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 12/31/2023. 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 12/31/2023. 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
159
1,962
Weighted Average Market Cap ($ Mil)
3,289
3,212
Median Market Cap ($ Mil)
2,155
930
Forecasted Tracking Error (Barra Predicted)
3.3%
-
Portfolio Beta (Barra Predicted)
0.98
-
Dividend Yield
1.3%
1.4%
Price/Earnings (Trailing 12 Months)
18.3x
20.3x
Price/Book Value
2.6x
2.8x
Annual Turnover (Trailing 12 Months)
20.7%
2See Disclosures
Performance Characteristics (Gross of Fees) 1, 4,
TWIN Small Cap
Alpha
0.4%
Tracking Error
5.2%
Information Ratio
0.09
Beta
0.87
Standard Deviation
13.1%
Sharpe Ratio
0.39
Upside Capture
90%
Downside Capture
91%
GICS® SECTOR WEIGHTS (%) 2,
TWIN Small Cap
Russell 2000® Index
Active
Communications Services
2.5
2.3
0.2
Consumer Discretionary
12.3
11.0
1.3
Consumer Staples
3.5
3.4
0.1
Energy
6.7
6.9
-0.2
Financials
16.5
17.1
-0.6
Health Care
14.4
15.3
-0.9
Industrials
17.5
17.0
0.5
Information Technology
14.0
13.6
0.4
Materials
3.5
4.5
-1.0
Real Estate
5.9
6.2
-0.3
Utilities
2.7
2.7
0.0
2See Disclosures