Twin Small-Cap
This concentrated portfolio seeks to outperform the Russell 2000® index over a market cycle, while taking similar or less risk than the benchmark. The strategy utilizes TWIN’s dedicated Small-Cap model to capture alpha.
Annualized Returns †, 1,
†As of 12/31/2020. Performance is preliminary. Returns for periods greater than a year are annualized. Past performance is not necessarily indicative of future results.
1See Disclosures
Annual Rates of Return †, 1,
†As of 12/31/2020. Performance is preliminary. Returns for periods greater than a year are annualized. Past performance is not necessarily indicative of future results.
1See Disclosures
*Inception October 2013
Strategy Characteristics 2,
TWIN Small Cap
Russell 2000® Index
Number of Holdings
128
2,041
Weighted Average Market Cap ($ Mil)
3,033
3,272
Median Market Cap ($ Mil)
2,511
848
Forecasted Tracking Error (Barra Predicted)
3.8%
-
Portfolio Beta (Barra Predicted)
0.97
1.00
Dividend Yield
1.2%
1.0%
Price/Earnings (Trailing 12 Months)
26.5x
28.3x
Price/Book Value
3.3x
3.4x
Annual Turnover (Trailing 12 Months)
52.8%
2See Disclosures
Performance Characteristics (Gross of Fees) 1, 4,
TWIN Small Cap
Alpha
-1.6%
Tracking Error
5.6%
Information Ratio
(0.29)
Beta
0.83
Standard Deviation
12.2%
Sharpe Ratio
0.47
Upside Capture
83%
Downside Capture
89%
GICS® SECTOR WEIGHTS 2,
TWIN Small Cap
Russell 2000® Index
Active
Communications Services
2.4%
2.3%
0.1%
Consumer Discretionary
12.9%
13.2%
-0.4%
Consumer Staples
3.5%
3.2%
0.3%
Energy
2.0%
2.1%
-0.1%
Financials
15.7%
15.2%
0.5%
Health Care
20.6%
21.1%
-0.5%
Industrials
14.6%
15.3%
-0.6%
Information Technology
13.9%
14.1%
-0.2%
Materials
4.2%
4.3%
-0.1%
Real Estate
6.8%
6.2%
0.6%
Utilities
3.5%
3.0%
0.5%
2See Disclosures
