Page 166 - NovDefComp

Small Cap Growth – Asset Class Review Sep-20

Risk / Return Single Computation, Oct 15 - Sep 20 Up/Down Capture Oct 15 - Sep 20

36
120
32 108
28
96
Total Annualized Return, % 16 8 Up Mkt Capture Ratio, % 72
24
84
20
60
12
48
36
4
24
0
12
-4
0
-8
0.0 5.5 11.0 16.5 22.0 27.5 33.0 38.5 44.0 49.5 55.0 0 10 20 30 40 50 60 70 80 90 100
Total Annualized StdDev, % Down Mkt Capture Ratio, %
Relative Risk Return Oct 15 - Sep 20 Rolling 5 Year Return Rank 20 quarter rolling windows, Oct 10 - Sep 20

4.0 0
3.6
3.2
25
Excess Annualized Return, % 2.4 Total Return Rank, % 50
2.8

2.0
1.6
1.2
0.8
0.4 75
0.0 100 Jun-16 Dec-16 Jun-17 Dec-17 Jun-18 Dec-18 Jun-19 Dec-19 Sep-20
Sep-15
0.0 1.0 2.0 3.0 4.0 5.0 6.0
Excess Annualized StdDev, %
Rolling 5 Year Information Ratio Rank 20 quarter rolling windows, Oct 10 - Sep 20 Significance Level Oct 15 - Sep 20

0 100

90.72
90
25
Excess Inf. Ratio Rank, % 50 Significance Level, % 80

70

75
60

100
Sep 15 Jun 16 Dec 16 Jun 17 Dec 17 Jun 18 Dec 18 Jun 19 Dec 19 Sep 20 50

61