Return Since Inception of 1/97:
335.1%
  
Year to Date Return:
18.2%
  
   
   
 
 

Three Year Trailing Average
Annualized Return:
10.4%
  
Five Year Trailing Average
Annualized Return:
11.8%
  
   
   
 
 
Ten Year Trailing Average
Annualized Return:
13.5%
  
Annualized Return Since
Inception of 1/97 :
14.7%
  
   
 
*Returns are NET of fees
   
             
     
             
       

The Multi-Cap Growth & Value performance table represents the net returns of the accounts following this model from 12/31/1996 through 12/31/2007. Prior to 12/31/1997 the performance record is that of the gross returns of the model portfolio as published in our Portfolio Analytics Newsletter, which our clients mirrored, net of an implied annual fee and transaction cost figure of 2%. The published returns 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. 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 December 31, 2007
The Multi-Cap Growth & Value Growth Portfolio is designed to take full advantage of our research process and to strive for the absolute maximum return. The portfolio is the most objective of our group as we allow the quantitative data to direct us into those stocks deemed most sought after by Wall Street, without regard to such constraints as individual market capitalization, growth or value characteristics, etc. The portfolio is risk-averse in that we will take only as much risk as necessary to achieve maximum total return. Our goal is to arrive at a balance of stocks from the complete range of capitalizations, though historically the average portfolio market capitalization tends to hover in the mid-cap category. We consider this portfolio to be aggressive only by the nature of our pro-active approach. In other words, we methodically move positions in and out of the portfolio to maintain the greatest possible upward velocity in month over month return.

 

Statistics
Portfolio
Benchmark
(hover stat for definition)
Portfolio
Benchmark
  
  Standard Deviation
6.42
4.31
   Upside Standard Deviation
4.84
2.34
  
  Sharpe Ratio
2.05
1.29
   Downside Standard Deviation
3.84
3.00
  
  Sortino Ratio
3.42
1.82
   R-Squared
42.4
 
  Treynor Ratio
13.57
5.55
   Alpha
1.96
 
  Up Capture
152%
  Beta
.97
 
  Down Capture
112%
  Average Annual Turnover
228%
 

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.