Portfolio characteristics

Axiom MSCI EM
Holdings 86 1,391
Weighted Average Market Capitalization ($B) $190.2 $173.5
Liquidity ($M/Day) $926 $929
Net Debt/Equity Ratio (%) -12.2 6.2
Price Earnings Ratio 18.7 15.0
Earnings Growth Rate (%) 39.8 35.9
PEG Ratio (PE/Growth Rate) 0.5 0.4
Earnings Revisions Up 67% 59%
Earnings Revisions Down 33% 41%

Risk/return analysis

Axiom MSCI EM
Cumulative Return (%) 176.2 62.9
Cumulative Excess Return (%) 113.2 -
Annualized Return (%) 7.7 3.6
Annualized Excess Return (%) 4.1 -
Batting Average (% Quarterly) 77.8 -
     
Annualized Standard Deviation (%) 22.3 22.0
Upside Capture Ratio (% Quarterly) 149.1 -
Downside Capture Ratio (% Quarterly) 98.0 -
Tracking Error (%) 3.3 -
     
Information Ratio 1.2 -
Annualized Sharpe Ratio 0.3 0.1
Annualized Sortino Ratio 0.5 0.2
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.