Yale U's Unconventional 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 Yale U's Unconventional Portfolio is 33.2%, which is lower, thus worse compared to the benchmark SPY (94.6%) in the same period.
• Looking at total return in of 0.5% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (28.1%).

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.'

• Compared with the benchmark SPY (14.3%) in the period of the last 5 years, the annual performance (CAGR) of 5.9% of Yale U's Unconventional Portfolio is smaller, thus worse.
• Compared with SPY (8.6%) in the period of the last 3 years, the annual return (CAGR) of 0.2% 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 historical 30 days volatility of 13.8% in the last 5 years of Yale U's Unconventional Portfolio, we see it is relatively lower, thus better in comparison to the benchmark SPY (20.9%)
• Compared with SPY (17.4%) in the period of the last 3 years, the volatility of 12.6% is smaller, thus better.

DownVol:

'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 volatility over 5 years of Yale U's Unconventional Portfolio is 10.2%, which is lower, thus better compared to the benchmark SPY (15%) in the same period.
• Looking at downside risk in of 8.8% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (12.1%).

Sharpe:

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

• The ratio of return and volatility (Sharpe) over 5 years of Yale U's Unconventional Portfolio is 0.25, which is lower, thus worse compared to the benchmark SPY (0.56) in the same period.
• During the last 3 years, the Sharpe Ratio is -0.19, which is lower, thus worse than the value of 0.35 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 ratio of annual return and downside deviation over 5 years of Yale U's Unconventional Portfolio is 0.34, which is smaller, thus worse compared to the benchmark SPY (0.78) in the same period.
• During the last 3 years, the excess return divided by the downside deviation is -0.26, which is smaller, thus worse than the value of 0.5 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 (9.32 ) in the period of the last 5 years, the Ulcer Index of 11 of Yale U's Unconventional Portfolio is higher, thus worse.
• Compared with SPY (10 ) in the period of the last 3 years, the Downside risk index of 14 is higher, thus worse.

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 (-33.7 days) in the period of the last 5 years, the maximum drop from peak to valley of -26.2 days of Yale U's Unconventional Portfolio is higher, thus better.
• Looking at maximum reduction from previous high in of -26.2 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-24.5 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) in days.'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days under water of 590 days of Yale U's Unconventional Portfolio is higher, thus worse.
• Compared with SPY (488 days) in the period of the last 3 years, the maximum days under water of 590 days is larger, 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.'

• Compared with the benchmark SPY (122 days) in the period of the last 5 years, the average days below previous high of 167 days of Yale U's Unconventional Portfolio is larger, thus worse.
• Compared with SPY (178 days) in the period of the last 3 years, the average days under water of 246 days is higher, thus worse.