Year to date portfolio performance vs the market (Risk Measures Benchmark Comparison)








Risk Measures Benchmark Comparison
Risk Analysis Value Added Monthly Index (VAMI)

SPXTR EFA VT U1459543
Ending VAMI: 1,029.68 927.09 996.16 1,916.38
Max Drawdown: 33.79% 33.93% 34.23% 29.00%
Peak-To-Valley: 02/19/20 -
03/23/20

01/17/20 -
03/23/20

02/12/20 -
03/23/20

03/13/20 -
03/23/20
Recovery: 100 Days Ongoing 110 Days 16 Days
Sharpe Ratio: 0.30 -0.12 0.17 1.77
Sortino Ratio: 0.41 -0.16 0.23 2.71
Standard Deviation: 2.43% 2.18% 2.31% 3.83%
Downside Deviation: 1.78% 1.69% 1.75% 2.50%
Correlation: 0.77 0.75 0.78 - β: 1.22 1.31 1.29 - α: 0.95 1.15 1.01 - Mean Return: 0.05% -0.02% 0.02% 0.42%
Positive Periods: 111 (59.04%) 106 (56.38%) 107 (56.91%) 105 (55.85%)
Negative Periods: 77 (40.96%) 82 (43.62%) 81 (43.09%) 83 (44.15%)



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