Dr. Bernstein's No Brainer Portfolio

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

• Looking at the total return, or increase in value of 42.9% in the last 5 years of Dr. Bernstein's No Brainer Portfolio, we see it is relatively lower, thus worse in comparison to the benchmark SPY (94%)
• Looking at total return in of 19.9% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (44.4%).

CAGR:

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

• The annual performance (CAGR) over 5 years of Dr. Bernstein's No Brainer Portfolio is 7.4%, which is lower, thus worse compared to the benchmark SPY (14.2%) in the same period.
• Compared with SPY (13.1%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 6.3% is smaller, thus worse.

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

• Compared with the benchmark SPY (21%) in the period of the last 5 years, the 30 days standard deviation of 15.8% of Dr. Bernstein's No Brainer Portfolio is lower, thus better.
• Compared with SPY (17.2%) in the period of the last 3 years, the historical 30 days volatility of 13.6% is lower, thus better.

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• Compared with the benchmark SPY (15%) in the period of the last 5 years, the downside risk of 11.6% of Dr. Bernstein's No Brainer Portfolio is lower, thus better.
• During the last 3 years, the downside risk is 9.4%, which is smaller, thus better than the value of 12% from the benchmark.

Sharpe:

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

• Compared with the benchmark SPY (0.56) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.31 of Dr. Bernstein's No Brainer Portfolio is lower, thus worse.
• Compared with SPY (0.62) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.28 is lower, thus worse.

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

• Compared with the benchmark SPY (0.78) in the period of the last 5 years, the excess return divided by the downside deviation of 0.42 of Dr. Bernstein's No Brainer Portfolio is lower, thus worse.
• During the last 3 years, the downside risk / excess return profile is 0.4, which is lower, thus worse than the value of 0.88 from the benchmark.

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

• Looking at the Ulcer Index of 9.52 in the last 5 years of Dr. Bernstein's No Brainer Portfolio, we see it is relatively higher, thus worse in comparison to the benchmark SPY (9.19 )
• Compared with SPY (8.57 ) in the period of the last 3 years, the Downside risk index of 7.2 is lower, thus better.

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

• The maximum drop from peak to valley over 5 years of Dr. Bernstein's No Brainer Portfolio is -27.7 days, which is greater, thus better compared to the benchmark SPY (-32.8 days) in the same period.
• Looking at maximum drop from peak to valley in of -19.6 days in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (-22.1 days).

MaxDuration:

'The Drawdown Duration is the length of any peak to peak period, or the time between new equity highs. The Max Drawdown Duration is the worst (the maximum/longest) amount of time an investment has seen between peaks (equity highs). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

• The maximum days below previous high over 5 years of Dr. Bernstein's No Brainer Portfolio is 583 days, which is greater, thus worse compared to the benchmark SPY (488 days) in the same period.
• Compared with SPY (325 days) in the period of the last 3 years, the maximum days under water of 429 days is greater, thus worse.

AveDuration:

'The Drawdown Duration is the length of any peak to peak period, or the time between new equity highs. The Avg Drawdown Duration is the average amount of time an investment has seen between peaks (equity highs), or in other terms the average of time under water of all drawdowns. So in contrast to the Maximum duration it does not measure only one drawdown event but calculates the average of all.'

• The average days under water over 5 years of Dr. Bernstein's No Brainer Portfolio is 160 days, which is greater, thus worse compared to the benchmark SPY (121 days) in the same period.
• During the last 3 years, the average days below previous high is 136 days, which is higher, thus worse than the value of 89 days from the benchmark.