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.'

• Looking at the total return, or performance of 40.9% in the last 5 years of Aronson Family Taxable Portfolio, we see it is relatively lower, thus worse in comparison to the benchmark SPY (109.2%)
• During the last 3 years, the total return is 9.1%, which is smaller, thus worse than the value of 37.9% from the benchmark.

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.'

• The annual return (CAGR) over 5 years of Aronson Family Taxable Portfolio is 7.1%, which is lower, thus worse compared to the benchmark SPY (15.9%) in the same period.
• Compared with SPY (11.4%) in the period of the last 3 years, the annual performance (CAGR) of 3% is smaller, thus worse.

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• Compared with the benchmark SPY (20.9%) in the period of the last 5 years, the historical 30 days volatility of 13.8% of Aronson Family Taxable Portfolio is smaller, thus better.
• Compared with SPY (17.5%) in the period of the last 3 years, the 30 days standard deviation of 12.5% is lower, thus better.

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.'

• Looking at the downside deviation of 10.2% in the last 5 years of Aronson Family Taxable Portfolio, we see it is relatively lower, thus better in comparison to the benchmark SPY (14.9%)
• Looking at downside risk in of 8.8% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (12.2%).

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• The ratio of return and volatility (Sharpe) over 5 years of Aronson Family Taxable Portfolio is 0.33, which is smaller, thus worse compared to the benchmark SPY (0.64) in the same period.
• Looking at ratio of return and volatility (Sharpe) in of 0.04 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.51).

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 downside risk / excess return profile over 5 years of Aronson Family Taxable Portfolio is 0.45, which is smaller, thus worse compared to the benchmark SPY (0.9) in the same period.
• During the last 3 years, the excess return divided by the downside deviation is 0.05, which is lower, thus worse than the value of 0.73 from the benchmark.

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

• Compared with the benchmark SPY (9.32 ) in the period of the last 5 years, the Ulcer Index of 11 of Aronson Family Taxable Portfolio is greater, thus worse.
• Compared with SPY (10 ) in the period of the last 3 years, the Ulcer Index of 12 is higher, thus worse.

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.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum drop from peak to valley of -25.6 days of Aronson Family Taxable Portfolio is higher, thus better.
• Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum reduction from previous high of -24.2 days is higher, 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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

• Looking at the maximum time in days below previous high water mark of 670 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 (488 days)
• Looking at maximum days under water in of 633 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (488 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.'

• The average days below previous high over 5 years of Aronson Family Taxable Portfolio is 207 days, which is greater, thus worse compared to the benchmark SPY (123 days) in the same period.
• During the last 3 years, the average days below previous high is 276 days, which is greater, thus worse than the value of 178 days from the benchmark.