Risk Measures Benchmark Comparison

Risk Analysis

Distribution of Returns
SPX

EFA

VT

U1373777

1,082.30

979.91

1,028.19

1,180.29

3.25%

11.26%

5.23%

19.44%

Nov 14 - Jan 15

Start - Dec 14

1 Month

Ongoing

1 Month

3 Months

Sharpe Ratio:

0.93

-0.15

0.35

0.58

Sortino Ratio:

0.21

-1.10

-0.62

0.80

Calmar Ratio:

2.77

-0.19

0.59

1.02

Standard Deviation:

2.82%

3.20%

2.84%

14.13%

Downside Deviation:

1.77%

2.48%

2.03%

7.45%

Mean Return:

0.76%

-0.14%

0.29%

2.36%

Positive Periods:

6 (54.55%)

6 (54.55%)

6 (54.55%)

6 (54.55%)

Negative Periods:

5 (45.45%)

5 (45.45%)

5 (45.45%)

5 (45.45%)

Ending VAMI
Max Drawdown:
Peak-To-Valley:
Recovery:

PortfolioAnalyst

Start - Jan 15 Aug 14 - Oct 14

Page: 14