Dr. Bernstein's Smart Money Portfolio

TotalReturn:

'The total return on a portfolio of investments takes into account not only the capital appreciation on the portfolio, but also the income received on the portfolio. The income typically consists of interest, dividends, and securities lending fees. This contrasts with the price return, which takes into account only the capital gain on an investment.'

• The total return, or increase in value over 5 years of Dr. Bernstein's Smart Money Portfolio is 67%, which is lower, thus worse compared to the benchmark SPY (150.8%) in the same period.
• During the last 3 years, the total return, or performance is 15.8%, which is lower, thus worse than the value of 32.8% from the benchmark.

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.'

• Looking at the compounded annual growth rate (CAGR) of 10.8% in the last 5 years of Dr. Bernstein's Smart Money Portfolio, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (20.3%)
• Looking at annual performance (CAGR) in of 5.1% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (10%).

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 30 days standard deviation of 10.4% in the last 5 years of Dr. Bernstein's Smart Money Portfolio, we see it is relatively smaller, thus better in comparison to the benchmark SPY (17.8%)
• During the last 3 years, the historical 30 days volatility is 9.7%, which is lower, thus better than the value of 17% from the benchmark.

DownVol:

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

• The downside volatility over 5 years of Dr. Bernstein's Smart Money Portfolio is 7%, which is smaller, thus better compared to the benchmark SPY (12.2%) in the same period.
• Compared with SPY (12%) in the period of the last 3 years, the downside volatility of 6.8% is smaller, thus better.

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.'

• Looking at the Sharpe Ratio of 0.81 in the last 5 years of Dr. Bernstein's Smart Money Portfolio, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (1)
• Compared with SPY (0.44) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.26 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.'

• The ratio of annual return and downside deviation over 5 years of Dr. Bernstein's Smart Money Portfolio is 1.19, which is smaller, thus worse compared to the benchmark SPY (1.46) in the same period.
• Looking at excess return divided by the downside deviation in of 0.38 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.62).

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.'

• The Downside risk index over 5 years of Dr. Bernstein's Smart Money Portfolio is 5.96 , which is lower, thus better compared to the benchmark SPY (8.3 ) in the same period.
• Compared with SPY (8.65 ) in the period of the last 3 years, the Downside risk index of 5.28 is smaller, thus better.

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

• Looking at the maximum reduction from previous high of -17.3 days in the last 5 years of Dr. Bernstein's Smart Money Portfolio, we see it is relatively larger, thus better in comparison to the benchmark SPY (-24.5 days)
• During the last 3 years, the maximum reduction from previous high is -14.4 days, which is higher, thus better than the value of -22.1 days from the benchmark.

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) in days.'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 566 days of Dr. Bernstein's Smart Money Portfolio is greater, thus worse.
• Compared with SPY (325 days) in the period of the last 3 years, the maximum days under water of 429 days is larger, thus worse.

AveDuration:

'The Average 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. 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 below previous high over 5 years of Dr. Bernstein's Smart Money Portfolio is 151 days, which is higher, thus worse compared to the benchmark SPY (119 days) in the same period.
• Looking at average days below previous high in of 139 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (89 days).