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First Fiduciary Equity Composite risk-adjusted measures are gross of fees.
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| 2. |
Benchmark return is 100% of the S&P 500 Index for the historical period of 1992-1997. The benchmark return from 1998 – December 15, 2005 is 100% of the Standard & Poor’s BARRA Value Index. From December 16, 2005, the benchmark return is 100% of the Standard & Poor’s 500/Citigroup Value Index due to methodology changes determined by Standard & Poor’s.
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| 3. |
Market beta is determined by regressing quarterly total returns of composite/index to quarterly total returns of S&P 500 Total Return Index (S&P 500).
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| 4. |
The Sharpe Ratio is equal to the quarterly compounded average annual return of the composite/Index less the quarterly compounded average annual return of the risk free investment over the given period divided by the annualized standard deviation of the quarterly compounded average annual return of the composite/index.
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| 5. |
The risk free rate of return is measured using the quarterly returns on the 90 day US Treasury Bill.
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| 6. |
The Treynor Ratio is equal to the quarterly compounded average annual return of the composite/Index less the quarterly compounded average annual return of the risk free investment over the given period divided by beta of the composite/index over the given period.
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| 7. |
R2 is the proportion of variability in a data set that is accounted for by a statistical model. In this case, it is the percentage of variance of returns that is explained by the regression model using the S&P 500 Total Return Index as the independent variable.
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| 8. |
The Sortino Ratio is equal to the quarterly compounded average annual return of the composite/Index less the quarterly compounded average annual return of the risk free investment over the given period divided by the annualized quarterly downside deviation over the given period. The downside deviation is the standard deviation of composite/index returns that fall below the risk free rate of return for a given period. Composite/Index returns that are above the risk free rate of return for a given period are not included in the calculation of downside deviation. Sortino Ratio is calculated using quarterly data and then annualized.
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| 9. |
The Information Ratio is equal to the quarterly compounded annualized rate of return for the FFIC Equity Composite less the quarterly compounded annualized rate of return for the respective index (also know as “Active Return”) divided by the annualized quarterly standard deviation of the Active Returns.
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| 10. |
Alpha is the excess return of the FFIC Equity Composite over the respective index return, when the respective index return is equal to zero for the given period. It is calculated by regressing the quarterly returns of the FFIC Equity Composite to the quarterly returns of the respective index, and then annualizing the results. Alpha is equal to the y-intercept in the best-fit regression equation.
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