The objective of this Concentrated Large Capitalization Value approach is to
provide over the life of the Strategy and over every three-year period an investment
return superior to that of the Russell 1000 Value Index. A secondary
objective is maximum upside participation during periods of opportunity.
The Efficient Market Hypothesis (EMH), which questions the ability of active
equity management to outperform the market indexes on a consistent basis,
is largely valid; however, there are three exploitable anomalies within the
EMH:
- The Yield Effect - In a limited-candidate universe of large capitalization
stocks, the highest yielding stocks tend to become superior performers
- The Contrarian Effect - In a limited-candidate universe of large capitalization
stocks, the worst multi-year performers tend to become superior
performers over the subsequent multi-year period
- The Momentum Effect - In a broad universe of candidates, the
strongest performers tend to remain strong performers
Combining the sets of buy/sell disciplines exploiting the Contrarian Effect and
the Momentum Effect produces consistently superior investment returns and
maximum upside participation during periods of opportunity.
Consistent with the investment philosophy of Concentrated Value Plus,
portfolios typically consist of 10 stocks in two independently managed
groups:
The Contrarian Group is selected from the 75-candidate Nottinghill
LARGCAP Universe on the basis of multi-year underperformance. The
Group then is held for a multi-year period of recovery. The Momentum
Group stocks are selected from the S&P 500 on the basis of superior performance,
and are held only as long as they remain superior performers.
The role of the Groups is the same: to participate fully during favorable
market periods. Furthermore, the use of multiple sets of buy/sell disciplines
results in a more consistent pattern of superior returns.
Nottinghill results are presented net-of-the management fee; all annualized returns are associated with time
periods ending June 30, 2011 |
PERFORMANCE DISCLOSURE STATEMENT
Nottinghill Investment Advisers, Ltd., has prepared and presented this report in compliance with the Global
Investment Performance Standards (GIPS®). No regulatory or governing body has been involved in the preparation
or review of this report.
1. Nottinghill Investment Advisers, Ltd., (“Firm”) is an independent, SEC-registered investment adviser
utilizing a number of primarily large capitalization equity investment strategies. Berge & Company, Ltd., and
BKD,LLP, Certified Public Accountants in each case, completed Firm-wide Verifications of Nottinghill’s
compliance with the AIM®-PPS™ for, respectively, the 1996-2001 and 2002-2005 periods. The Verifications
associated with years after 2005 also were completed by BKD, LLP, and tested Nottinghill’s compliance with
the aforementioned Global Investment Performance Standards (GIPS®). Verifications are conducted annually;
a copy of the most recent report is available by request.
2. The Concentrated Value Plus performance composite (Composite A: all non-wrap fee accounts and those
with a fixed annual brokerage charge less than 0.25% of assets) was created on January 1, 2008.
3. No segments of other portfolio composites and no accounts with a fixed annual broker charge are included
in the Concentrated Value Plus composite.
4. The most appropriate benchmarks for the Concentrated Value Plus strategy are the style-specific Russell
1000 Value Index and the more broadly representative S&P 500 Index. Both are unmanaged, capitalizationweighted,
and consist of primarily U.S. corporations. Index performance in both cases includes price change
and income, however, neither Index has any expenses. The S&P 500 Index was the sole benchmark prior to
January 1, 2010.
5. Investment results have been calculated net-of-the management fee, which was deducted from the results
achieved by every account in the composite. The annual fee schedule is 1.0% of the first $1 million, 0.75% of
the next $4 million, and 0.50% of remaining assets.
6. Investment results calculated net-of-the management fee are appropriate for presentation or redistribution
in all settings, but must be accompanied by this disclosure language.
7. All performance calculations are based upon trade-date accounting, and, except where otherwise noted,
are associated with time periods ending December 31.
8. Performance is expressed in U.S. Dollars.
9. Annual composite dispersion is the asset-weighted standard deviation of gross investment returns.
10. Exchange-Traded Fund shares may be utilized in this strategy from time to time. No other derivatives
and no leverage are employed.
11. Past performance is no guarantee of future results.
12. A complete list of Nottinghill performance composites and additional information regarding the calculation
and reporting of Nottinghill performance are available upon request.
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