Portfolio characteristics

Axiom MSCI EM
Holdings 164 844
Weighted Average Market Capitalization ($M) $119.9 $98.9
Liquidity ($M/Day) $395 $296
Net Debt/Equity Ratio 11.3 18.0
Price Earnings Ratio 14.3 12.4
Earnings Growth Rate 22.9 19.1
PEG Ratio (PE/Growth Rate) 0.6 0.7
Earnings Revisions Up 67% 53%
Earnings Revisions Down 33% 47%

Risk/return analysis

Axiom MSCI EM
Cumulative Return (%) 33.9 19.7
Cumulative Excess Return (%) 14.2
Annualized Return (%) 8.7 5.3
Annualized Excess Return (%) 3.4
Batting Average (%) 71.4
     
Annualized Standard Deviation (%) 13.8 15.2
Upside Capture Ratio (%) 118.5
Downside Capture Ratio (%) 88.8
Tracking Error (%) 3.2
     
Information Ratio 1.1
Annualized Sharpe Ratio 0.6 0.3
Annualized Sortino Ratio 1.0 0.5
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.