Performance Risk Measures

Risk measures for a variety of 50 stock portfolios and the S&P500 can be found below. Results for 50 stock back-tests from the US Enhanced model cover Core, Market Neutral, Growth, and Value strategies. The Core portfolio has no style tilt and is a long only portfolio drawn from a universe of approximately the top 3500 stocks by market cap.

S&P500	1 Year	3 Year	5 Year	10 Year
Standard Deviation	7.37%	5.09%	4.27%	4.58%
Skewness	0.05	-1.04	-1.44	-0.59
Kurtosis	-0.60	1.49	3.35	0.97
Correlation	N/A	N/A	N/A	N/A
R-Squared	N/A	N/A	N/A	N/A
Sharpe Ratio (5%)	-2.11	-1.16	-0.72	-0.49
Sortino Ratio (10%)	-2.40	-1.46	-1.07	-0.93
Positive Months	4	19	36	66
Negative Months	8	17	24	54
Worst Month	-16.94%	-16.94%	-16.94%	-16.94%
Best Month	8.54%	8.54%	8.54%	9.78%
Max Drawdown	-48.84%	-53.76%	-53.76%	-53.76%

Enhanced Model

US Core

c	1 Year	3 Year	5 Year	10 Year
Standard Deviation	34.92%	7.29%	7.58%	8.97%
Skewness	0.12	-0.53	-0.30	1.21
Kurtosis	-1.39	-0.12	-0.18	5.62
Correlation	0.66	0.67	0.62	0.45
R-Squared	0.43	0.46	0.38	0.20
Sharpe Ratio (5%)	-1.25	-0.30	0.38	0.69
Sortino Ratio (10%)	-0.56	-0.20	0.10	0.27
Positive Months	4	19	35	77
Negative Months	8	17	25	43
Worst Month	-17.08%	-17.08%	-17.08%	-17.08%
Best Month	11.78%	11.78%	18.23%	48.60%
Max Drawdown	-53.92%	-53.92%	-53.92%	-53.92%

Enhanced Model

US Market Neutral

r	1 Year	3 Year	5 Year	10 Year
Standard Deviation	13.33%	9.14%	8.23%	11.95%
Skewness	0.16	0.16	0.10	0.46
Kurtosis	1.10	2.48	2.16	3.15
Correlation	-0.28	-0.18	-0.16	-0.33
R-Squared	0.08	0.03	0.03	0.11
Sharpe Ratio (5%)	0.57	0.84	0.98	0.83
Sortino Ratio (10%)	0.87	1.11	1.48	1.29
Positive Months	7	23	38	76
Negative Months	5	13	22	44
Worst Month	-23.15%	-23.15%	-23.15%	-28.81%
Best Month	28.74%	28.74%	28.74%	56.37%
Max Drawdown	-31.33%	-31.33%	-31.33%	-44.30%

Enhanced Model

US Value

V	1 Year	3 Year	5 Year	10 Year
Standard Deviation	7.77%	5.73%	5.44%	5.07%
Skewness	0.18	-0.70	-0.68	-0.71
Kurtosis	-1.18	0.00	0.27	0.50
Correlation	0.94	0.89	0.83	0.72
R-Squared	0.88	0.79	0.69	0.52
Sharpe Ratio (5%)	-1.64	-0.55	0.15	0.42
Sortino Ratio (10%)	-2.23	-0.97	-0.09	0.15
Positive Months	4	19	36	80
Negative Months	8	17	24	40
Worst Month	-15.47%	-15.47%	-15.47%	-15.47%
Best Month	7.85%	7.85%	9.15%	10.81%
Max Drawdown	-46.62%	-47.23%	-47.23%	-47.23%

Enhanced Model

US Growth

G	1 Year	3 Year	5 year	10 Year
Standard Deviation	10.63%	7.44%	6.95%	7.65%
Skewness	-0.21	-0.90	-0.86	0.81
Kurtosis	-1.25	0.97	1.02	5.05
Correlation	0.61	0.65	0.62	0.51
R-Squared	0.37	0.42	0.39	0.26
Sharpe Ratio (5%)	-1.37	-0.40	0.10	0.48
Sortino Ratio (10%)	-1.94	-0.76	-0.04	0.46
Positive Months	5	20	37	74
Negative Months	7	16	23	46
Worst Month	-20.02%	-20.02%	-20.02%	-20.02%
Best Month	10.61%	11.39%	13.39%	38.88%
Max Drawdown	-56.38%	-56.38%	-56.38%	-56.38%