JohnsInvestmentChronicle; Portfolio performance since inception (courtesy of StatPro PLC)
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The document provides performance metrics for a portfolio compared to a benchmark from January 2, 2012, to August 21, 2014, detailing returns, volatility, and various ratios such as Treynor and Sharpe. The portfolio achieved a notable annualized excess return of 42.78% and demonstrates strong performance metrics in comparison to the benchmark. Disclaimer notes the potential inaccuracies and warranties regarding the provided information.
JohnsInvestmentChronicle; Portfolio performance since inception (courtesy of StatPro PLC)
- 1. Jan 2 2012 to Aug 21 2014 in GBP JIC - Performance EXCESS RETURN PERFORMANCE METRICS STATISTIC TRENDS Portfolio Benchmark Return 80.65 37.87 Annualized Volatility 11.26 10.48 Treynor Ratio 30.56 11.05 Sharpe Ratio 2.12 1.05 Sortino Ratio 3.75 1.73 Downside Risk 6.37 6.38 Versus StatPro UK All Cap GROWTH OF £100 © StatPro 2013. Disclaimer: Whilst we endeavour to ensure that the information on this report is correct, we do not warrant its completeness or accuracy. To the maximum extent permitted by applicable law we exclude all representations, warranties and conditions relating to this report and the use of this report(including, without limitation, any warranties implied by law of satisfactory quality, fitness for purpose and/or the use of reasonable care and skill). 1
- 2. PERFORMANCE TO DATE CALENDAR YEAR RETURNS Jan 2 2012 to Aug 21 2014 in GBP Portfolio Benchmark Excess Month to Date 2.74 1.38 1.36 3 Months 4.13 0.65 3.47 6 Months -0.70 -0.01 -0.70 YTD 5.28 2.36 2.92 1 Year 19.29 9.18 10.11 2 Years 70.94 26.17 44.77 Earliest 80.65 37.87 42.78 Portfolio Benchmark Excess 2013 42.15 19.37 22.78 JIC - Performance Versus StatPro UK All Cap © StatPro 2013. Disclaimer: Whilst we endeavour to ensure that the information on this report is correct, we do not warrant its completeness or accuracy. To the maximum extent permitted by applicable law we exclude all representations, warranties and conditions relating to this report and the use of this report(including, without limitation, any warranties implied by law of satisfactory quality, fitness for purpose and/or the use of reasonable care and skill). 2
- 3. TRIANGLE Jan 2 2012 to Aug 21 2014 in GBP JIC - Performance Versus StatPro UK All Cap 1 Month 2 Months 3 Months 4 Months 5 Months 6 Months 7 Months 8 Months 9 Months 10 Months 11 Months 12 Months Jul 2014 Portfolio -3.61 -1.44 -1.06 -3.29 -3.95 -0.89 2.47 2.61 5.05 9.31 14.35 16.52 Benchmark -0.19 -1.54 -0.17 1.67 -1.21 3.83 0.97 2.87 1.99 6.26 7.46 5.51 Jun 2014 Portfolio 2.25 2.65 0.33 -0.36 2.83 6.31 6.45 8.99 13.40 18.63 20.89 Benchmark -1.35 0.02 1.86 -1.03 4.02 1.15 3.07 2.18 6.46 7.66 5.71 May 2014 Portfolio 0.39 -1.88 -2.55 0.56 3.97 4.11 6.59 10.90 16.02 18.22 Benchmark 1.39 3.26 0.33 5.45 2.54 4.48 3.58 7.92 9.14 7.16 Apr 2014 Portfolio -2.26 -2.93 0.17 3.57 3.71 6.17 10.47 15.57 17.77 Benchmark 1.84 -1.05 4.00 1.14 3.05 2.16 6.44 7.64 5.69 Mar 2014 Portfolio -0.69 2.49 5.96 6.10 8.63 13.03 18.24 20.49 Benchmark -2.84 2.12 -0.69 1.18 0.31 4.51 5.69 3.78 Feb 2014 Portfolio 3.19 6.69 6.83 9.38 13.81 19.06 21.32 Benchmark 5.10 2.21 4.14 3.24 7.57 8.78 6.81 Jan 2014 Portfolio 3.39 3.53 5.99 10.29 15.37 17.56 Benchmark -2.76 -0.92 -1.77 2.34 3.50 1.62 Dec 2013 Portfolio 0.13 2.52 6.67 11.59 13.71 Benchmark 1.89 1.01 5.24 6.43 4.50 Nov 2013 Portfolio 2.38 6.53 11.44 13.56 Benchmark -0.86 3.29 4.46 2.56 Oct 2013 Portfolio 4.05 8.85 10.92 Benchmark 4.19 5.37 3.46 Sep 2013 Portfolio 4.61 6.60 Benchmark 1.13 -0.71 Aug 2013 Portfolio 1.90 Benchmark -1.81 © StatPro 2013. Disclaimer: Whilst we endeavour to ensure that the information on this report is correct, we do not warrant its completeness or accuracy. To the maximum extent permitted by applicable law we exclude all representations, warranties and conditions relating to this report and the use of this report(including, without limitation, any warranties implied by law of satisfactory quality, fitness for purpose and/or the use of reasonable care and skill). 3
- 4. CALENDAR YEAR RETURNS Jan 2 2012 to Aug 21 2014 in GBP JIC - Performance Versus StatPro UK All Cap Year Return to End 2013 Return from Start 2013 Annualized Return Portfolio Benchmark Excess Portfolio Benchmark Excess Portfolio Benchmark Excess To End 2013 From Start 2013 2013 42.15 19.37 22.78 42.15 19.37 22.78 42.15 19.37 22.78 42.15 42.15 © StatPro 2013. Disclaimer: Whilst we endeavour to ensure that the information on this report is correct, we do not warrant its completeness or accuracy. To the maximum extent permitted by applicable law we exclude all representations, warranties and conditions relating to this report and the use of this report(including, without limitation, any warranties implied by law of satisfactory quality, fitness for purpose and/or the use of reasonable care and skill). 4
- 5. BENCHMARK RELATIVE METRICS JIC - Performance 1 Year 2 Years Earliest Versus StatPro UK All Cap Excess Return 10.11 44.77 42.78 Alpha 1.23 1.58 1.14 Beta 0.17 0.61 0.78 Tracking Error 10.94 8.48 8.05 Information Ratio 1.01 1.92 1.60 R-Squared 0.03 0.36 0.53 Bear-Market Capture -0.57 -0.16 0.26 Bull-Market Capture 0.65 1.24 1.20 Jan 2 2012 to Aug 21 2014 in GBP © StatPro 2013. Disclaimer: Whilst we endeavour to ensure that the information on this report is correct, we do not warrant its completeness or accuracy. To the maximum extent permitted by applicable law we exclude all representations, warranties and conditions relating to this report and the use of this report(including, without limitation, any warranties implied by law of satisfactory quality, fitness for purpose and/or the use of reasonable care and skill). 5