Portfolio characteristics

Axiom MSCI EM
Holdings 88 844
Weighted Average Market Capitalization ($M) $119.0 $98.9
Liquidity ($M/Day) $370 $296
Net Debt/Equity Ratio 4.2 18.0
Price Earnings Ratio 13.4 12.4
Earnings Growth Rate 22.0 19.1
PEG Ratio (PE/Growth Rate) 0.6 0.7
Earnings Revisions Up 60% 53%
Earnings Revisions Down 40% 47%

Risk/return analysis

Axiom MSCI EM
Cumulative Return (%) 99.6 33.1
Cumulative Excess Return (%) 66.5
Annualized Return (%) 6.9 2.8
Annualized Excess Return (%) 4.1
Batting Average (%) 80.5
     
Annualized Standard Deviation (%) 23.1 22.9
Upside Capture Ratio (%) 138.0
Downside Capture Ratio (%) 97.3
Tracking Error (%) 3.3
     
Information Ratio 1.2
Annualized Sharpe Ratio 0.3 0.1
Annualized Sortino Ratio 0.4 0.1
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.