Aronson Family Taxable Portfolio

TotalReturn:

'The total return on a portfolio of investments takes into account not only the capital appreciation on the portfolio, but also the income received on the portfolio. The income typically consists of interest, dividends, and securities lending fees. This contrasts with the price return, which takes into account only the capital gain on an investment.'

• Looking at the total return, or increase in value of 23.5% in the last 5 years of Aronson Family Taxable Portfolio, we see it is relatively lower, thus worse in comparison to the benchmark SPY (58.9%)
• Looking at total return in of 14.2% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (33.9%).

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

• Looking at the annual return (CAGR) of 4.3% in the last 5 years of Aronson Family Taxable Portfolio, we see it is relatively lower, thus worse in comparison to the benchmark SPY (9.7%)
• Looking at annual return (CAGR) in of 4.5% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (10.2%).

Volatility:

'In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Commonly, the higher the volatility, the riskier the security.'

• Compared with the benchmark SPY (21.6%) in the period of the last 5 years, the 30 days standard deviation of 13.7% of Aronson Family Taxable Portfolio is lower, thus better.
• During the last 3 years, the 30 days standard deviation is 16%, which is lower, thus better than the value of 25% from the benchmark.

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. Risk measures typically quantify the downside risk, whereas the standard deviation (an example of a deviation risk measure) measures both the upside and downside risk. Specifically, downside risk in our definition is the semi-deviation, that is the standard deviation of all negative returns.'

• The downside deviation over 5 years of Aronson Family Taxable Portfolio is 10.2%, which is lower, thus better compared to the benchmark SPY (15.7%) in the same period.
• Looking at downside deviation in of 12% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (18.1%).

Sharpe:

'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.'

• Compared with the benchmark SPY (0.33) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.13 of Aronson Family Taxable Portfolio is lower, thus worse.
• During the last 3 years, the risk / return profile (Sharpe) is 0.13, which is smaller, thus worse than the value of 0.31 from the benchmark.

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

• The ratio of annual return and downside deviation over 5 years of Aronson Family Taxable Portfolio is 0.18, which is lower, thus worse compared to the benchmark SPY (0.46) in the same period.
• Compared with SPY (0.43) in the period of the last 3 years, the downside risk / excess return profile of 0.17 is lower, thus worse.

Ulcer:

'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.'

• Looking at the Ulcer Ratio of 8.66 in the last 5 years of Aronson Family Taxable Portfolio, we see it is relatively lower, thus better in comparison to the benchmark SPY (8.91 )
• During the last 3 years, the Ulcer Ratio is 11 , which is larger, thus worse than the value of 11 from the benchmark.

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

• The maximum DrawDown over 5 years of Aronson Family Taxable Portfolio is -25.6 days, which is larger, thus better compared to the benchmark SPY (-33.7 days) in the same period.
• Looking at maximum drop from peak to valley in of -25.6 days in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (-33.7 days).

MaxDuration:

'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.'

• Compared with the benchmark SPY (271 days) in the period of the last 5 years, the maximum days under water of 309 days of Aronson Family Taxable Portfolio is greater, thus worse.
• During the last 3 years, the maximum days under water is 309 days, which is larger, thus worse than the value of 271 days from the benchmark.

AveDuration:

'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.'

• The average days below previous high over 5 years of Aronson Family Taxable Portfolio is 72 days, which is larger, thus worse compared to the benchmark SPY (60 days) in the same period.
• During the last 3 years, the average days below previous high is 86 days, which is higher, thus worse than the value of 72 days from the benchmark.