Source(s): 123rf.com, Investing.com #GetOffZero: Why Investors Can’t Afford To Not Have Exposure To Blockchain Technology & Digital Assets September 2020 Words of Wisdom
“Any plan conceived in moderation, must fail when circumstances are set in extremes”
Prince Metternich
“We always overestimate the change that will occur in the next two years and underestimate the change that will occur in the next ten. Don't let yourself be lulled into inaction.” Bill Gates
“The four most dangerous words in investing are: This Time It’s Different...” Sir John Templeton
2 The Dilemma Of Highly Priced Assets
3 In 2000, Warren Buffett Said US Equity Valuations Were Stupid (His Words)
20% Today
Source(s): InvestorFieldGuide.com
4 2000 GMO Forecasts Reflected US Valuation Stupidity, Negative Returns…
Source(s): GMO
5 Most Investors (including my Chairman) Believed Long-Term History Would Rule
Components of Long-Term Portfolio Returns
1926-2000 2000-2010 Component Avg. Return Proj. Return “Risk Free” Rate 4% 2% Credit Risk 2% 2% Equity Risk 5% (4%) Illiquidity Risk 5% 10% Structuring Risk Variable Variable
Source(s): NYU Stern, GMO, MCCM
6 When Circumstances Were Set In Extremes Ended Up With New Abnormal
’80-’99 ’00-’19 Avg. Return 13.8% 4.6% Avg. Drawdown -10.5% -16.5%
Source(s): JPMAM
7 Turns Out Buying Assets At Extreme Valuations Yields Poor Future Returns
Cumulative Total Return By Strategy
Traditional Portfolios Failed To Deliver Necessary Returns
Source(s): Bloomberg
8 Endowment Model (Disciplined Approach) Delivered Far Superior Results
Private Equity
Top Tier More Exposure to VC Endowments
Hedge Average Funds Better Asset Allocation Endowment
Traditional Traditional Portfolios Institutional Failed To Deliver Portfolio Necessary Returns
Average Individual Return
Source(s): 20 years ended 6/30/2016 TIAA CREF, HFRI, CA Private Equity Index, Public Pension Data, NACUBO, Top Tier Endowments (HYPS) (Period Ended 6/30/2017)
9 Back To The Future #2000Redux
10 GMO Forecasts Negative Returns for US Assets Again Over Coming Decade
Alpha
Source(s): GMO
11 Other Pundits Pointing To Decade Of Very Poor U.S. Equity Returns As Well
Source(s): @HussmanFunds, ResearchAffiliates.com
12 Real Returns On Traditional U.S. Portfolio Very Unappealing For Next Decade
Enhanced Security Market Line
Security Market Line
Source(s): ResearchAffiliates.com
13 Has The Inflection Point Arrived?
14 Gann Financial Time Table & Benner Cycle Both Point To 2020 Panic Period
Watch for significant days in lunar year: March 21, June 22, Sep 22, Dec 22 2018 89108
Source(s): Time-Price-Resaerch.com
15 U.S. Equities Wildly Overvalued On Every Measure, Need 57% Drop To FV!
Source(s): AdvisorPerspectives.com
16 U.S. Equity Valuations In Rarefied Air, Now Worst Of All Time, Ends Badly...
Source(s): AdvisorPerspectives.com
17 Forward P/E Shows No Room For Margin Expansion, ATH Margin Adjusted
Source(s): Yardeni.com
18 At Some Point Investors Finally Realize Corporate Profits Not Growing...
Source(s): @LanceRoberts, @sentimenttrader
19 How Can Rational Investor Buy Business Selling For >10X Revenue? Can’t
Scott McNeely at Sun Microsystems summed up Tech bubble madness best in 2000... To pay 10X revenues for a stock is ludicrous (higher is insane), you will lose money. In Sun’s case, you lost 98% of your money over next 8 years...
