Portfolio characteristics

Axiom MSCI ACWI
Holdings 63 2,497
Weighted Average Market Capitalization ($M) $191.1 $131.6
Liquidity ($M/Day) $787 $519
Net Debt/Equity Ratio 21.1 56.6
Price Earnings Ratio 18.6 16.2
Earnings Growth Rate 21.6 15.4
PEG Ratio (PE/Growth Rate) 0.9 1.1
Earnings Revisions Up 76% 58%
Earnings Revisions Down 24% 42%

Risk/return analysis

Axiom MSCI ACWI
Cumulative Return (%) 225.6 163.1
Cumulative Excess Return (%) 62.5
Annualized Return (%) 9.1 7.4
Annualized Excess Return (%) 1.7
Batting Average (%) 64.8
     
Annualized Standard Deviation (%) 16.3 15.1
Upside Capture Ratio (%) 130.2
Downside Capture Ratio (%) 101.0
Tracking Error (%) 4.8
     
Information Ratio 0.4
Annualized Sharpe Ratio 0.5 0.4
Annualized Sortino Ratio 0.7 0.6
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.