This report shows the current risk of your portfolio compared to the risk of up to three benchmarks using several standard risk measures. Note that this report is applicable only to the Time-Weighted Return (TWR) performance measure.
| Field | Description |
|---|---|
| Value-Added Monthly Index (VAMI) | A statistical figure that tracks the daily/monthly/quarterly performance of a hypothetical $1000 investment. |
| Max Drowdown % | The largest cumulative percentage decline in the Net Asset Value of your portfolio and up to three benchmarks from the highest or peak value to the lowest or trough value after the peak. |
| Peak-to-Valley | The time period during which the Max Drawdown (largest cumulative percentage decline in the NAV) occurred. |
| Recovery | The time it took for the NAV of your account and up to three benchmarks to recover from the valley (lowest NAV) back to the peak (highest NAV). |
| Sharpe Ratio | A ratio that measures the excess return per unit of risk. The ratio is used to characterize how well the return compensates the account holder for the risk taken. |
| Sortino Ratio | The ratio measures the risk adjusted return of your account and up to three benchmarks . The ratio penalizes only those returns that fall below the required rate of return. |
| Calmar Ratio | A ratio used to determine return versus drawdown risk. |
| Standard Deviation | Standard deviation is a statistical measurement of variability. It shows how much variation or dispersion there is from the average. |
| Downside Deviation | The standard deviation for all negative returns in your portfolio in the specific time period. |
| Correlation | Measures how closely the portfolio returns are in line with SPX returns. |
| Mean Return | The average time weighted return of your portfolio and up to three benchmarks for a specified time period. |
| Positive Periods | The number of occurrences of positive performance returns in your portfolio and up to three benchmarks. For example, if you select a monthly report with 12 months, each month with a positive return would be a positive occurrence. |
| Negative Periods | The number of occurrences of negative performance returns in your portfolio and up to three benchmarks. For example, if you select a monthly report with 12 months, each month with a negative return would be a negative occurrence. |
| Distribution of Returns | The range of return percentage for each day, month or quarter in the specified time period and the number of times the return performance fell within that range for the entire period. |