Source(s): @jessefelder, @NuitSeraCalme
20 Wait, What? Bonds > Stocks In U.S. Since Jan 2018? Huge Win Q418 To Now
January 2018 to Current October 2018 to Current
Source(s): Bigcharts.com
21 How Did We Get Here?
22 Words of Wisdom
My friend summarizes the situation best, “I recall a time when I did not know the names of the global Central Bankers, I long for those days to return....” Anonymous “There is no answer in the available literature to the question why a government monopoly of the provision of money is universally regarded as indispensable as it has the defects of all monopolies...” Friedrich Hayek “With a gun a man can rob a bank, with a bank a man can rob the world...” Carter Glass “I was reading in the paper today that Congress wants to replace the dollar bill with a coin. They’ve already done it. It’s called a nickel...” Jay Leno
23 Central Bank Definition: Oversight, Monetary Control, Lender Of Last Resort
A central bank, reserve bank, or monetary authority is an institution that manages the currency, money supply, and interest rates of a state or formal monetary union, and oversees their commercial banking system. In contrast to a commercial bank, a central bank possesses a monopoly on increasing the monetary base in the state, and also generally controls the printing/coining of the national currency, which serves as the state's legal tender. A central bank also acts as a lender of last resort to the banking sector during times of financial crisis. Most central banks also have supervisory and regulatory powers to ensure the solvency of member institutions, to prevent bank runs, and to discourage reckless or fraudulent behavior by member banks. Central banks in most developed nations are institutionally independent from political interference. Still, limited control by the executive and legislative bodies exists.
Source(s): Wikipedia.com
24 United States Dabbled w/ National Bank Model, Jackson Busted Monopoly
First National Bank – 1791‐1811 The Jackson Veto ‐ 1832
Andrew Jackson vetoed the bill re‐chartering the Second Bank in July 1832 by arguing that in the form presented to him it was incompatible with “justice,” “sound policy” and the Constitution. The bank’s charter was unfair, Jackson argued in his veto message, because it gave the bank considerable, almost monopolistic, market power, specifically in the markets that moved financial resources around the Second National Bank – 1816‐1836 country and into and out of other nations. That market power increased the bank’s profits and thus its stock price, “which operated as a gratuity of many millions of dollars to the stockholders,” who, Jackson claimed, were mostly “foreigners” and “our own opulent citizens.” He then suggested that it would be fairer to most Americans to create a wholly government‐owned bank instead, or at least to auction the Second Bank of the US’s monopoly privileges to the highest bidder.
Source(s): Wikipedia, U.S. Money vs. Corporation Currency – Crozier, 1910, BusinessInsider.com
25 Morgan Got Rid Of Competition, Father-in-Law Helped Steer New Course
Source(s): Wikipedia.com
26 Aldrich Plan Created Creature From Jekyll Island (Fed), Concentrated Power
Source(s): U.S. Money vs. Corporation Currency – Crozier, 1910, Creature From Jekyll Island
27 T.J. Was Right, Banks Controlling Issuance Of Currency Leads To Theft...
"I believe that banking institutions are more dangerous to our liberties than standing armies, if the American people ever allow private banks to control the issue of their currency, first by inflation, then by deflation, the banks and corporations that will grow up around these banks will deprive the people of all property until their children wake up homeless on the continent their fathers conquered...” Thomas Jefferson
Source(s): U.S. Money vs. Corporation Currency – Crozier, 1910
28 What Goes On Inside Mariner Eccles Building Resembles Stranger Things...
Federal Reserve Inflation Monster – 1910 Mindflayer ‐ 2018 Board Building ‐ 1937
Hawkins National Labs ‐ 2016
Source(s): Wikipedia.com, Creature From Jekyll Island, elle.com
29 Central Bank Bubble Blowers Have Been Working Overtime Since Inception
Source(s): U.S. Money vs. Corporation Currency – Crozier, 1910, measuringworth.com
