Portfolio characteristics

Axiom MSCI ACWI
Holdings 24 2,981
Weighted Average Market Capitalization ($B) $333.0 $308.2
Liquidity ($M/Day) $1,759 $1,845
Net Debt/Equity Ratio (%) -3.8 58.3
Price Earnings Ratio 47.1 19.5
Earnings Growth Rate (%) 24.2 25.2
PEG Ratio (PE/Growth Rate) 1.9 0.8
Earnings Revisions Up 87% 67%
Earnings Revisions Down 13% 33%

Risk/return analysis

Axiom MSCI ACWI
Cumulative Return (%) 140.6 70.7
Cumulative Excess Return (%) 69.9 -
Annualized Return (%) 15.5 9.2
Annualized Excess Return (%) 6.3 -
Batting Average (% Quarterly) 70.8 -
     
Annualized Standard Deviation (%) 15.7 14.7
Upside Capture Ratio (% Quarterly) 143.8 -
Downside Capture Ratio (% Quarterly) 85.6 -
Tracking Error (%) 7.1 -
     
Information Ratio 0.9 -
Annualized Sharpe Ratio 0.9 0.6
Annualized Sortino Ratio 1.5 0.9
As of 12/31/20 since the strategy's inception.
Source: FactSet Portfolio and index characteristics are as of the date indicated, and may materially differ in the future. Please see Investment Disclosures for important information regarding Axiom products and strategies.