Portfolio characteristics

Axiom Russell 2000 Growth
Holdings 53 1,128
Weighted Average Market Capitalization ($B) $5.8 $3.9
Liquidity ($M/Day) $44 $51
Net Debt/Equity Ratio (%) 17.2 25.9
Price Earnings Ratio 32.2 24.3
Earnings Growth Rate (%) 33.7 30.2
PEG Ratio (PE/Growth Rate) 1.0 0.8
Earnings Revisions Up 80% 69%
Earnings Revisions Down 20% 31%

Risk/return analysis

Axiom Russell 2000 Growth
Cumulative Return (%) 544.7 343.0
Cumulative Excess Return (%) 201.8 -
Annualized Return (%) 13.9 10.9
Annualized Excess Return (%) 2.9 -
Batting Average (% Quarterly) 54.4 -
     
Annualized Standard Deviation (%) 17.4 20.7
Upside Capture Ratio (% Quarterly) 93.0 -
Downside Capture Ratio (% Quarterly) 90.3 -
Tracking Error (%) 7.6 -
     
Information Ratio 0.4 -
Annualized Sharpe Ratio 0.7 0.5
Annualized Sortino Ratio 1.2 0.7
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.