30 Jefferson & Keynes Warned Us About Danger Of Fiat Currency To Capitalism
Source(s): QuoteHD.com, Karatbars.com
31 Free Money Era (QE) Has Inflated Global Real Estate Bubble, Unaffordable...
Source(s): IMF.org, Fortune.com
32 Where Paper Wealth Exploded, Real Estate Prices Soared, Rich Get Richer
Source(s): Compass.com
33 Century Of Central Bank Profligacy Led To Greatest Inequality In History
Source(s): chartbookofewconomicinequality.com, DB Research
34 Central Banksters Have Done Amazing Job Concentration Wealth In Top 1%
Source(s): @trevornoren
35 Equity Returns Seem Too Good To Be True? Your Currency Being Destroyed
Source(s): SeekingAlpha.com
36 How Did You Go Bankrupt? Two Ways, Slowly At First, Then All At Once…
Source(s): Reportfocusnews.com,
37 Equity Returns Seem Too Good To Be True? Inflation Stealing Your Wealth
Source(s): TradingEconomics.com, @SteveHanke
38 Once Government Loses Control #RiskHappensFast, “Priceless” Goods…
Source(s): Wikipedia, KFGO.com
39 When Dictator Playbook Emerges, Citizens Seek Security Of Sound Money
Source(s): Statista.com, MCCM Research
40 In Challenging Investment Environment, Need an ALPHA Driven Model
41 Four Ways to Make Returns, Must Take “Risk” in All Four, Be Compensated
Components of Long-Term Portfolio Returns
Outlook Component Average Return DM EM
“Risk Free” Rate 4% 1% to 2%
Credit Risk 2% 1% to 2%
Equity Risk 5% (4%) to 2%
Illiquidity Risk 5% 7%
Structuring Risk Variable Low
Note(s): Projected returns are not a guarantee of future results. Historical Averages Ibbotson Style Data for Stocks, Bonds, Cash for 1926-2011, Cambridge PE Data for Illiquidity Premium. Outlook estimates are current risk free rates, current bond yields and forecast equity returns in developed and emerging markets from Bloomberg and GMO. Illiquidity forecast is MCCM estimate. Source(s): Bloomberg, GMO, MCCM estimates
42 Everybody Loves #FANGMAN, Investors Inflating Tech Bubble 2.0 w/ Fed $
GDP of Japan + India...
Source(s): @Schuledensuehner, @LanceRoberts
43 Cyclically Adjusted P/E Ratio; U.S. Above Average, EU Average, EM Below
CAPE Ratios Are Long‐Term Indicators, Favor EM > DM
Source(s): @SoberLook, @CAPE_Invest
44 Long/Short Equity Strategies Have A Long History of Beating The Markets
240% 220% Ann. Return Volatility 200% HFN Long/Short Equity Index 6.6% 6.8% MSCI World Net 4.1% 15.0% 180% S&P 500 5.3% 14.4% 160% 140% 120% 100% 80% 60% 40% 20% 0% -20% -40% -60%
HFN Long/Short Equity Index MSCI World Net S&P 500
eVestment., Note(s): Data shown from 04/01/00 to 12/31/17. The indices shown are for informational purposes only and are not reflective of any investment. As it is not possible to invest in the indices, the data shown does not reflect or compare features of an actual investment, such as its objectives, costs and expenses, liquidity, safety, guarantees or insurance, fluctuation of principal or return, or tax features. Past performance does not guarantee future results. There is no guarantee that any investment strategy will Source(s): achieve its objectives, generate profits or avoid losses. Diversification does not ensure profit or prevent losses.
45 Private25% Investment Market Return Expectations Still Remain Very Attractive
20%
16.0% 15.0% 15.0% 15% 13.4%
11.2% 10.5% 10.3% 10.0% 10%
5%
0% Framework: Large-Cap . QuantitativeMid-Cap Small-Cap baseline: initialAsia Growth expectationsVenture based on Real long- Estateterm trend ENR data from Credit indices and Morgan Creek portfolios Buyouts . QualitativeBuyouts adjustment:Buyouts expectationsEquity adjusted for each markets’ unique situation Key inputs: Expectations . Dividend Yield: expectations typically based on Morgan Creek manager data Model . Earnings Growth: expectations typically based on long-term average historical earnings growth rates of indices or Morgan Creek portfolios . Leverage: expectations typically based on Morgan Creek manager data and S&P/LCD averages . P/E Multiple: expectations typically based on distribution of multiple . Fees: based on typical fee structure of limited partnership
Note(s): Private credit expectation represents the average expected return for senior and subordinated debt strategies. Top quartile VC expectation is based on a 15-20% range. This document reflects opinions of Morgan Creek as of the time it was written and all such opinions are subject to change. There is no guarantee that these expectations will be met. No representation or warranty, express or implied, is given by Morgan Creek as to the accuracy of such opinions and no liability is accepted by such persons for the accuracy or completeness of any such opinions. Source(s): Baird, S&P/LCD, Bloomberg, Thomson Reuters, Real Capital Analytics, PricewaterhouseCoopers, NCREIF, CapitalIQ, Morgan Creek.
