Portfolio characteristics

Axiom MSCI ACWI
Holdings 47 2,981
Weighted Average Market Capitalization ($B) $451.2 $308.2
Liquidity ($M/Day) $3,285 $1,845
Net Debt/Equity Ratio (%) 29.8 58.3
Price Earnings Ratio 38.7 19.5
Earnings Growth Rate (%) 21.3 25.2
PEG Ratio (PE/Growth Rate) 1.8 0.8
Earnings Revisions Up 83% 67%
Earnings Revisions Down 17% 33%

Risk/return analysis

Axiom MSCI ACWI
Cumulative Return (%) 423.4 250.7
Cumulative Excess Return (%) 172.7 -
Annualized Return (%) 10.6 7.9
Annualized Excess Return (%) 2.7 -
Batting Average (% Quarterly) 65.2 -
     
Annualized Standard Deviation (%) 16.9 15.7
Upside Capture Ratio (% Quarterly) 157.9 -
Downside Capture Ratio (% Quarterly) 100.9 -
Tracking Error (%) 5.0 -
     
Information Ratio 0.5 -
Annualized Sharpe Ratio 0.5 0.4
Annualized Sortino Ratio 0.8 0.6
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.