The objective of this Concentrated Core approach is to provide over the life of
the Strategy and over every three-year period an investment return superior
to that of the S&P 500 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 Momentum Effect - In a broad universe of candidates, the
strongest performers tend to remain strong performers
- 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
Combining the sets of buy/sell disciplines exploiting the Momentum Effect and
the Contrarian Effect produces consistently superior investment returns and
maximum upside participation during periods of opportunity.
Consistent with the investment philosophy of Growth & Value 10, portfolios
typically consist of 10 stocks in two independently managed groups:
The five-stock Momentum Group is selected from the entire S&P 500 on
the basis of superior corporate and stock-price performance. Group stocks
are held only as long as they remain superior performers. The Contrarian
Group, on the other hand, 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. During certain periods
of above-average stock market risk, which are determined objectively,
intermediate-term Treasuries are held instead of the growth-oriented Momentum
Group. Equities, therefore, constitute 50-100% of the portfolio,
and utilizing multiple Growth and Value disciplines to select those equities
results in a more consistent pattern of superior investment returns.
Nottinghill results are presented net-of-the management fee; all annualized returns are associated with time
periods ending December 31, 2009 |
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 AIMR-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 Growth & Value 10 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 Growth & Value 10 composite.
4. The most appropriate benchmark for the Growth & Value 10 strategy is the S&P 500 Index, an unmanaged,
capitalization-weighted index of primarily U.S. corporations. Index performance includes price change
and income, however, the Index has no expenses. The S&P 500 Index has been the benchmark since inception.
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 $14 million, 0.65% of the next $35 million, and 0.50% of the next $50 million..
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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