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.'

• Compared with the benchmark SPY (66.1%) in the period of the last 5 years, the total return of 32.2% of Aronson Family Taxable Portfolio is lower, thus worse.
• Looking at total return, or performance in of 26.3% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (46.2%).

CAGR:

'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.'

• Compared with the benchmark SPY (10.7%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 5.7% of Aronson Family Taxable Portfolio is lower, thus worse.
• Compared with SPY (13.5%) in the period of the last 3 years, the annual return (CAGR) of 8.1% 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 8.8%, which is lower, thus better compared to the benchmark SPY (13.4%) in the same period.
• During the last 3 years, the historical 30 days volatility is 8%, which is smaller, thus better than the value of 12.3% from the benchmark.

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 (14.6%) in the period of the last 5 years, the downside risk of 9.6% of Aronson Family Taxable Portfolio is lower, thus better.
• During the last 3 years, the downside risk is 9.1%, which is lower, thus better than the value of 13.9% from the benchmark.

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.'

• Compared with the benchmark SPY (0.61) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.37 of Aronson Family Taxable Portfolio is lower, thus worse.
• Looking at risk / return profile (Sharpe) in of 0.7 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.9).

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.'

• Looking at the excess return divided by the downside deviation of 0.34 in the last 5 years of Aronson Family Taxable Portfolio, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.56)
• Looking at ratio of annual return and downside deviation in of 0.62 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.8).

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.'

• Looking at the Ulcer Ratio of 4.77 in the last 5 years of Aronson Family Taxable Portfolio, we see it is relatively larger, thus worse in comparison to the benchmark SPY (3.99 )
• Looking at Ulcer Ratio in of 3.7 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (4.04 ).

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.'

• Compared with the benchmark SPY (-19.3 days) in the period of the last 5 years, the maximum drop from peak to valley of -15.4 days of Aronson Family Taxable Portfolio is higher, thus better.
• Compared with SPY (-19.3 days) in the period of the last 3 years, the maximum drop from peak to valley of -14.8 days is larger, 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 days under water of 350 days in the last 5 years of Aronson Family Taxable Portfolio, we see it is relatively greater, thus worse in comparison to the benchmark SPY (187 days)
• Compared with SPY (139 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 350 days is higher, thus worse.

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.'

• Compared with the benchmark SPY (41 days) in the period of the last 5 years, the average days below previous high of 110 days of Aronson Family Taxable Portfolio is larger, thus worse.
• Compared with SPY (36 days) in the period of the last 3 years, the average days under water of 102 days is greater, thus worse.