Portfolio characteristics

Axiom MSCI ACWI
Holdings 25 2,977
Weighted Average Market Capitalization ($B) $341.9 $298.7
Liquidity ($M/Day) $1,741 $1,845
Net Debt/Equity Ratio (%) -10.0 57.8
Price Earnings Ratio 44.6 20.1
Earnings Growth Rate (%) 26.5 22.8
PEG Ratio (PE/Growth Rate) 1.7 0.9
Earnings Revisions Up 76% 61%
Earnings Revisions Down 24% 39%

Risk/return analysis

Axiom MSCI ACWI
Cumulative Return (%) 140.4 78.5
Cumulative Excess Return (%) 61.9 -
Annualized Return (%) 14.9 9.6
Annualized Excess Return (%) 5.3 -
Batting Average (% Quarterly) 68.0 -
     
Annualized Standard Deviation (%) 15.5 14.5
Upside Capture Ratio (% Quarterly) 134.2 -
Downside Capture Ratio (% Quarterly) 85.6 -
Tracking Error (%) 7.3 -
     
Information Ratio 0.7 -
Annualized Sharpe Ratio 0.9 0.6
Annualized Sortino Ratio 1.5 0.9
As of 03/31/21 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.