Description

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

Statistics (YTD)

What do these metrics mean? [Read More] [Hide]

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (121.6%) in the period of the last 5 years, the total return of 67% of Aronson Family Taxable Portfolio is lower, thus worse.
  • Looking at total return, or increase in value in of 39.2% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (64.5%).

CAGR:

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

Using this definition on our asset we see for example:
  • The annual return (CAGR) over 5 years of Aronson Family Taxable Portfolio is 10.8%, which is smaller, thus worse compared to the benchmark SPY (17.3%) in the same period.
  • Compared with SPY (18.1%) in the period of the last 3 years, the annual performance (CAGR) of 11.7% is smaller, thus worse.

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.'

Which means for our asset as example:
  • The historical 30 days volatility over 5 years of Aronson Family Taxable Portfolio is 11.6%, which is lower, thus better compared to the benchmark SPY (18.7%) in the same period.
  • Looking at historical 30 days volatility in of 13.9% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (22.5%).

DownVol:

'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.'

Using this definition on our asset we see for example:
  • Looking at the downside risk of 8.8% in the last 5 years of Aronson Family Taxable Portfolio, we see it is relatively lower, thus better in comparison to the benchmark SPY (13.5%)
  • Looking at downside risk in of 10.5% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (16.4%).

Sharpe:

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

Using this definition on our asset we see for example:
  • Looking at the Sharpe Ratio of 0.72 in the last 5 years of Aronson Family Taxable Portfolio, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.79)
  • During the last 3 years, the risk / return profile (Sharpe) is 0.66, which is lower, thus worse than the value of 0.69 from the benchmark.

Sortino:

'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:
  • Looking at the excess return divided by the downside deviation of 0.95 in the last 5 years of Aronson Family Taxable Portfolio, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (1.09)
  • Looking at excess return divided by the downside deviation in of 0.87 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.95).

Ulcer:

'The Ulcer Index is a technical indicator that measures downside risk, in terms of both the depth and duration of price declines. The index increases in value as the price moves farther away from a recent high and falls as the price rises to new highs. The indicator is usually calculated over a 14-day period, with the Ulcer Index showing the percentage drawdown a trader can expect from the high over that period. The greater the value of the Ulcer Index, the longer it takes for a stock to get back to the former high.'

Using this definition on our asset we see for example:
  • The Downside risk index over 5 years of Aronson Family Taxable Portfolio is 4.39 , which is lower, thus better compared to the benchmark SPY (5.58 ) in the same period.
  • During the last 3 years, the Ulcer Ratio is 5.05 , which is smaller, thus better than the value of 6.83 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.'

Which means for our asset as example:
  • The maximum drop from peak to valley over 5 years of Aronson Family Taxable Portfolio is -24.3 days, which is higher, thus better compared to the benchmark SPY (-33.7 days) in the same period.
  • During the last 3 years, the maximum DrawDown is -24.3 days, which is larger, thus better than the value of -33.7 days from the benchmark.

MaxDuration:

'The Drawdown Duration is the length of any peak to peak period, or the time between new equity highs. The Max Drawdown Duration is the worst (the maximum/longest) amount of time an investment has seen between peaks (equity highs) in days.'

Applying this definition to our asset in some examples:
  • Looking at the maximum days under water of 350 days in the last 5 years of Aronson Family Taxable Portfolio, we see it is relatively higher, thus worse in comparison to the benchmark SPY (139 days)
  • Looking at maximum time in days below previous high water mark in of 154 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (139 days).

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (33 days) in the period of the last 5 years, the average time in days below previous high water mark of 72 days of Aronson Family Taxable Portfolio is larger, thus worse.
  • Looking at average days below previous high in of 35 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (35 days).

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations
()

Allocations

Returns (%)

  • 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.