Portfolio characteristics

Axiom MSCI EM
Holdings 119 1,391
Weighted Average Market Capitalization ($B) $191.6 $173.5
Liquidity ($M/Day) $858 $929
Net Debt/Equity Ratio (%) -8.9 6.2
Price Earnings Ratio 18.0 15.0
Earnings Growth Rate (%) 39.8 35.9
PEG Ratio (PE/Growth Rate) 0.5 0.4
Earnings Revisions Up 72% 59%
Earnings Revisions Down 28% 41%

Risk/return analysis

Axiom MSCI EM
Cumulative Return (%) 87.9 46.5
Cumulative Excess Return (%) 41.4 -
Annualized Return (%) 9.8 5.8
Annualized Excess Return (%) 4.0 -
Batting Average (% Quarterly) 74.1 -
     
Annualized Standard Deviation (%) 16.5 17.1
Upside Capture Ratio (% Quarterly) 125.6 -
Downside Capture Ratio (% Quarterly) 92.8 -
Tracking Error (%) 3.6 -
     
Information Ratio 1.1 -
Annualized Sharpe Ratio 0.5 0.3
Annualized Sortino Ratio 0.9 0.4
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.