U.S. Large-Cap Value

Inception Date:
9/30/1995
Strategy Assets:
$1.7 Billion
Benchmark:
Russell 1000 Value
Market capitalization:
≥ $2 Billion
Vehicles:
Separate Account,
Daily Valued Collective Trust,
View Fact Sheet

Performance

As of 9/30/22
MTD QTD YTD 1 Year 3 Year 5 Year 10 Year 15 Year 20 Year 25 Year Inception to Date
Large Cap Value (Gross)
-9.10 -6.06 -14.86 -7.15 6.75 6.37 10.11 7.17 10.00 8.46 10.30
Large Cap Value (Net)
-9.15 -6.21 -15.25 -7.71 6.11 5.73 9.46 6.53 9.34 7.80 9.61
Russell 1000 Value
-8.77 -5.62 -17.75 -11.36 4.36 5.29 9.17 5.71 8.67 6.93 8.97

Top Holdings

As of 9/30/22
Security
% Of Portfolio
Johnson & Johnson
2.9
TJX Companies Inc
2.8
Wells Fargo & Company
2.8
Parker-Hannifin Corporation
2.7
Host Hotels & Resorts, Inc.
2.5
Emerson Electric Co.
2.4
ConocoPhillips
2.2
Analog Devices, Inc.
2.2
Raytheon Technologies Corporation
2.2
JPMorgan Chase & Co.
2.1

Characteristics

As of 9/30/22
Large Cap Value
Russell 1000 Value
Yield
3.09
2.45
P/B
1.85
2.01
P/E
10.33
12.42
Weighted Average Market Cap (Billions)
89.23
134.71
Median Market Cap (Billions)
45.95
10.62
Annual Turnover
51.37%
-
Active Share
77.10%
-

Sector Allocation

As of 9/30/22

Team

Harry C. Radovich, CFA
Harry C. Radovich, CFA

Joined DRZ: 2009
Investment Experience: 36 Years

Jill S. Lynch
Jill S. Lynch

Joined DRZ: 1995
Investment Experience: 32 Years

Zachary J. Pancratz, CFA
Zachary J. Pancratz, CFA

Joined DRZ: 2011
Investment Experience: 11 Years

Joseph A. Turman
Joseph A. Turman

Joined DRZ: 2013
Investment Experience: 13 Years

Anthony J. Lombardo
Anthony J. Lombardo

Joined DRZ: 2022
Investment Experience: 11 Years

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Disclosures

DePrince, Race & Zollo, Inc. has presented this report in compliance with the Global Investment Performance Standards (GIPS®).

1.DePrince, Race & Zollo Inc. (DRZ) is an independent investment management firm, founded in 1995, that manages equity portfolios primarily for U.S. institutional clients.

2.DRZ claims compliance with the Global Investment Performance Standards (GIPS®) and has prepared and presented this report in compliance with the GIPS standards. DRZ has been independently verified for the periods March 31, 1995 through December 31, 2021 by The Spaulding Group. A firm that claims compliance with the GIPS standards must establish policies and procedures for complying with all the applicable requirements of the GIPS Standards. Verification provides assurance on whether the firm’s policies and procedures related to composite and pooled fund maintenance, as well as the calculation, presentation, and distribution of performance, have been designed in compliance with the GIPS standards and have been implemented on a firm-wide basis. Verification does not provide assurance on the accuracy of any specific performance report. The verification reports are available upon request.

3.GIPS® is a registered trademark of CFA Institute. CFA Institute does not endorse or promote this organization, nor does it warrant the accuracy or quality of the content contained herein.

4.Accounts that experience cash flows of 10% or more will be temporarily removed from the composite for one month; this policy applies to all periods. Additional information regarding the firm’s policies for valuing portfolios, calculating performance, and preparing GIPS reports are available upon request.

5.The composite invests in U.S. stocks, ADRs, and foreign domiciled stocks traded in US dollars on the major US exchanges that have a minimum dividend yield equal to the S&P 500’s dividend yield at the time of purchase and a market capitalization in excess of $2.0 billion.

6.Past performance is not indicative of future results. The actual return and value of an account will fluctuate and at any point could be worth more or less than the amount invested. Individual account performance will vary according to individual client investment objectives.

7.The benchmark is the Russell 1000 Value Index which measures the performance of those 1000 companies with lower price-to book ratios and lower forecasted growth values. DRZ’s Large Cap Value portfolios generally consist of 50-80 securities. While the Index is believed to the most relevant benchmark, material differences exist between the holdings and weights of the Index and DRZ’s managed portfolios.

8.Total time-weighted rates of return are expressed in US dollars. Computations include the reinvestment of all dividends and capital gains. For investments in ADRs and foreign domiciled companies, dividends are included net of any withholding taxes.

9.The composite creation date is April 1, 1995, and the composite inception date is March 31, 1995. DRZ’s list of composite descriptions is available upon request.

10.The composite included non-fee paying accounts during the calendar year 2017 thru 2019. The portion of non-fee paying accounts represented 0.23%, 0.33% and 0.44% of the composite’s total market value for each of these years respectively.

11.The gross-of-fees returns are net of transaction costs.

12.Net-of-fees returns are calculated by deducting a model management fee of 0.05% using the highest management fee of 0.60% from the monthly gross-of fee composite return.

13.DRZ’s standard fee schedule for Large Cap Value is 0.60% on all amounts.

14.Internal dispersion is calculated using the equal-weighted standard deviation of annual gross-of-fee returns of those portfolios that were included in the composite for the entire year; it is not presented for periods with 5 or fewer portfolios. The three-year annualized ex-post standard deviation measures the variability of the composite gross-of-fee returns and the benchmark returns over the preceding 36 months period. The three-year ex-post standard deviation is not required for periods prior to 2011.

15.All information including portfolio and performance statistics contained in this document is presented at the composite level rather than for an individual account. This presentation is for informational purposes only and should not be deemed as a recommendation to buy the securities mentioned. The securities highlighted in this document, if any, represent recent holdings. Each quarter, DRZ uses the same objective, non-performance based criteria to select these securities. It should not be assumed that recommendations made in the future will be profitable or will equal the performance of the securities discussed in this report.

16.If clients are listed in this document, it is not known whether they approve or disapprove of DRZ or the advisory services it provides. If included, the representative clients listed in this document are a cross section of current accounts that may or may not maintain similar investment objectives as those expressed by DRZ’s prospective clients. This list may include accounts that are not invested in the investment strategy described in this document.

17.FTSE is the source and owner of Russell Index data reflected in this material and all trademarks and copyrights related thereto. Unauthorized use, disclosure, copying or redistribution of such data is prohibited. FTSE is not responsible for the formatting or configuration of this material or for any inaccuracy in this presentation.