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:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

Applying this definition to our asset in some examples:
  • Looking at the total return, or performance of 45.3% in the last 5 years of Aronson Family Taxable Portfolio, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (115.1%)
  • Compared with SPY (71.1%) in the period of the last 3 years, the total return of 35.5% is lower, thus worse.

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.'

Applying this definition to our asset in some examples:
  • Looking at the annual performance (CAGR) of 7.8% in the last 5 years of Aronson Family Taxable Portfolio, we see it is relatively lower, thus worse in comparison to the benchmark SPY (16.6%)
  • During the last 3 years, the compounded annual growth rate (CAGR) is 10.7%, which is lower, thus worse than the value of 19.7% from the benchmark.

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.'

Applying this definition to our asset in some examples:
  • The volatility over 5 years of Aronson Family Taxable Portfolio is 12.1%, which is smaller, thus better compared to the benchmark SPY (17.5%) in the same period.
  • Compared with SPY (17.5%) in the period of the last 3 years, the 30 days standard deviation of 12.1% is smaller, thus better.

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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:
  • The downside risk over 5 years of Aronson Family Taxable Portfolio is 8.4%, which is lower, thus better compared to the benchmark SPY (12.1%) in the same period.
  • Looking at downside volatility in of 8.1% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (11.5%).

Sharpe:

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

Which means for our asset as example:
  • Compared with the benchmark SPY (0.8) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.44 of Aronson Family Taxable Portfolio is smaller, thus worse.
  • During the last 3 years, the Sharpe Ratio is 0.68, which is lower, thus worse than the value of 0.98 from the benchmark.

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (1.17) in the period of the last 5 years, the excess return divided by the downside deviation of 0.63 of Aronson Family Taxable Portfolio is lower, thus worse.
  • Compared with SPY (1.49) in the period of the last 3 years, the ratio of annual return and downside deviation of 1.01 is lower, thus worse.

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (8.48 ) in the period of the last 5 years, the Ulcer Index of 10 of Aronson Family Taxable Portfolio is higher, thus worse.
  • Compared with SPY (5.31 ) in the period of the last 3 years, the Downside risk index of 4.45 is lower, thus better.

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.'

Applying this definition to our asset in some examples:
  • 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 smaller, thus worse in comparison to the benchmark SPY (-24.5 days)
  • Looking at maximum reduction from previous high in of -14.1 days in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (-18.8 days).

MaxDuration:

'The Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

Using this definition on our asset we see for example:
  • 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 larger, thus worse.
  • Compared with SPY (199 days) in the period of the last 3 years, the maximum days below previous high of 122 days is lower, thus better.

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.'

Using this definition on our asset we see for example:
  • The average days under water over 5 years of Aronson Family Taxable Portfolio is 209 days, which is greater, thus worse compared to the benchmark SPY (120 days) in the same period.
  • Compared with SPY (47 days) in the period of the last 3 years, the average days under water of 38 days is smaller, thus better.

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 and do not account for slippage, fees or taxes.
  • Results may be based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.