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 3/31/2021. 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 3/31/2021. 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
134
2,056
Weighted Average Market Cap ($ Mil)
3,552
3,651
Median Market Cap ($ Mil)
3,027
1,020
Forecasted Tracking Error (Barra Predicted)
3.8%
-
Portfolio Beta (Barra Predicted)
0.98
-
Dividend Yield
1.1%
0.9%
Price/Earnings (Trailing 12 Months)
30.8x
29.3x
Price/Book Value
3.7x
4.5x
Annual Turnover (Trailing 12 Months)
60.8%
2See Disclosures
Performance Characteristics (Gross of Fees) 1, 4,
TWIN Small Cap
Alpha
-1.5%
Tracking Error
5.6%
Information Ratio
(0.27)
Beta
0.83
Standard Deviation
12.2%
Sharpe Ratio
0.56
Upside Capture
84%
Downside Capture
89%
GICS® SECTOR WEIGHTS (%) 2,
TWIN Small Cap
Russell 2000® Index
Active
Communications Services
2.4
2.4
0.0
Consumer Discretionary
14.612.9%
14.6
0.1
Consumer Staples
3.7
3.3
0.4
Energy
3.1
2.6
0.5
Financials
16.5
15.8
0.6
Health Care
18.0
19.5
-1.5
Industrials
16.0
16.0
0.0
Information Technology
12.6
12.7
0.0
Materials
4.5
4.5
0.1
Real Estate
5.5
5.9
-0.4
Utilities
3.0
2.7
0.3
2See Disclosures
