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 6/30/2023. 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 6/30/2023. 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
144
1,999
Weighted Average Market Cap ($ Mil)
3,183
2,797
Median Market Cap ($ Mil)
1,985
902
Forecasted Tracking Error (Barra Predicted)
3.9%
-
Portfolio Beta (Barra Predicted)
0.94
-
Dividend Yield
1.6%
1.5%
Price/Earnings (Trailing 12 Months)
17.0x
19.7x
Price/Book Value
2.7x
2.9x
Annual Turnover (Trailing 12 Months)
38.4%
2See Disclosures
Performance Characteristics (Gross of Fees) 1, 4,
TWIN Small Cap
Alpha
0.3%
Tracking Error
5.2%
Information Ratio
0.05
Beta
0.87
Standard Deviation
13.1%
Sharpe Ratio
0.36
Upside Capture
90%
Downside Capture
91%
GICS® SECTOR WEIGHTS (%) 2,
TWIN Small Cap
Russell 2000® Index
Active
Communications Services
2.6
2.5
0.1
Consumer Discretionary
10.9
10.6
0.3
Consumer Staples
3.4
3.4
0.0
Energy
5.9
6.8
-0.9
Financials
15.5
15.1
0.4
Health Care
17.3
16.8
0.5
Industrials
17.6
17.4
0.2
Information Technology
13.1
13.6
-0.5
Materials
4.3
4.6
-0.3
Real Estate
6.1
6.1
0.0
Utilities
3.4
3.0
0.4
2See Disclosures
