Portfolio characteristics

Axiom MSCI ACWI
Holdings 32 2,497
Weighted Average Market Capitalization ($M) $211.8 $131.6
Liquidity ($M/Day) $931 $519
Net Debt/Equity Ratio 11.2 56.6
Price Earnings Ratio 20.4 16.2
Earnings Growth Rate 26.2 15.4
PEG Ratio (PE/Growth Rate) 0.8 1.1
Earnings Revisions Up 77% 58%
Earnings Revisions Down 23% 42%

Risk/return analysis

Axiom MSCI ACWI
Cumulative Return (%) 39.2 28.0
Cumulative Excess Return (%) 11.2
Annualized Return (%) 11.3 8.3
Annualized Excess Return (%) 3.0
Batting Average (%) 66.7
     
Annualized Standard Deviation (%) 11.0 10.3
Upside Capture Ratio (%) 104.9
Downside Capture Ratio (%) 39.1
Tracking Error (%) 6.5
     
Information Ratio 0.5
Annualized Sharpe Ratio 1.0 0.8
Annualized Sortino Ratio 1.7 1.3
As of 12/31/17 since the strategy’s inception.
Note: vs. = characteristic is versus the corresponding index. Figures are gross of fees.
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.