Portfolio characteristics

Axiom MSCI ACWI ex USA Small Cap
Holdings 91 4,213
Weighted Average Market Capitalization ($B) $5.9 $2.8
Liquidity ($M/Day) $38 $20
Net Debt/Equity Ratio (%) -16.5 43.9
Price Earnings Ratio 32.8 16.6
Earnings Growth Rate (%) 32.9 25.3
PEG Ratio (PE/Growth Rate) 1.0 0.7
Earnings Revisions Up 74% 58%
Earnings Revisions Down 26% 42%

Risk/return analysis

Axiom MSCI ACWI ex USA Small Cap
Cumulative Return (%) 169.1 62.6
Cumulative Excess Return (%) 106.5 -
Annualized Return (%) 14.6 6.9
Annualized Excess Return (%) 7.7 -
Batting Average (% Quarterly) 65.5 -
     
Annualized Standard Deviation (%) 16.2 15.9
Upside Capture Ratio (% Quarterly) 157.7 -
Downside Capture Ratio (% Quarterly) 86.9 -
Tracking Error (%) 7.0 -
     
Information Ratio 1.1 -
Annualized Sharpe Ratio 0.9 0.4
Annualized Sortino Ratio 1.4 0.6
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.