Portfolio characteristics

Axiom MSCI ACWI ex USA
Holdings 58 1,864
Weighted Average Market Capitalization ($M) $126.4 $71.6
Liquidity ($M/Day) $484 $226
Net Debt/Equity Ratio 15.5 44.4
Price Earnings Ratio 18.2 14.3
Earnings Growth Rate 21.9 13.5
PEG Ratio (PE/Growth Rate) 0.8 1.1
Earnings Revisions Up 70% 55%
Earnings Revisions Down 30% 45%

Risk/return analysis

Axiom MSCI ACWI ex USA
Cumulative Return (%) 1343.7 216.0
Cumulative Excess Return (%) 1127.7
Annualized Return (%) 13.2 5.5
Annualized Excess Return (%) 7.7
Batting Average (%) 59.3
     
Annualized Standard Deviation (%) 20.2 16.9
Upside Capture Ratio (%) 313.8
Downside Capture Ratio (%) 95.8
Tracking Error (%) 10.5
     
Information Ratio 0.7
Annualized Sharpe Ratio 0.5 0.2
Annualized Sortino Ratio 0.9 0.3
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.