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 3/31/2020. 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 3/31/2020. 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
97
1979
Weighted Average Market Cap ($ Mil)
1,808
2,029
Median Market Cap ($ Mil)
1,240
447
Forecasted Tracking Error (Barra Predicted)
5.4%
-
Portfolio Beta (Barra Predicted)
0.93
1.00
Dividend Yield
2.2%
2.0%
Price/Earnings (Trailing 12 Months)
23.1x
19.1x
Price/Book Value
3.0x
3.7x
Annual Turnover (Trailing 12 Months)
36.9%
2See Disclosures
Performance Characteristics (Gross of Fees) 1, 4,
TWIN Small Cap
Alpha
0.8%
Tracking Error
4.9%
Information Ratio
0.17
Beta
0.84
Standard Deviation
15.8%
Sharpe Ratio
0.24
Upside Capture
89%
Downside Capture
89%
GICS® SECTOR WEIGHTS 2,
TWIN Small Cap
Russell 2000® Index
Active
Communications Services
2.7%
2.3%
0.5%
Consumer Discretionary
9.8%
8.7%
1.1%
Consumer Staples
3.8%
3.4%
0.4%
Energy
2.1%
1.7%
0.4%%
Financials
15.2%
16.8%
-1.6%
Health Care
20.0%
21.3%
-1.3%
Industrials
15.6%
15.2%
0.4%
Information Technology
15.8%
15.1%
0.7%
Materials
3.4%
3.4%
0.0%
Real Estate
7.1%
7.6%
-0.5%
Utilities
4.4%
4.5%
0.0%
2See Disclosures
