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 9/30/2020. 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 9/30/2020. 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
108
2,019
Weighted Average Market Cap ($ Mil)
2,077
2,451
Median Market Cap ($ Mil)
1,594
628
Forecasted Tracking Error (Barra Predicted)
4.4%
-
Portfolio Beta (Barra Predicted)
0.96
1.00
Dividend Yield
1.5%
1.3%
Price/Earnings (Trailing 12 Months)
26.0x
25.0x
Price/Book Value
2.8x
3.6x
Annual Turnover (Trailing 12 Months)
37.2%
2See Disclosures
Performance Characteristics (Gross of Fees) 1, 4,
TWIN Small Cap
Alpha
1.1%
Tracking Error
5.5%
Information Ratio
(0.20)
Beta
0.82
Standard Deviation
12.1%
Sharpe Ratio
0.28
Upside Capture
82%
Downside Capture
89%
GICS® SECTOR WEIGHTS 2,
TWIN Small Cap
Russell 2000® Index
Active
Communications Services
2.9%
2.3%
0.5%
Consumer Discretionary
13.8%
13.5%
0.3%
Consumer Staples
3.7%
3.4%
0.3%
Energy
1.9%
1.9%
0.0%
Financials
15.5%
14.8%
0.7%
Health Care
21.2%
21.5%
-0.3%
Industrials
15.5%
15.2%
0.3%
Information Technology
14.1%
13.5%
0.7%
Materials
2.4%
4.0%
-1.6%
Real Estate
5.7%
6.6%
-0.9%
Utilities
3.2%
3.2%
0.0%
2See Disclosures
