Large Cap Passive Equity

We believe that the most tax-efficient way to manage a large-cap passive equity portfolio is by managing a separate account and replicating the S&P 100 Index. The S&P 100 Index is highly correlated with but has lower turnover than the S&P 500 Index.

The Large Cap Passive Equity product is managed as a separate account, utilizing lot accounting. As a result, each taxable client's unique tax circumstances are optimized while simultaneously accommodating the client's specific investment guidelines (e.g. limits and/or exclusions of individual holdings).

The investment process starts with a clear understanding of the client's investment guidelines:

Client with no investment restrictions - fully replicate the composition of the S&P 100 Index.¹
Client with investment restrictions (e.g. a 5% absolute limit for an individual holding) - reallocate to other holdings on a pro rata basis. (Note: there are a few individual positions in the S&P 100 which exceed 5%.)

Sector Allocations vs. Benchmark (%)²

	Portfolio	S&P 100³	S&P 500⁴
Consumer Discretionary	5.7	5.6	8.7
Consumer Staples	13.8	13.5	10.7
Energy	13.9	13.8	13.0
Financials	15.9	17.0	17.3
Health Care	11.5	11.2	12.3
Industrials	12.0	12.3	11.7
Information Technology	18.0	17.7	15.7
Materials	2.1	2.0	3.5
Telecommunications	5.2	5.1	3.4
Utilities	1.9	1.9	3.7

Portfolio Characteristics vs. Benchmark²

	Portfolio	S&P 100	S&P 500
Latest P/E	14.6x	14.7x	15.3x
Forward P/E (12 mos)	13.0x	13.3x	14.1x
Dividend Yield	2.5%	2.5%	2.1%
Price to Book	2.5x	2.6x	2.5x
Price to Cash Flow	11.1x	10.0x	11.8x
5 Year Avg ROE	21.5%	19.5%	18.1%
Weighted Market Cap (bn)	$147	$147	$96
Beta	0.95	0.96	1.00

Adjustments to Allocations

S&P web-site reviewed daily to determine whether corporate actions (e.g. spin-off's, etc.) and/or planned changes to the composition of the S&P 100 Index have occurred.
New holdings in a portfolio as a result of corporate actions, but which are not in the S&P 100 Index, are sold on a timely basis.
Use of available portfolio cash maximized and turnover and net realized gains minimized in order to accommodate client investment restrictions and/or changes to the composition of the S&P 100 Index.
Active tax loss harvesting not practiced primarily as a result of the inherently low turnover of the S&P 100 Index (historically averaging less than 3% per year).

After-tax risk/return (since inception)^2,5

R² vs S&P 500	0.98
S&P 500 Standard Deviation	16.53
Composite Standard Deviation	17.44
Tracking Error vs S&P 500	2.53

¹As determined by Standard & Poor’s Corporation®. Standard & Poor’s®, S&P®, S&P 100® and Standard and Poor’s 100® Index are trademarks of the McGraw Hill Companies, Inc. and have been licensed for use by Duff & Phelps Investment Management Co. The product is not sponsored, endorsed, sold or promoted by Standard & Poor’s®, and Standard and Poor’s® makes no representation regarding the advisability of investing in the product. Indices are not available for direct investment. ²As of 3/31/2008. This material is deemed supplemental and complements the Institutional Performance & Disclosure contained in the Product Profile. Holdings are subject to change. ³An unmanaged index of 100 stocks. ⁴An unmanaged index of 500 stocks. ⁵Inception: September 30, 1998. After-tax returns based on tax rate of 20%. Data shown represents past performance and is no guarantee of future results. Please see the Institutional Performance & Disclosure contained in the Product Profile.