Aronson Family Taxable Portfolio

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

• The total return, or increase in value over 5 years of Aronson Family Taxable Portfolio is 32.4%, which is lower, thus worse compared to the benchmark SPY (94%) in the same period.
• Compared with SPY (44.4%) in the period of the last 3 years, the total return, or performance of 12.3% is smaller, thus worse.

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 compounded annual growth rate (CAGR) of 5.8% in the last 5 years of Aronson Family Taxable Portfolio, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (14.2%)
• Compared with SPY (13.1%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 4% is lower, thus worse.

Volatility:

'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.'

• The volatility over 5 years of Aronson Family Taxable Portfolio is 13.9%, which is lower, thus better compared to the benchmark SPY (21%) in the same period.
• Compared with SPY (17.2%) in the period of the last 3 years, the historical 30 days volatility of 12.4% is smaller, thus better.

DownVol:

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

• Compared with the benchmark SPY (15%) in the period of the last 5 years, the downside volatility of 10.3% of Aronson Family Taxable Portfolio is lower, thus better.
• Compared with SPY (12%) in the period of the last 3 years, the downside risk of 8.6% is smaller, thus better.

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.'

• The Sharpe Ratio over 5 years of Aronson Family Taxable Portfolio is 0.24, which is lower, thus worse compared to the benchmark SPY (0.56) in the same period.
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.12, which is lower, thus worse than the value of 0.62 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.'

• Compared with the benchmark SPY (0.78) in the period of the last 5 years, the excess return divided by the downside deviation of 0.32 of Aronson Family Taxable Portfolio is lower, thus worse.
• Compared with SPY (0.88) in the period of the last 3 years, the excess return divided by the downside deviation of 0.17 is smaller, 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.'

• The Downside risk index over 5 years of Aronson Family Taxable Portfolio is 11 , which is greater, thus worse compared to the benchmark SPY (9.19 ) in the same period.
• Compared with SPY (8.57 ) in the period of the last 3 years, the Ulcer Ratio of 8.44 is smaller, thus better.

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

• Looking at the maximum drop from peak to valley of -25.6 days in the last 5 years of Aronson Family Taxable Portfolio, we see it is relatively larger, thus better in comparison to the benchmark SPY (-32.8 days)
• Compared with SPY (-22.1 days) in the period of the last 3 years, the maximum DrawDown of -20.3 days is greater, thus better.

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.'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days below previous high of 672 days of Aronson Family Taxable Portfolio is greater, thus worse.
• Looking at maximum time in days below previous high water mark in of 476 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (325 days).

AveDuration:

'The Average 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. 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.'

• Compared with the benchmark SPY (121 days) in the period of the last 5 years, the average days below previous high of 204 days of Aronson Family Taxable Portfolio is higher, thus worse.
• During the last 3 years, the average time in days below previous high water mark is 163 days, which is higher, thus worse than the value of 89 days from the benchmark.