Portfolio characteristics

Axiom MSCI EM
Holdings 91 1,396
Weighted Average Market Capitalization ($B) $184.6 $168.4
Liquidity ($M/Day) $751 $793
Net Debt/Equity Ratio (%) -16.3 8.3
Price Earnings Ratio 20.0 14.9
Earnings Growth Rate (%) 36.7 33.4
PEG Ratio (PE/Growth Rate) 0.5 0.4
Earnings Revisions Up 69% 61%
Earnings Revisions Down 31% 39%

Risk/return analysis

Axiom MSCI EM
Cumulative Return (%) 178.0 59.3
Cumulative Excess Return (%) 118.7 -
Annualized Return (%) 7.9 3.5
Annualized Excess Return (%) 4.4 -
Batting Average (% Quarterly) 79.2 -
     
Annualized Standard Deviation (%) 22.4 22.2
Upside Capture Ratio (% Quarterly) 153.9 -
Downside Capture Ratio (% Quarterly) 98.0 -
Tracking Error (%) 3.3 -
     
Information Ratio 1.3 -
Annualized Sharpe Ratio 0.3 0.1
Annualized Sortino Ratio 0.5 0.2
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.