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.'

• Compared with the benchmark SPY (60.7%) in the period of the last 5 years, the total return of 17.9% of Aronson Family Taxable Portfolio is lower, thus worse.
• During the last 3 years, the total return, or increase in value is 5.8%, which is lower, thus worse than the value of 29.5% from the benchmark.

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%) in the period of the last 5 years, the annual performance (CAGR) of 3.4% of Aronson Family Taxable Portfolio is lower, thus worse.
• Compared with SPY (9%) in the period of the last 3 years, the annual return (CAGR) of 1.9% is lower, 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.'

• Looking at the 30 days standard deviation of 13.1% in the last 5 years of Aronson Family Taxable Portfolio, we see it is relatively lower, thus better in comparison to the benchmark SPY (20.8%)
• Compared with SPY (24%) in the period of the last 3 years, the historical 30 days volatility of 15.1% is smaller, 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.'

• The downside risk over 5 years of Aronson Family Taxable Portfolio is 9.9%, which is lower, thus better compared to the benchmark SPY (15.3%) in the same period.
• Looking at downside risk in of 11.6% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (17.6%).

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 0.07, which is smaller, thus worse compared to the benchmark SPY (0.36) in the same period.
• Looking at risk / return profile (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 (0.27).

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

• The downside risk / excess return profile over 5 years of Aronson Family Taxable Portfolio is 0.09, which is smaller, thus worse compared to the benchmark SPY (0.49) in the same period.
• Looking at downside risk / excess return profile in of -0.05 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.37).

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.'

• Compared with the benchmark SPY (7.52 ) in the period of the last 5 years, the Ulcer Ratio of 6.97 of Aronson Family Taxable Portfolio is smaller, thus better.
• During the last 3 years, the Downside risk index is 8.21 , which is smaller, thus better than the value of 8.81 from the benchmark.

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum drop from peak to valley of -24.3 days of Aronson Family Taxable Portfolio is greater, thus better.
• Looking at maximum drop from peak to valley in of -24.3 days in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (-33.7 days).

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.'

• 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 (182 days)
• During the last 3 years, the maximum days below previous high is 220 days, which is greater, thus worse than the value of 182 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.'

• Looking at the average days below previous high of 88 days in the last 5 years of Aronson Family Taxable Portfolio, we see it is relatively larger, thus worse in comparison to the benchmark SPY (45 days)
• During the last 3 years, the average time in days below previous high water mark is 53 days, which is larger, thus worse than the value of 43 days from the benchmark.