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The table below shows the individual security, industry, and country maximum average overweights and underweights for combined ActiveBeta Momentum and Value Portfolios based on three index universes. These ActiveBeta Portfolios target a 2% tracking error relative to the underlying market index. For example, in the case of the S&P 500 Index, and over the 1992-2009 time period, the maximum overweight and underweight relative to the S&P 500 Index was about 30 basis points for any one security and about 100 basis points for individual industries. The ActiveBeta Portfolio also held over 80% of the names in the S&P 500 Index.
| Index | Security Active Weight (%) | Industry Active Weight (%) | Country Active Weight (%) | % of Names Held in the Universe |
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| Maximum Overweight |
Maximum Underweight |
Maximum Overweight |
Maximum Underweight> |
Maximum Overweight |
Maximum Underweight |
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| S&P 500 MSCI World MSCI EM * |
0.31 0.30 0.25 |
-0.37 -0.34 -0.40 |
0.94 1.62 1.32 |
-1.09 -2.25 -2.19 |
N/A 2.59 1.45 |
N/A -3.10 -2.26 |
82 74 74 |
* Inception date for MSCI Emerging Markets is January 1, 1998.
ActiveBeta Portfolio characteristics are based on historical simulations.
