**How to use risk and return metrics**

compare risk vs. total return for all portfolios using monthly data

OverviewThe Return, Risk, and Risk vs. Return columns allow you to compare risk vs. total return for all portfolios using monthly data. These columns show metrics based on the close of the prior month. These columns are located in the middle of the VizMetrics Comparison, How to make comparisonsCompare all metrics for one portfolio: Read across a row to compare various metrics for one fund or portfolio. Compare all porfolios for one metric: Scan down a column to compare all portfolios for one metric. Compare risk vs. return for all portfolios: use the Risk vs. Return scatterplot at the bottom of the page How to read the metricsYield % is a recent trailing 12-month yield, which is the total amount of distributions and dividends over the past year divided by the recent closing price. This could be a recent month-end or quarter-end value, depending on data availability. This is shown as a blue bubble (shaded circle), with the area of the bubble corresponding to the yield value. The numeric yield value is shown on top of the bubble. Annualized shows a rolling 1-yr, 3-yr, and 5-yr total return % on an annual basis through the end of last month.60m trend shows the last 60 months of closing prices through the end of last month, adjusted for dividends and splits.Yearly shows the total return for recent calendar years.Std Dev shows the 1-yr, 3-yr, and 5-yr standard deviation of monthly returns, on an annualized basis.Max draw is the maximum drawdown (% drop in value) over the last 60 months, including dividends and splits. Beta measures the volatility vs. the ACWI equity benchmark. A beta of 1.10 means that the asset class is 10% more volatile than the benchmark.R2 or "R-squared" is the coefficient of determination for the monthly return using the ACWI equity index. This measures "goodness of fit" and explains how well the asset class's return is predicted by the ACWI equity index. R2 is expressed as a number between 0 and 1. An R2 near "1" indicates that the asset class's return is most likely to be predicted by the ACWI equity index.Modigliani (M2) is the Modigliani risk-adjusted performance, shown as an annual total return %. It is derived from the Sharpe ratio, but M2 is in units of percent return. M2 inputs include standard deviation, the monthly total return, the risk-free rate (3-month T-bill), and the return of a benchmark portfolio (ACWI).horizontal bar graphs are used to graph each value. Green bars represent positive changes, and light red bars represent negative changes. the maximum and minimum values of all the values in each column determines the scale of each bar. The same scale is applied to each bar in each column. Alpha is another way to see risk-adjusted return, showing the extra return above the expected return given the asset class's volatility (beta). Alpha > 0 shows performance above what is expected based on its beta vs. a benchmark (ACWI). |