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 = 1 - (9.47 / 13.55)
• 42% less risk than the market = 1 - (0.58 / 1)
• 3.88% value added through higher risk adjusted returns than the market

 

 

Mandate	1YR			3YR			5YR
	σ	α	β	σ	α	β	σ	α	Β
Global Balanced	7.30	-.59%	0.57	6.62	2.50%	0.37	6.35	2.59%	0.45
Benchmark	11.57			11.17			9.42
Global Dividend	11.51	3.37%	0.69	9.95	4.62%	0.52	9.47	3.88%	0.58
Benchmark	15.45			15.76			13.55
Global Growth	13.59	6.51%	0.53	11.49	2.58%	0.52	10.72	3.61%	0.58
Benchmark	20.85			18.22			15.76

 

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 December 31, 2022