Ted Aronson is an asset manager. His family taxable account portfolio has been featured and tracked by MarketWatch.com's lazy portfolios, maintained by Paul Farrel. The lazy portfolio has done very well prior to 2008-2009 crash.

The portfolio consists of the following index funds and their ETF substitutes:

- 20% in Vanguard Emerging Markets Stock Index (VEIEX) --- ETF: VWO

- 15% in Vanguard 500 Index (VFINX) --- ETF: VOO

- 15% in Vanguard Pacific Stock Index (VPACX) -- ETF: VPL

- 10% in Vanguard Extended Market Index (VEXMX) -- ETF: VXF

- 10% in Vanguard Inflation-Protected Securities (VIPSX) -- ETF: TIP

- 5% in Vanguard European Stock Index (VEURX) --- ETF: VGK

- 5% in Vanguard High-Yield Corporate (VWEHX) --- ETF: JNK

- 5% in Vanguard Long-Term U.S. Treasury (VUSTX) -- ETF: VGLT

- 5% in Vanguard Small Cap Growth (VISGX) --- ETF: VBK

- 5% in Vanguard Small Cap Value Index (VISVX) --- ETF: VBR

- 5% in Vanguard Total Stock Market Index (VTSMX) --- ETF: VTI

The Aronson Family Taxable ETF Lazy Portfolio consists of 11 funds.

Asset Class | Ticker | Name |
---|---|---|

DIVERSIFIED EMERGING MKTS | VWO | Vanguard Emerging Markets Stock ETF |

LARGE BLEND | VOO | Vanguard S&P 500 ETF |

DIVERSIFIED PACIFIC/ASIA | VPL | Vanguard Pacific Stock ETF |

MID-CAP BLEND | VXF | Vanguard Extended Market Index ETF |

Inflation-Protected Bond | TIP | iShares Barclays TIPS Bond |

EUROPE STOCK | VGK | Vanguard European ETF |

High Yield Bond | JNK | SPDR Barclays Capital High Yield Bond |

LONG GOVERNMENT | VGLT | Vanguard Long-Term Govt Bd Idx ETF |

Small Growth | VBK | Vanguard Small Cap Growth ETF |

SMALL VALUE | VBR | Vanguard Small Cap Value ETF |

LARGE BLEND | VTI | Vanguard Total Stock Market ETF |

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (80.1%) in the period of the last 5 years, the total return, or increase in value of 31.5% of Aronson Family Taxable Portfolio is lower, thus worse.
- Looking at total return, or performance in of 0.5% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (30.8%).

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

Which means for our asset as example:- The compounded annual growth rate (CAGR) over 5 years of Aronson Family Taxable Portfolio is 5.6%, which is smaller, thus worse compared to the benchmark SPY (12.5%) in the same period.
- Looking at annual return (CAGR) in of 0.2% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (9.4%).

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

Which means for our asset as example:- The 30 days standard deviation over 5 years of Aronson Family Taxable Portfolio is 13.7%, which is smaller, thus better compared to the benchmark SPY (21.3%) in the same period.
- Looking at 30 days standard deviation in of 12.5% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (17.6%).

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (15.3%) in the period of the last 5 years, the downside volatility of 10.1% of Aronson Family Taxable Portfolio is lower, thus better.
- During the last 3 years, the downside volatility is 8.9%, which is lower, thus better than the value of 12.3% from the benchmark.

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

Applying this definition to our asset in some examples:- The risk / return profile (Sharpe) over 5 years of Aronson Family Taxable Portfolio is 0.23, which is lower, thus worse compared to the benchmark SPY (0.47) in the same period.
- Compared with SPY (0.39) in the period of the last 3 years, the Sharpe Ratio of -0.19 is smaller, thus worse.

'The Sortino ratio improves upon the Sharpe ratio by isolating downside volatility from total volatility by dividing excess return by the downside deviation. The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative asset returns, called downside deviation. The Sortino ratio takes the asset's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. The ratio was named after Frank A. Sortino.'

Which means for our asset as example:- Compared with the benchmark SPY (0.66) in the period of the last 5 years, the excess return divided by the downside deviation of 0.31 of Aronson Family Taxable Portfolio is lower, thus worse.
- Compared with SPY (0.56) in the period of the last 3 years, the downside risk / excess return profile of -0.26 is lower, thus worse.

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (9.43 ) in the period of the last 5 years, the Ulcer Ratio of 10 of Aronson Family Taxable Portfolio is higher, thus worse.
- Looking at Ulcer Index in of 13 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (10 ).

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

Applying this definition to our asset in some examples:- The maximum drop from peak to valley over 5 years of Aronson Family Taxable Portfolio is -25.6 days, which is higher, thus better compared to the benchmark SPY (-33.7 days) in the same period.
- Looking at maximum DrawDown in of -25.6 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-24.5 days).

'The Maximum Drawdown Duration is an extension of the Maximum Drawdown. However, this metric does not explain the drawdown in dollars or percentages, rather in days, weeks, or months. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

Which means for our asset as example:- The maximum days below previous high over 5 years of Aronson Family Taxable Portfolio is 516 days, which is larger, thus worse compared to the benchmark SPY (478 days) in the same period.
- Compared with SPY (478 days) in the period of the last 3 years, the maximum days below previous high of 516 days is higher, thus worse.

'The Drawdown Duration is the length of any peak to peak period, or the time between new equity highs. The Avg Drawdown Duration is the average amount of time an investment has seen between peaks (equity highs), or in other terms the average of time under water of all drawdowns. So in contrast to the Maximum duration it does not measure only one drawdown event but calculates the average of all.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (118 days) in the period of the last 5 years, the average time in days below previous high water mark of 131 days of Aronson Family Taxable Portfolio is greater, thus worse.
- During the last 3 years, the average days under water is 195 days, which is larger, thus worse than the value of 173 days from the benchmark.

Historical returns have been extended using synthetic data.
[Show Details]

- Note that yearly returns do not equal the sum of monthly returns due to compounding.
- Performance results of Aronson Family Taxable Portfolio are hypothetical, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.