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 12/31/2019. 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 12/31/2019. 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
99
1,995
Weighted Average Market Cap ($ Mil)
2,334
2,451
Median Market Cap ($ Mil)
1,889
782
Forecasted Tracking Error (Barra Predicted)
3.3%
-
Portfolio Beta (Barra Predicted)
0.92
1.00
Dividend Yield
1.6%
1.4%
Price/Earnings (Trailing 12 Months)
23.3x
22.9x
Price/Book Value
2.9x
3.2x
Annual Turnover (Trailing 12 Months)
42.4%
2See Disclosures
Performance Characteristics (Gross of Fees) 1, 4,
TWIN Small Cap
Alpha
-0.2%
Tracking Error
4.1%
Information Ratio
-0.04
Beta
0.88
Standard Deviation
14.2%
Sharpe Ratio
0.55
Upside Capture
89%
Downside Capture
90%
GICS® SECTOR WEIGHTS 2,
TWIN Small Cap
Russell 2000® Index
Active
Communications Services
2.8%
2.3%
0.5%
Consumer Discretionary
9.8%
10.9%
-1.0%
Consumer Staples
2.6%
3.0%
-0.4%
Energy
3.0%
3.2%
-0.1%
Financials
18.5%
17.7%
0.8%
Health Care
17.2%
18.2%
-1.0%
Industrials
16.2%
15.8%
0.4%
Information Technology
14.5%
13.5%
1.0%
Materials
3.3%
3.9%
-0.6%
Real Estate
7.4%
7.8%
-0.4%
Utilities
4.5%
3.7%
0.9%
2See Disclosures
