Portfolio characteristics

Axiom Russell 2000 Growth
Holdings 69 1,175
Weighted Average Market Capitalization ($M) $3.7 $2.6
Liquidity ($M/Day) $32 $26
Net Debt/Equity Ratio 30.4 31.8
Price Earnings Ratio 28.3 21.2
Earnings Growth Rate 29.0 23.3
PEG Ratio (PE/Growth Rate) 1.0 0.9
Earnings Revisions Up 81% 57%
Earnings Revisions Down 19% 43%

Risk/return analysis

Axiom Russell 2000 Growth
Cumulative Return (%) 239.9 182.4
Cumulative Excess Return (%) 57.5
Annualized Return (%) 11.4 9.6
Annualized Excess Return (%) 1.8
Batting Average (%) 53.3
     
Annualized Standard Deviation (%) 16.3 19.4
Upside Capture Ratio (%) 90.3
Downside Capture Ratio (%) 88.6
Tracking Error (%) 7.0
     
Information Ratio 0.3
Annualized Sharpe Ratio 0.6 0.5
Annualized Sortino Ratio 1.0 0.6
As of 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.