5000+ Common Stock Database |
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Screened for Market Cap, Liquidity, Balance Sheet Strength |
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Summit All Cap Core 50 Universe 1000 Stocks ($1.0 billion and higher) |
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Multi-Factor, Bottom Up Quantitative Model |
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| Quantitative Factors Include Profit Margin Momentum Valuation Models Reward/Risk Parameters Stock/Industry Price Momentum |
Bottom Up Selection Process All stocks equally weighed Rebalanced Periodically Includes ADRs |
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Summit All Cap Core 50 Portfolio |
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Summit All Cap Core 50 Net Returns |
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| 12/31/02 - 12/31/07 | |||
| Average Portfolio | All Cap Core 50 | Russell | |
| Statistics | 1000 | ||
| Annual Returns1 | 24.50% | 13.43% | |
| Beta | 1.19 | … | |
| R2 | 58.25% | … | |
| Standard Deviation | 13.46% | 8.64% | |
| Alpha | 7.76% | … | |
| Tracking Error | 8.70% | … | |
| Information Ratio | 0.89 | … | |
| # Up Quarters | 18 | 15 | |
| # Down Quarters | 2 | 5 | |
| PE 1-Yr Forecast | 13.1x | 14.9x | |
| Price/Sales | 1.7x | 1.4x | |
| Price/Book Value | 3.6x | 2.8x | |
| Price/Cash Flow | 12.5x | 10.0x | |
| Ret. on Equity (T4Q) | 24.4% | 16.8% | |
| EPS Growth (5-Yr. Est) | 13.5% | 12.4% | |
| Avg. Market Cap (bil) | $30.9 | $15.8 | |
1Investment Return Numbers are presented before fees. |
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All Cap Core 50 vs. Russell 1000 (Quarterly Data After Fees) |
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