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.'

• Looking at the total return, or increase in value of 35.8% in the last 5 years of Dr. Bernstein's Smart Money Portfolio, we see it is relatively lower, thus worse in comparison to the benchmark SPY (94%)
• Compared with SPY (44.4%) in the period of the last 3 years, the total return, or increase in value of 17.1% is lower, thus worse.

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

• Compared with the benchmark SPY (14.2%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 6.3% of Dr. Bernstein's Smart Money Portfolio is lower, thus worse.
• Looking at annual return (CAGR) in of 5.4% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (13.1%).

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.'

• The 30 days standard deviation over 5 years of Dr. Bernstein's Smart Money Portfolio is 12.1%, which is smaller, thus better compared to the benchmark SPY (21%) in the same period.
• Looking at volatility in of 9.9% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (17.2%).

DownVol:

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

• Looking at the downside risk of 8.9% in the last 5 years of Dr. Bernstein's Smart Money Portfolio, we see it is relatively lower, thus better in comparison to the benchmark SPY (15%)
• Looking at downside volatility in of 6.9% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (12%).

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 Sharpe Ratio of 0.32 of Dr. Bernstein's Smart Money Portfolio is smaller, thus worse.
• During the last 3 years, the risk / return profile (Sharpe) is 0.3, which is smaller, thus worse than the value of 0.62 from the benchmark.

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 excess return divided by the downside deviation over 5 years of Dr. Bernstein's Smart Money Portfolio is 0.43, which is lower, thus worse compared to the benchmark SPY (0.78) in the same period.
• Looking at ratio of annual return and downside deviation in of 0.43 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.88).

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 (9.19 ) in the period of the last 5 years, the Ulcer Ratio of 6.81 of Dr. Bernstein's Smart Money Portfolio is lower, thus better.
• Compared with SPY (8.57 ) in the period of the last 3 years, the Ulcer Ratio of 5.26 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 DrawDown over 5 years of Dr. Bernstein's Smart Money Portfolio is -23.9 days, which is larger, thus better compared to the benchmark SPY (-32.8 days) in the same period.
• During the last 3 years, the maximum drop from peak to valley is -14.4 days, which is larger, 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). 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'

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

• Compared with the benchmark SPY (121 days) in the period of the last 5 years, the average days below previous high of 156 days of Dr. Bernstein's Smart Money Portfolio is higher, thus worse.
• Looking at average time in days below previous high water mark in of 137 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (89 days).