Portfolio characteristics

Axiom MSCI EM
Holdings 124 1,396
Weighted Average Market Capitalization ($B) $181.6 $168.4
Liquidity ($M/Day) $735 $793
Net Debt/Equity Ratio (%) -11.9 8.3
Price Earnings Ratio 20.1 14.9
Earnings Growth Rate (%) 35.1 33.4
PEG Ratio (PE/Growth Rate) 0.6 0.4
Earnings Revisions Up 70% 61%
Earnings Revisions Down 30% 39%

Risk/return analysis

Axiom MSCI EM
Cumulative Return (%) 89.5 43.3
Cumulative Excess Return (%) 46.2 -
Annualized Return (%) 10.3 5.7
Annualized Excess Return (%) 4.6 -
Batting Average (% Quarterly) 76.9 -
     
Annualized Standard Deviation (%) 16.7 17.4
Upside Capture Ratio (% Quarterly) 131.2 -
Downside Capture Ratio (% Quarterly) 92.8 -
Tracking Error (%) 3.5 -
     
Information Ratio 1.3 -
Annualized Sharpe Ratio 0.6 0.3
Annualized Sortino Ratio 0.9 0.4
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.