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 33.9%, which is lower, thus worse compared to the benchmark SPY (75.3%) in the same period.
• During the last 3 years, the total return, or increase in value is 37.1%, which is lower, thus worse than the value of 66.5% from the benchmark.

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.'

• The compounded annual growth rate (CAGR) over 5 years of Dr. Bernstein's Smart Money Portfolio is 6%, which is lower, thus worse compared to the benchmark SPY (11.9%) in the same period.
• Compared with SPY (18.6%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 11.2% is lower, thus worse.

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• Looking at the 30 days standard deviation of 9.6% 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%)
• Compared with SPY (15.1%) in the period of the last 3 years, the 30 days standard deviation of 8.5% is smaller, thus better.

DownVol:

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

• The downside deviation over 5 years of Dr. Bernstein's Smart Money Portfolio is 6.7%, which is lower, thus better compared to the benchmark SPY (11.8%) in the same period.
• Compared with SPY (10.1%) in the period of the last 3 years, the downside deviation of 5.8% is lower, 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 ratio of return and volatility (Sharpe) of 0.37 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 (0.55)
• During the last 3 years, the Sharpe Ratio is 1.02, which is lower, thus worse than the value of 1.06 from the benchmark.

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.'

• The downside risk / excess return profile over 5 years of Dr. Bernstein's Smart Money Portfolio is 0.53, which is lower, thus worse compared to the benchmark SPY (0.8) in the same period.
• Looking at downside risk / excess return profile in of 1.5 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (1.59).

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

• The Ulcer Ratio over 5 years of Dr. Bernstein's Smart Money Portfolio is 5.92 , which is lower, thus better compared to the benchmark SPY (8.44 ) in the same period.
• Compared with SPY (3.49 ) in the period of the last 3 years, the Ulcer Ratio of 2.15 is smaller, thus better.

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.'

• Looking at the maximum drop from peak to valley of -17.2 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 -9.7 days, which is higher, thus better than the value of -18.8 days from the benchmark.

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.'

• 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 563 days of Dr. Bernstein's Smart Money Portfolio is larger, thus worse.
• Looking at maximum days under water in of 124 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (87 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 days under water over 5 years of Dr. Bernstein's Smart Money Portfolio is 153 days, which is higher, thus worse compared to the benchmark SPY (119 days) in the same period.
• During the last 3 years, the average time in days below previous high water mark is 25 days, which is greater, thus worse than the value of 20 days from the benchmark.