46 Smartest Investors Consistently Embrace Innovation
47 Best Performing Investment Portfolios Consistently Overweight Innovation
23% 23% Hedge Hedge Funds Funds
25% 24% Traditional Traditional
52% 53% Private Private
Source(s): Yale Endowment 2018 Annual Report
48 Top Venture Capitalists Embracing Blockchain Technology & Digital Assets
Source(s): @CBInsights
49 Why Is Blockchain Technology So Important?
50 Welcome To The Digital Age: Digital Disruption Impacting Every Incumbent
Source(s): Ciscocanada.com
51 Blockchain Technology Is Simply Next Innovation In Computing Power Cycle
Source(s): IBM
52 Blockchain Era Right Around The Corner, Internet Of Value In Growth Phase
Major Tech Cycle 1954, 1968, 1982, 1996, 2010, 2024…
Source(s): @LinkedIn, David Fossas, Accenture Research
53 Distributed Ledger Technology Is Natural Evolution Of Accounting Systems
Source(s): Bellaj Badr, mchain.uk
54 Decentralization Superiority: Fault Tolerance, Attack & Collusion Resistance
Common View: Too Simplistic Complete View: Three Dimensional
(can you split entity?)
One CEO Home Office
One Standard Two separate Many Sites Conversations
Source(s): @VitalikButerin, Medium.com
55 Blockchain Technology Will Impact Nearly Every Existing Business Model
Source(s): @CryptoBoomNews
56 Blockchain Era Will Usher In Period Of Unprecedented Wealth Creation
Source(s): Arabnet.me
57 Crypto Technology Is Not New, Those With Most To Lose Fight Hardest
#HatersGonnaHate
Source(s): @CryptoBoomNews
58 Economist Predicted Bitcoin in ’88! Satoshi Obliged in ’08, Ubiquitous in ’18
Source(s): TheEconomist.com, BitcoinMagazine.com, ScientificAmerican.com
59 The Internet Of Money (Value) Will Be More Transformational Than Internet
Source(s): LinkedIn, George Samuel Samman
60 Blockchain Technology Enables Single Source Of Truth; The #TrustNet
Source(s): Bellaj Badr, mchain.uk
61 History Of Commodity Money Pretty Solid (pun intended) Fiat Currency Not So Much
Source(s): @SpirosMargaris
62 What Makes A Currency A Currency? How Does Crypto Compare to Fiat?
Source(s): Intuitecon.com
63 We Believe Cryptocurrency Getting Warmed Up For Assault On Fiat Currency
You can barely see the volatility if think about series of parabolic moves within the edges of the ascending S‐Curve line…
Source(s): Oftwominds.com, @woonomics
64 Purchasing Power Of $ Eroded By Fiat Fiasco, Time For Bank Disruption?
Source(s): GoldBroker.com, @TheBubbleBubble
65 Blockchain Technology Will Completely Revolutionize Financial Services
Source(s): Arabnet.me
66 Blockchain Technology Will Become Beating Heart Of New Financial System
Source(s): World Economic Forum (“WEF”)
67 Do We Really Need Physical Banks In Digital Age? Do We Need Any Banks?
Source(s): Chain.com, jiko.io
68 Nearly 40% Of Adults Are Unbanked, But 2/3 Of Those Have Mobile Phone
Source(s): WorldBank.org, Global Findex 2017
69 Providing Financial Services To Unbanked Will Be Truly Transformational
Source(s): TechMoran.com
70 Blockchain Technology Enables Transition To The Digital Age of Securities
Technological innovation fueled efficiencies in processing transactions as transitioned from Analog Age of Securities to Electronic Age of Securities. Blockchain enables even greater efficiencies as transition to Digital Age of Securities.
Analog Age of Electronic Age of Digital Age of Important Characteristics of Digital Securities Securities Securities Securities Faster trade Low cost to Cost of Transaction Very expensive Expensive Lowest fees execution setup
Locally concentrated Global base, Potential Investor Highly concentrated around original equity regardless of location Base in Western world owner or government Lack of SEC manipulation compliant True, global Highly concentrated Liquidity Very little liquidity marketplace of in Western world liquidity Hybrid of electronic Global market Low Type of Ownership Physical ownership Fractional ownership and physical place transaction Available only of digital shares ownership fees Free Market Free market in True, global free None Exposure Western world market 24 hour Various asset Deal Execution market place classes Manual Semi-automated Fully-automated Mechanism
Speed of Deal Manual transaction Delayed transaction Instantaneous Liquidity Scalability Execution settlement settlement transaction settlement
Source(s): CryptoSlate.com
71 Tokenization Is Logical Progression Of Digital Disruption Into Real Assets
Source(s): Pavel Kravchenko, distributedlab.com, LAToken.com
72 Total Market Opportunity For Tokenization Of Real Assets Is Enormous
Of the $700T of total investable assets globally, approximately $170T are liquid assets, including stocks, bonds, and fiat cash, while approximately $530T are illiquid assets, including buyouts, venture capital, real estate and commodities. Tremendous opportunity exists to provide liquidity to investors in these private assets. Private Markets Assets Under Management (2017 ‐ $Billions) Total global private AUM of $5.2 trillion representative of significant investor demand.
