Portfolio characteristics

Axiom MSCI ACWI ex USA Small Cap
Holdings 84 4,355
Weighted Average Market Capitalization ($M) $3.5 $2.4
Liquidity ($M/Day) $20 $12
Net Debt/Equity Ratio 9.2 35.7
Price Earnings Ratio 20.6 15.6
Earnings Growth Rate 28.4 21.1
PEG Ratio (PE/Growth Rate) 0.7 0.7
Earnings Revisions Up 68% 48%
Earnings Revisions Down 32% 52%

Risk/return analysis

Axiom MSCI ACWI ex USA Small Cap
Cumulative Return (%) 79.3 34.7
Cumulative Excess Return (%) 44.6
Annualized Return (%) 15.7 7.7
Annualized Excess Return (%) 8.0
Batting Average (%) 68.8
     
Annualized Standard Deviation (%) 11.9 11.1
Upside Capture Ratio (%) 154.9
Downside Capture Ratio (%) 74.0
Tracking Error (%) 6.5
     
Information Ratio 1.2
Annualized Sharpe Ratio 1.3 0.7
Annualized Sortino Ratio 2.5 1.1
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.