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 9/30/2019. 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 9/30/2019. 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)
2,089
2,213
Median Market Cap ($ Mil)
1,676
707
Forecasted Tracking Error (Barra Predicted)
3.1%
-
Portfolio Beta (Barra Predicted)
0.95
1.00
Dividend Yield
1.9%
1.5%
Price/Earnings (Trailing 12 Months)
18.9x
22.5x
Price/Book Value
2.4x
3.3x
Annual Turnover (Trailing 12 Months)
47.4%
2See Disclosures
Performance Characteristics (Gross of Fees) 1, 4,
TWIN Small Cap
Alpha
0.5%
Tracking Error
4.1%
Information Ratio
0.11
Beta
0.89
Standard Deviation
14.5%
Sharpe Ratio
0.51
Upside Capture
91%
Downside Capture
90%
GICS® SECTOR WEIGHTS 2,
TWIN Small Cap
Russell 2000® Index
Active
Communications Services
3.3%
2.4%
0.9%
Consumer Discretionary
9.9%
11.1%
-1.2%
Consumer Staples
3.7%
3.0%
0.7%
Energy
3.8%
3.3%
0.5%
Financials
18.4%
18.2%
0.2%
Health Care
15.1%
16.2%
-1.1%
Industrials
16.2%
16.1%
0.1%
Information Technology
13.7%
13.4%
0.3%
Materials
3.2%
3.8%
-0.7%
Real Estate
7.6%
8.2%
-0.6%
Utilities
5.2%
4.1%
1.0%
2See Disclosures
