Portfolio characteristics

Axiom MSCI ACWI ex USA Small Cap
Holdings 87 4,246
Weighted Average Market Capitalization ($B) $7.0 $2.6
Liquidity ($M/Day) $38 $15
Net Debt/Equity Ratio (%) -16.5 45.4
Price Earnings Ratio 33.3 16.1
Earnings Growth Rate (%) 28.7 32.9
PEG Ratio (PE/Growth Rate) 1.2 0.5
Earnings Revisions Up 70% 59%
Earnings Revisions Down 30% 41%

Risk/return analysis

Axiom MSCI ACWI ex USA Small Cap
Cumulative Return (%) 173.3 54.1
Cumulative Excess Return (%) 119.2 -
Annualized Return (%) 15.4 6.4
Annualized Excess Return (%) 9.1 -
Batting Average (% Quarterly) 67.9 -
     
Annualized Standard Deviation (%) 16.4 16.1
Upside Capture Ratio (% Quarterly) 173.1 -
Downside Capture Ratio (% Quarterly) 86.9 -
Tracking Error (%) 6.8 -
     
Information Ratio 1.3 -
Annualized Sharpe Ratio 0.9 0.3
Annualized Sortino Ratio 1.4 0.5
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.