 16.24 16.31
5/31/2013 20.43 20.10 19.30
6/30/2013 17.86 17.49 18.25
7/31/2013 24.11 23.67 24.63
8/31/2013 20.82 20.34 19.90
9/30/2013 23.11 22.58 22.91
10/31/2013 27.92 27.32 28.29
11/30/2013 32.69 32.01 31.87
12/31/2013 34.98 34.24 35.21
1/31/2014 29.23 28.47 30.41
2/28/2014 35.40 34.55 36.05
3/31/2014 37.87 36.96 39.29
4/30/2014 39.16 38.18 40.62
5/31/2014 41.80 40.75 42.68
6/30/2014 46.64 45.49 46.40
7/31/2014 44.51 43.32 43.91
8/31/2014 50.48 49.18 49.20
9/30/2014 45.05 43.74 46.12
10/31/2014 47.63 46.24 49.40
11/30/2014 50.74 49.27 52.46
12/31/2014 50.12 48.59 53.40
1/31/2015 43.37 41.85 47.26
2/28/2015 52.76 51.08 54.39
3/31/2015 52.07 50.34 52.29
4/30/2015 54.60 52.78 53.71
5/31/2015 55.48 53.59 55.56
6/30/2015 50.66 48.76 52.45
7/31/2015 49.87 47.93 53.12
8/31/2015 42.64 40.73 44.00
9/30/2015 34.78 32.92 39.66
10/31/2015 43.95 41.92 50.19
11/30/2015 43.44 41.35 50.77
12/31/2015 36.71 34.66 47.53
1/31/2016 26.39 24.44 39.90
2/29/2016 26.17 24.18 39.87
3/31/2016 35.71 33.52 49.94
4/30/2016 37.69 35.41 53.09
5/31/2016 39.15 36.80 55.47
6/30/2016 37.33 34.95 56.81
7/31/2016 44.14 41.59 61.37
8/31/2016 46.98 44.32 62.61
9/30/2016 46.57 43.86 62.27
10/31/2016 46.00 43.24 59.76
11/30/2016 53.63 50.67 68.89
12/31/2016 58.27 55.16 73.11
1/31/2017 59.81 56.61 74.34
2/28/2017 65.18 61.81 80.61
3/31/2017 63.36 59.96 78.77
4/30/2017 63.46 59.99 78.43
5/31/2017 62.10 58.60 78.26
6/30/2017 65.81 62.17 81.17
7/31/2017 69.33 65.54 83.58
8/31/2017 66.38 62.60 81.44
9/30/2017 71.44 67.48 86.81
10/31/2017 74.39 70.29 88.17
Portfolio

Top Holdings

(44.6% of assets as of 10/31/2017)


Portfolio Holdings Breakdown

Country
Developed Markets
Equity Sector
Industry
Asset Allocation
Market Cap
Country Equity Income Russell 1000® Value Index Overweight / Underweight
United States 93.7% 99.7% -6.0%
United Kingdom 4.0% 0.1% 4.0%
Developed Markets Equity Income Russell 1000® Value Index Overweight / Underweight
Americas 93.7% 99.7% -6.1%
Europe 4.0% 0.2% 3.8%
Equity Sector Equity Income Russell 1000® Value Index Overweight / Underweight
Financials 26.3% 26.6% -0.4%
Health Care 13.2% 13.7% -0.5%
Energy 12.1% 10.7% 1.4%
Information Technology 11.8% 8.6% 3.1%
Consumer Discretionary 7.8% 6.7% 1.2%
Consumer Staples 7.0% 8.4% -1.4%
Real Estate 5.6% 4.8% 0.9%
Industrials 4.8% 8.4% -3.5%
Utilities 3.7% 6.4% -2.7%
Telecommunication Services 3.6% 2.8% 0.8%
Materials 1.8% 3.0% -1.2%
Industry Equity Income Russell 1000® Value Index Overweight / Underweight
Banks 12.6% 12.7% -0.1%
Oil Gas & Consumable Fuels 12.1% 9.5% 2.6%
Pharmaceuticals 6.8% 6.7% 0.0%
Capital Markets 5.5% 4.1% 1.4%
Equity Real Estate Investment Trusts (REITs) 4.9% 4.6% 0.3%
Health Care Equipment & Supplies 4.2% 2.8% 1.4%
Diversified Telecommunication Services 3.6% 2.7% 0.9%
Food Products 3.5% 2.0% 1.5%
Technology Hardware Storage & Peripherals 3.5% 0.7% 2.8%
Media 3.4% 2.2% 1.2%
Software 3.0% 1.4% 1.5%
Insurance 3.0% 4.8% -1.8%
Semiconductors & Semiconductor Equipment 2.5% 2.9% -0.3%
Electric Utilities 2.4% 3.8% -1.5%
Household Durables 2.2% 0.7% 1.4%
Thrifts & Mortgage Finance 2.0% 0.1% 2.0%
Biotechnology 2.0% 1.2% 0.9%
Communications Equipment 1.9% 1.8% 0.0%
Food & Staples Retailing 1.8% 2.2% -0.4%
Mortgage Real Estate Investment Trusts (REITs) 1.7% 0.3% 1.4%
Asset Allocation Equity Income Russell 1000® Value Index Overweight / Underweight
Equity 96.9% 100.0% -3.1%
Fixed Income 0.9% - -
Market Cap Equity Income Russell 1000® Value Index Overweight / Underweight
Large 70.4% 74.8% -4.3%
Mid 17.8% 22.2% -4.4%
Small 8.6% 2.9% 5.7%
Analytics
(As of 10/31/2017)

Performance Statistics
3Y
5Y
Alpha
-2.79
-2.46
Beta
1.10
1.08
Information Ratio
-0.59
-0.49
R-Squared
90.23
90.80
Sharpe Ratio
0.49
1.03
Standard Deviation
11.95
11.25
Upside Capture
102.19
103.04
Downside Capture
126.13
126.03
Sortino Ratio
0.23
0.51
Win Ratio
44.00
45.00
Loss Ratio
56.00
55.00
Margin of Outperformance
0.80
0.78
Margin of Underperformance
-0.94
-0.85
Tracking Error
3.88
3.51
Portfolio Characteristics
Rep Portfolio
Benchmark
Average Market Cap (weighted)
$143.40 B
$120.80 B
Median Market Cap (weighted)
$94.20 B
$62.00 B
P/E Ratio (LTM)
18.19
19.19
P/E Ratio (NTM)
14.11
16.22
Price/Book
1.74
2.03
Debt to Capital Ratio
51.32
45.05
Turnover Ratio
41.00%
-
Yields
Standardized Yield
2.17%

    Foreign investments may be volatile and involve additional expenses and special risks, including currency fluctuations, foreign taxes and geopolitical risks. Emerging and developing market investments may be especially volatile. Due to the recent global economic crisis that caused financial difficulties for many European Union countries, Eurozone investments may be subject to volatility and liquidity issues. Investments in securities of growth companies may be volatile. Small and mid-sized company stock is typically more volatile than that of larger, more established businesses, as these stocks tend to be more sensitive to changes in earnings expectations. It may take a substantial period of time to realize a gain on an investment in a small or mid-sized company, if any gain is realized at all. Diversification does not guarantee profit or protect against loss.

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