Source(s): Preqin, McKinsey
73 Blockchain & Crypto Assets Just Getting Warmed Up, All About The Network
Source(s): @MikeQuindazzi, PwC, IlluminateFinancial.com
74 Lindy Effect: Passage Of Time Increases Likelihood Of Longer Life Span
Source(s): @MustStopMurad
75 Crypto & Bitcoin Following Internet Technology Adoption Path, Now 1995..!
We Are Here
Source(s): @WallSt_Dropout, @sharkybit
76 Crypto Ecosystem Is Developing Rapidly, Market Cap Expands Exponentially
Source(s): Medium.freecodecamp.org
77 Network Value Increases Along Parabolic Curve Following S-Curve Adoption
Waves of Volatility within growth channel
2024
2019
Source(s): @gravitywave2, it-people.com
78 Logarithmic Model Most Accurate Value Predictor, Still Looks Like On Track
11/28/2017
Source(s): @pcreid, Pantera Capital
79 Stock-To-Flow Model Shows How Store Of Value Function Rises w/ Scarcity
Bitcoin Stock To Flow Model Phases
Phase 1 – Proof of Concept Pizza, GPU Miner, Silk Road, Mt. Gox
Phase 2 ‐ Payments >$1, Wikileaks, Satoshi Dice, Coinbase, Halving 1
Phase 3 –E‐Gold >$100, Cyprus, Bitstamp, Ulbricht arrest, Mt. Gox Default, XT fork, Halving 2
Phase 4 – Financial Asset >$1000, Japan & Australia legalize BTC, Altcoins/ICOs, BCH/SV forks, Segwit/Lightning, Futures, Halving 3
Phase 5 > $10,000...
Source(s): @100trillionUSD
80 Bitcoin Fully Developed Into #DigitalGold, Market Cap Likely Catches Gold
Source(s): @100trillionUSD
81 S2F Model Overlay On 2014 Regression Lines Up Nicely As Upper Bound
Source(s): @ChartsBtc
82 Media Narrative Crypto Ship Is Sinking, Reality Is Perfect Storm For Bitcoin
Source(s): Reddit.com, Pinterest, @gravitywave2, @TetrasCapital
83 Early Innings In Adoption Of Crypto Assets, Great Wall Of Money Coming…
$200B $340B $1.6T $2T
Total Market Capitalization on 9/9/2020
Source(s): IlluminateFinancial.com
84 Time Is Now For Investors To #GetOffZero
85 Digital Assets Are A Response To Rapidly Changing Investment Landscape
Source(s): Grayscale.co
86 Digital Assets (Crypto) Have Unique Investment Properties & Use Cases
Source(s): Grayscale.co
87 Crypto Assets Enhance Efficient Frontier Within Modern Portfolio Theory
Source(s): Grayscale.co
88 Crypto & Traditional Assets Derive Returns From Very Different Sources
Source(s): @CharlesLBovaird, Forbes.com
89 Small Bitcoin Allocation Has Provided Huge Portfolio Benefit Over Time
Source(s): @GaborGurbacs
90 Ostrich Model Not Working For Institutional Investors; Time To #GetOffZero
Source(s): @GaborGurbacs, @mustacheTommy, CoinMArketCap.com
91 Myriad Opportunities To Capitalize On The Emergence Of Crypto Economy
Source(s): @CBInsights, Bitwise, CNBC
92 Contact Information
Morgan Creek Capital Management, LLC 301 W. Barbee Chapel Road, Suite 200 Chapel Hill, NC 27517
Phone: 919-933-4004 Fax: 919-933-4048
Contact: Mark W. Yusko Email: [email protected] Web: www.morgancreekcap.com
93 Important Disclosures
Opinion The information contained herein reflects opinions of Morgan Creek as of the time this presentation is written and all such opinions are subject to change. No representation or warranty, express or implied, is given by Morgan Creek as to the accuracy of such opinions and no liability is accepted by such persons for the accuracy or completeness of any such opinions.
