Outperform and Adapt

The Johnson Enhanced Index combines the benefits of both active management and index investing. We believe that a passive equity approach combined with an actively managed fixed income portfolio can consistently outperform the market over time with low volatility. The active management provides benefits of returns that are able to outperform the index and the ability to adapt to changing market conditions. Additionally, the portfolio benefits from the index investing approach of benchmark correlation, lower volatility and lower fees.

Our primary objective is to outperform the S&P 500 Index with low tracking error and comparable volatility by replicating the Large Cap Equity market using Index Futures, combined with short duration investment grade Fixed Income securities.

Decoration
Johnson Enhanced Index believes our disciplined process can provide investors equity index-like price volatility while exceeding the total return of the index over all time periods. The objective is to generate consistent excess returns versus the S&P 500 with low tracking error.
Our process combines a passive equity approach with an actively managed fixed income portfolio. Futures contracts track equity index returns, less an implied cost-of-carry. A short duration bond portfolio is expected to consistently outperformed cost-of-carry over time, providing the opportunity for alpha.
The S&P 500 Index is replicated using futures contracts. Cash not held on margin is invested in an actively managed bond portfolio designed to outperform cost-of-carry, generating alpha for the combined portfolio.
Fact Sheet
Commentary

Performance

Performance
All data as of 9/30/2024.

Index Comparison

Index Comparison
Source: Table Source: eVestment. Trailing 10 years as of 09/30/2024. Active is defined as the median of the eVestment Large Cap Equity pooled vehicles. Passive is the median of the eVestment Passive S&P 500 Equity pooled vehicles Universe. All comparisons are net-of-fees.

THIS MATERIAL IS INTENDED FOR INSTITUTIONAL CLIENTS.

This material contains certain performance data presented in a gross of fees format and does not reflect the deduction of Johnson Investment Counsel’s advisory fees. A client’s return will be reduced by advisory fees and any other expenses incurred in the management of the account. Johnson Investment Counsel’s advisory fees are described in the firm’s Form ADV Part 2A. 

Table Source: eVestment. Trailing 10 years as of 3/31/2023. Active is defined as the median of the eVestment Large Cap Equity Universe. Passive is the median of the eVestment Passive S&P 500 Equity Universe. All comparisons are gross-of-fees.

Table Glossary:  Alpha-excess returns generated for a given level of risk;  Beta-a measure of volatility or systematic risk of a security or portfolio in comparison to the market as a whole; Tracking Error-the annualized standard deviation of excess return to the benchmark;  Standard Deviation-Standard deviation of return measures the average deviations of a return series from its mean, and is often used as a measure of risk. A large standard deviation implies that there have been large swings in the return series of the manager. Measure of total risk;  Upside Capture- measures the percentage of market gains captured by a manager when markets are up. Ratio over 100 indicates fund generally outperformed the benchmark during periods of positive returns for the benchmark;  Downside Capture-measures the percentage of market losses endured by a manager when markets are down.  Ratio of less than 100 indicates that a fund has lost less than its benchmark in periods of benchmark loss;  Sharpe Ratio-a risk- adjusted measure of return which uses standard deviation to represent risk. (Average Portfolio Return - Risk Free Rate)/Standard Deviation;  Information Ratio-a measure of risk-adjusted returns of a portfolio vs. a benchmark. It is the summation of the annualized excess returns divided by the annualized standard deviation of excess returns. The Information Ratio measures the consistency with which a manager beats a benchmark.

Johnson Asset Management (JAM) is a division of Johnson Investment Counsel, Inc. (“JIC”), an independent and privately owned Midwestern based investment advisory firm registered with the Securities and Exchange Commission. Johnson Institutional Management manages institutional separate account portfolios for a wide variety of for-profit and nonprofit organizations, public agencies, public and private retirement plans, and personal trusts of all sizes. It may also serve as sub-adviser for mutual funds. JIC’s fees are available upon request and may be found in our Form ADV Part 2A. Performance data quoted herein represents past performance. Past performance does not guarantee or indicate future results. All data is current as of March 31, 2023 unless otherwise noted. Returns and net asset value will fluctuate. To determine if this strategy is appropriate for you, carefully consider the investment objectives, risk factors, and expenses before investing. Individual account management and construction will vary depending on each client's investment needs and objectives. Investments employing JIC’s strategies are NOT insured by the FDIC or by any other Federal Government Agency, are NOT Bank deposits, are NOT guaranteed by any Bank or any Bank affiliate, and MAY lose value, including possible loss of principal.  

Johnson Asset Management claims compliance with the Global Investment Performance Standards.

The Enhanced Index Composite is comprised of all discretionary equity portfolios with a portfolio value greater than $1 million and an investment objective of replicating the S&P 500 Index utilizing equity futures contracts and short duration fixed income securities.  The benchmark for this composite is the S&P 500 Index, a broadly diversified large cap equity universe of U.S. companies.

JAM’s policies for valuing portfolios, calculating performance and preparing compliant presentations, as well as a complete list of composite descriptions are available upon request. Please contact our office at 513.389.2770 or 3777 West Fork Road, Cincinnati, OH 45247.

All returns reflect the reinvestment of investment income (dividends and/or interest) and capital gains. Valuations and returns are stated in U.S. dollars. Trade date accounting is used. Portfolio returns are calculated using time weighed return methodology on a monthly basis. Net returns shown reflect gross performance less the highest fee schedule for this strategy.

Actual client returns would also be reduced by brokerage commissions, custodial fees, and other client paid expenses detailed in JIC’s Form ADV Part 2A.