Risk Statistics
Our goal is to achieve lower volatility (σ), take on less risk than the market (β), and add value through stock selection (α) to achieve superior returns.
For example, in our Global Dividend, using the annualized 5 year statistics, we are:
- 30% less volatile than the market (8.04/11.59-1)
- 45% less risk than the market (0.55/1-1)
- 6.04% value added through higher risk adjusted returns than market
| Mandate | 1YR | 3YR | 5YR |
| σ | α | β | σ | α | β | σ | α | Β |
| Global Balanced | 5.22 | 2.94% | 0.60 | 5.83 | 5.25% | 0.30 | 5.53 | 5.33% | 0.39 |
| Benchmark | 4.27 | | | 9.17 | | | 7.77 | | |
| Global Dividend | 6.64 | -0.14% | 0.92 | 8.84 | 4.24% | 0.50 | 8.07 | 5.21% | 0.55 |
| Benchmark | 6.23 | | | 13.92 | | | 11.67 | | |
| Global Growth | 8.52 | 1.27% | 0.65 | 9.42 | -0.91% | 0.62 | 9.51 | 0.68% | 0.69 |
| Benchmark | 11.33 | | | 13.52 | | | 12.39 | | |
σ = Standard Deviation – Gauge of risk that measures total volatility. Higher standard deviation means more volatility
α = Alpha – Measure of return that cannot be attributed to the market. PM’s risk adjusted return compared to benchmark
β = Beta – Return attributed to market movements. Beta of less than 1 is less risky then the market.
Risk Stats as of November 30, 2021