General This is neither an offer to sell nor a solicitation of an offer to buy interests in any investment fund managed by Morgan Creek Capital Management, LLC or its affiliates, nor shall there be any sale of securities in any state or jurisdiction in which such offer or solicitation or sale would be unlawful prior to registration or qualification under the laws of such state or jurisdiction. Any such offering can be made only at the time a qualified offeree receives a Confidential Private Offering Memorandum and other operative documents which contain significant details with respect to risks and should be carefully read. Neither the Securities and Exchange Commission nor any State securities administrator has passed on or endorsed the merits of any such offerings of these securities, nor is it intended that they will. This document is for informational purposes only and should not be distributed. Securities distributed through Morgan Creek Capital Distributors, LLC, Member FINRA/SIPC.
Safe Harbor Statement This presentation shall not constitute an offer to sell or a solicitation of an offer to buy, nor shall there be any sale of, the securities in any state or jurisdiction in which such offer or solicitation or sale would be unlawful prior to registration or qualification under the laws of such state or jurisdiction. Forward-Looking Statements: This presentation contains certain statements that may include "forward-looking statements" within the meaning of Section 27A of the Securities Act of 1933 and Section 21E of the Securities Exchange Act of 1934. All statements, other than statements of historical fact, included herein are "forward-looking statements." Included among "forward-looking statements" are, among other things, statements about our future outlook on opportunities based upon current market conditions. Although the company believes that the expectations reflected in these forward-looking statements are reasonable, they do involve assumptions, risks and uncertainties, and these expectations may prove to be incorrect. Actual results could differ materially from those anticipated in these forward-looking statements as a result of a variety of factors. One should not place undue reliance on these forward-looking statements, which speak only as of the date of this discussion. Other than as required by law, the company does not assume a duty to update these forward-looking statements. Past performance is no guarantee of future results. The illustrations are not intended to predict the performance of any specific investment or security. The past performance figures do not represent performance of any MCCM security and there can be no assurance that any MCCM security will achieve the past returns of the illustrative examples. This is not an offering to subscribe for units in any fund and is intended for informational purposes only. An offering can only be made by delivery of the Prospectus to “qualified clients” within the meaning of U.S. securities laws.
No Warranty Morgan Creek Capital Management, LLC does not warrant the accuracy, adequacy, completeness, timeliness or availability of any information provided by non-Morgan Creek sources, including accessibility of unavailable funds.
Risk Summary Investment objectives are not projections of expected performance or guarantees of anticipated investment results. Actual performance and results may vary substantially from the stated objectives with respect to risks. Investments are speculative and are meant for sophisticated investors. An investor may lose all or a substantial part of its investment in funds managed by Morgan Creek Capital Management, LLC. There are also substantial restrictions on transfers. Certain of the underlying investment managers in which the funds managed by Morgan Creek Capital Management, LLC invest may employ leverage (certain Morgan Creek funds also employ leverage) or short selling, may purchase or sell options or derivatives and may invest in speculative or illiquid securities. Funds of funds have a number of layers of fees and expenses which may offset profits. This is a brief summary of investment risks. Prospective investors should carefully review the risk disclosures contained in the funds’ Confidential Private Offering Memoranda. No investment is risk free; loss of principal is possible. Alternative investments involve specific risks that may be greater than those associated with traditional investments. One should consider the special risks with alternative investments, including limited liquidity, tax considerations, incentive fee structures, potentially speculative investment strategies, and different regularly and reporting requirements. There can be no assurance that any investment will meet its performance objectives or that substantial losses will be avoided.
Indices The index information is included merely to show the general trends in certain markets in the periods indicated and is not intended to imply that the portfolio of any fund managed by Morgan Creek Capital Management, LLC was similar to the indices in composition or element of risk. The indices are unmanaged, not investable, have no expenses and reflect reinvestment of dividends and distributions. Index data is provided for comparative purposes only. A variety of factors may cause an index to be an inaccurate benchmark for a particular portfolio and the index does not necessarily reflect the actual investment strategy of the portfolio.
S&P 500 Index -- this is an index consisting of 500 stocks chosen for market size, liquidity and industry grouping, among other factors. The index is a market-value weighted index – each stock’s weight in the index is proportionate to its market value. Definition is from Standard and Poor’s.
Sharpe Ratio: Return (numerator) is defined as the incremental average return of an investment over the risk free rate. Risk (denominator) is defined as the standard deviation of the investment returns.
Sortino Ratio: A ratio similar to the Sharpe Ratio, except it uses downside deviation for the denominator instead of standard deviation, the use of which does not discriminate between up and down volatility.
94 95