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 6/30/2019. 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 6/30/2019. 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
1,977
Weighted Average Market Cap ($ Mil)
2,365
2,552
Median Market Cap ($ Mil)
1,727
774
Forecasted Tracking Error (Barra Predicted)
2.9%
-
Portfolio Beta (Barra Predicted)
0.97
1.00
Dividend Yield
1.7%
1.4%
Price/Earnings (Trailing 12 Months)
19.9x
23.0x
Price/Book Value
2.7x
3.7x
Annual Turnover (Trailing 12 Months)
45.0%
2See Disclosures
Performance Characteristics (Gross of Fees) 1, 4,
TWIN Small Cap
Alpha
0.3%
Tracking Error
4.2%
Information Ratio
0.08
Beta
0.88
Standard Deviation
14.6%
Sharpe Ratio
0.54
Upside Capture
90%
Downside Capture
89%
GICS® SECTOR WEIGHTS 2,
TWIN Small Cap
Russell 2000® Index
Active
Communications Services
3.4%
3.0%
0.4%
Consumer Discretionary
11.3%
11.7%
-0.5%
Consumer Staples
3.3%
2.7%
0.7%
Energy
2.7%
3.3%
-0.6%
Financials
17.4%
17.6%
-0.2%
Health Care
14.9%
15.9%
-0.9%
Industrials
15.2%
15.3%
-0.1%
Information Technology
16.3%
15.3%
1.0%
Materials
3.4%
3.8%
-0.4%
Real Estate
7.3%
7.5%
-0.2%
Utilities
4.8%
3.9%
0.9%
2See Disclosures
