Portfolio characteristics

Axiom MSCI ACWI ex USA
Holdings 49 2,360
Weighted Average Market Capitalization ($B) $163.3 $100.3
Liquidity ($M/Day) $609 $410
Net Debt/Equity Ratio (%) -22.3 44.4
Price Earnings Ratio 38.7 16.3
Earnings Growth Rate (%) 30.2 29.5
PEG Ratio (PE/Growth Rate) 1.3 0.6
Earnings Revisions Up 71% 61%
Earnings Revisions Down 29% 39%

Risk/return analysis

Axiom MSCI ACWI ex USA
Cumulative Return (%) 2128.8 264.5
Cumulative Excess Return (%) 1864.2 -
Annualized Return (%) 13.5 5.4
Annualized Excess Return (%) 8.1 -
Batting Average (% Quarterly) 60.2 -
     
Annualized Standard Deviation (%) 19.9 17.0
Upside Capture Ratio (% Quarterly) 382.2 -
Downside Capture Ratio (% Quarterly) 96.7 -
Tracking Error (%) 10.3 -
     
Information Ratio 0.8 -
Annualized Sharpe Ratio 0.6 0.2
Annualized Sortino Ratio 0.9 0.3
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.