Structured Small Cap Core Equity

Portfolio Characteristics & Allocation¹ as of 9/30/2017

Characteristics

  Structured Small Cap Core Equity Russell 2000 Index
Weighted Avg Market Cap (millions) $3,108.3 $2,200.8
Median Market Cap (millions) $2,243.9 $849.2
Price to Earnings (12-month forward) 21.2 x 27.2 x
Price to Earnings (12-month trailing) 24.9 x 37.8 x
Price to Sales 1.4 x 1.3 x
Price to Cash Flow 12.3 x 12.7 x
Return on Equity 12.3% 5.4%
Dividend Yield 1.1% 1.3%
Turnover (12-month trailing) 78.8% NA
# of Holdings 115 2,000

Sector Weightings

  Structured Small Cap Core Equity Russell 2000 Index
Consumer Discretionary 12.8% 11.8%
Telecommunication Services 2.2% 0.8%
Utilities 4.5% 3.5%
Consumer Staples 2.5% 2.7%
Energy 1.5% 3.7%
Financials 15.7% 18.1%
Health Care 17.1% 15.7%
Industrials 12.1% 15.0%
Information Technology 18.3% 16.8%
Materials 4.8% 4.4%
Real Estate 7.7% 7.2%