Dr. Bernstein's No Brainer Portfolio

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

• Compared with the benchmark SPY (97.5%) in the period of the last 5 years, the total return, or performance of 57.5% of Dr. Bernstein's No Brainer Portfolio is lower, thus worse.
• Looking at total return, or increase in value in of 15.2% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (25.6%).

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

• Looking at the annual performance (CAGR) of 9.5% 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 (14.6%)
• Looking at annual performance (CAGR) in of 4.8% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (7.9%).

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.'

• Looking at the historical 30 days volatility of 13.7% in the last 5 years of Dr. Bernstein's No Brainer Portfolio, we see it is relatively lower, thus better in comparison to the benchmark SPY (18%)
• Compared with SPY (18.8%) in the period of the last 3 years, the 30 days standard deviation of 14.1% is lower, thus better.

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. Risk measures typically quantify the downside risk, whereas the standard deviation (an example of a deviation risk measure) measures both the upside and downside risk. Specifically, downside risk in our definition is the semi-deviation, that is the standard deviation of all negative returns.'

• The downside deviation over 5 years of Dr. Bernstein's No Brainer Portfolio is 9.5%, which is lower, thus better compared to the benchmark SPY (12.6%) in the same period.
• Looking at downside risk in of 9.8% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (13%).

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• Compared with the benchmark SPY (0.67) in the period of the last 5 years, the Sharpe Ratio of 0.51 of Dr. Bernstein's No Brainer Portfolio is lower, thus worse.
• Compared with SPY (0.29) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.17 is smaller, thus worse.

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

• Looking at the ratio of annual return and downside deviation of 0.74 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 (0.96)
• During the last 3 years, the excess return divided by the downside deviation is 0.24, which is lower, thus worse than the value of 0.42 from the benchmark.

Ulcer:

'The Ulcer Index is a technical indicator that measures downside risk, in terms of both the depth and duration of price declines. The index increases in value as the price moves farther away from a recent high and falls as the price rises to new highs. The indicator is usually calculated over a 14-day period, with the Ulcer Index showing the percentage drawdown a trader can expect from the high over that period. The greater the value of the Ulcer Index, the longer it takes for a stock to get back to the former high.'

• Compared with the benchmark SPY (8.41 ) in the period of the last 5 years, the Ulcer Index of 8.74 of Dr. Bernstein's No Brainer Portfolio is greater, thus worse.
• During the last 3 years, the Ulcer Index is 5.82 , which is smaller, thus better than the value of 7.08 from the benchmark.

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum drop from peak to valley of -24.4 days of Dr. Bernstein's No Brainer Portfolio is larger, thus better.
• Compared with SPY (-19.2 days) in the period of the last 3 years, the maximum DrawDown of -17.2 days is greater, thus better.

MaxDuration:

'The Maximum Drawdown Duration is an extension of the Maximum Drawdown. However, this metric does not explain the drawdown in dollars or percentages, rather in days, weeks, or months. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• Looking at the maximum days below previous high of 582 days in the last 5 years of Dr. Bernstein's No Brainer Portfolio, we see it is relatively greater, thus worse in comparison to the benchmark SPY (488 days)
• Looking at maximum days under water in of 306 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (290 days).

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 time in days below previous high water mark over 5 years of Dr. Bernstein's No Brainer Portfolio is 157 days, which is higher, thus worse compared to the benchmark SPY (118 days) in the same period.
• During the last 3 years, the average days below previous high is 79 days, which is greater, thus worse than the value of 74 days from the benchmark.