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 6/30/2020. 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 6/30/2020. 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
98
2,005
Weighted Average Market Cap ($ Mil)
2,006
2,078
Median Market Cap ($ Mil)
1,556
620
Forecasted Tracking Error (Barra Predicted)
6.1%
-
Portfolio Beta (Barra Predicted)
0.89
1.00
Dividend Yield
1.4%
1.4%
Price/Earnings (Trailing 12 Months)
23.7x
20.8x
Price/Book Value
2.7xx
2.9x
Annual Turnover (Trailing 12 Months)
38.7%
2See Disclosures
Performance Characteristics (Gross of Fees) 1, 4,
TWIN Small Cap
Alpha
-0.9%
Tracking Error
5.5%
Information Ratio
(0.16)
Beta
0.83
Standard Deviation
12.1%
Sharpe Ratio
0.29
Upside Capture
83%
Downside Capture
89%
GICS® SECTOR WEIGHTS 2,
TWIN Small Cap
Russell 2000® Index
Active
Communications Services
2.9%
2.5%
0.4%
Consumer Discretionary
8.8%
11.8%
-3.0%
Consumer Staples
2.9%
3.3%
-0.5%
Energy
1.6%
2.3%
-0.6%
Financials
15.6%
16.3%
-0.7%
Health Care
22.0%
20.6%
1.4%
Industrials
15.4%
14.5%
0.9%
Information Technology
15.9%
13.9%
2.1%
Materials
3.4%
4.0%
-0.7%
Real Estate
7.3%
7.1%
0.3%
Utilities
4.1%
3.6%
0.5%
2See Disclosures
