DISCLOSURES
As your investment advisor, Carlton Hall Asset Management LLC would like to make the following disclosures regarding the presented performance and risk statistics provided within this presentation:
Benchmark data and all statistics that rely on benchmark data are based on returns of the S&P 500 Index.
An annual rate of 3% was used for the risk-free rate to calculate risk-adjusted statistics.
All performance and assets presented are based on hypothetical investments made in US Dollars.
Performance and risk statistics presented are time-weighted and gross of all fees based on “period” returns provided by Carlton Hall Asset Management.
All statistics have been calculated by an independent third-party, Longs Peak Advisory Services, but have not been independently verified.
Past performance is not necessarily indicative of future results.
Presented risk-adjusted statistics are defined as follows:
Standard Deviation: A measure of the dispersion of a set of data from its mean. The more spread apart the data, the higher the deviation. Standard deviation is calculated as the square root of variance.
Sharpe Ratio: A ratio that measures risk-adjusted performance. The Sharpe ratio is calculated by subtracting the risk-free rate from the rate of return for a portfolio and dividing the result by the standard deviation of the portfolio returns.
Beta: A measure of the volatility, or systematic risk, of the portfolio in comparison to the market as a whole. In this report the S&P 500 Index has been used as a proxy for the market.
Treynor: A ratio that measures returns earned in excess of that which could have been earned on a riskless investment per each unit of market risk. It is calculated by dividing the excess return the portfolio earns above the risk-free rate by the portfolio’s beta.
Information ratio: The information ratio (IR) measures a portfolio manager’s ability to generate excess returns relative to a benchmark, adjusted for volatility.
It is calculated by dividing the excess returns the portfolio earns above the benchmark by the volatility of those returns.
Jensen’s Alpha: Jensen’s alpha is a risk-adjusted performance measure that represents a portfolio’s excess return beyond the return predicted by the
capital asset pricing model (CAPM), given the portfolio’s beta and the return
of a comparable index.
R2: A statistical measure that represents the percentage of the portfolio’s movements that can be explained by movements in a benchmark index.
Tracking Error: Tracking error measures the divergence between the price behavior of a portfolio and the price behavior of a benchmark.
It is calculated by taking the standard deviation of the portfolio’s return
minus the benchmark’s return.
