TWMDVPT TWM Deep Value Total Return Index

This is the total return version of TWMDVP. The Index starts with a universe of companies that mirrors the S&P 500 Index. The universe of companies is then narrowed to include only companies that have positive earnings and returns on invested capital, generate free cash flow, and currently pay a dividend. The remaining companies are then evaluated based on valuation metrics. The companies within the Index are weighted based on a rules-based assessment of their valuations relative to each other so that, at the time of each reconstitution, the 5 most undervalued companies are each weighted at 7.5%, the next 5 most undervalued companies are each weighted at 4.5% and the next 10 most undervalued companies are each weighted at 4.0%. From time to time, the Index may include more or less than 20 companies as a result of events such as acquisitions, spin-offs and other corporate actions. The full Index of 20 companies is reconstituted annually in September. The portion of the Index with the 10 most undervalued (the “top 10”) of the 20 companies is not generally rebalanced or otherwise reconstituted during the year. The portion of the Index with the remaining 10 companies (the “bottom 10”) is reconstituted quarterly in December, March and June with each of the bottom 10 companies being weighted equally.

As of 07/05/2017

Index Information
Provider:     S&P Dow Jones
Category1:  US Equity
Category2:  Broad market
Category3:  Large cap
Currency:    USD
Inception date:  08/11/2014
Backtesting data exists:   Yes
Weighting methodology:   Other
Number of holdings:  20
Total return version:  TWMDVP

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