Return Since Inception of 1/97:
356.2%
  
Year to Date Return:
4.8%
  
   
   
 
 

Three Year Trailing Average
Annualized Return:
10.3%
  
Five Year Trailing Average
Annualized Return:
8.5%
  
   
   
 
 
Ten Year Trailing Average
Annualized Return:
16.4%
  
Annualized Return Since
Inception of 1/97 :
14.8%
  
   
       
             
     
             
       

The Multi-Cap Growth & Value performance table represents the net returns of the accounts following this model from 12/31/1996 through 03/31/2007. Prior to 12/31/1999 the performance record is that of the gross returns of the model portfolio as published in our Portfolio Analytics Newsletter, our clients mirrored closely, net of an implied annual fee and transaction cost figure of 2%. The published returns do not include the impact of dividend income or money market interest on any residual cash. The past performance of our portfolios is not indicative of future returns and there is no guarantee that the historical returns will repeat. It is quite possible that your returns will vary based on a variety of factors such as account size, date of origination, fee structure and custody arrangements.

Average annualized returns are time-weighted and are calculated using the return from each full calendar year the portfolio has been in existence, as well as the most recent trailing twelve months. Average trailing four quarter returns are also time-weighted and are calculated using the return for all trailing twelve month periods. Comparative data such as the S&P 500 and the Russell Indices are obtained from sources deemed reliable but no guarantee as to their accuracy can be made.

Quotes Are 20 Minute Delayed
As Of March 31, 2007
The Large-Cap Growth & Value Portfolio is intended to provide market out-performance by using a more subjective variation of our research. While still taking advantage of all the various computer models to derive candidates for inclusion in the portfolio, we take greater care to optimize the overall portfolio to reflect a conservative tilt. This portfolio will have different overall characteristics than it’s more aggressive Multi-Cap counterpart. In this portfolio we purposefully raise the overall market capitalization, lower the P/E and actively increase the Reward/Risk ratio. Since we are adding the component of conservative subjectivity you should expect this portfolio may provide somewhat less volatility than the Multi-Cap Growth & Value Portfolio.

 

Statistics
Portfolio
Benchmark
(hover stat for definition)
Portfolio
Benchmark
  
  Standard Deviation
21.01
15.22
   Upside Standard Deviation
17.41
8.32
  
  Sharpe Ratio
.64
.38
   Downside Standard Deviation
13.23
10.53
  
  Sortino Ratio
1.0
.55
   R-Squared
42.4
 
  Treynor Ratio
12.46
5.81
   Alpha
1.34
 
  Up Capture
1.55
  Beta
.97
 
  Down Capture
1.07
  Average Annual Turnover
156%
 

Standard deviation of return measures the average deviations of a return series from its mean, and is often used as a measure of risk. A large standard deviation implies that there have been large swings in the return series of the manager.

The Sharpe Ratio is a risk-adjusted measure of return which uses standard deviation to represent risk. A high number is desireable.
The Sortino Ratio is an analog to the Sharpe Ratio, with the standard deviation replaced by the downside deviation. A high number is desireable.
The Treynor Ratio is a risk-adjusted measure of return which uses beta to represent risk. A High number is desireable.
The up and down capture is a measure of how well a manager was able to replicate or improve on phases of positive benchmark returns, and how badly the manager was affected by phases of negative benchmark returns. An Upside number greater than one and a Downside number less than one is desireable.
The upside standard deviation , also referred to as upside risk, differs from the ordinary standard deviation insofar as the sum is restricted to those returns that are greater than the mean. A low number is desireable.
The downside standard deviation , also referred to as downside risk, differs from the ordinary standard deviation insofar as the sum is restricted to those returns that are less than the mean. A low number is desireable.
The R-Squared (R2) of a manager versus a benchmark is a measure of how closely related the variance of the manager returns and the variance of the benchmark returns are.
Alpha is the mean of the excess return of the manager over beta times benchmark. The greater the number the more return is explained by the manager's skill rather than market movement.

Beta is a measure of systematic risk, or the sensitivity of a manager to movements in the benchmark. A beta of 1 implies that you can expect the movement of a manager's return series to match that of the benchmark used to measure beta.