Aggressive Risk 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 over 5 years of Aggressive Risk Portfolio is 66.3%, which is lower, thus worse compared to the benchmark SPY (83.4%) in the same period.
• During the last 3 years, the total return is 50.4%, which is smaller, thus worse than the value of 75.4% from the benchmark.

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.'

• The annual return (CAGR) over 5 years of Aggressive Risk Portfolio is 10.7%, which is lower, thus worse compared to the benchmark SPY (12.9%) in the same period.
• Looking at compounded annual growth rate (CAGR) in of 14.7% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (20.7%).

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.'

• Compared with the benchmark SPY (17.1%) in the period of the last 5 years, the historical 30 days volatility of 13.6% of Aggressive Risk Portfolio is lower, thus better.
• Compared with SPY (15.2%) in the period of the last 3 years, the historical 30 days volatility of 12.5% is lower, 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.'

• The downside deviation over 5 years of Aggressive Risk Portfolio is 9.6%, which is smaller, thus better compared to the benchmark SPY (11.8%) in the same period.
• Looking at downside risk in of 8.7% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (10.2%).

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.'

• The Sharpe Ratio over 5 years of Aggressive Risk Portfolio is 0.61, which is higher, thus better compared to the benchmark SPY (0.61) in the same period.
• Compared with SPY (1.2) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.97 is lower, thus worse.

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.'

• The downside risk / excess return profile over 5 years of Aggressive Risk Portfolio is 0.86, which is lower, thus worse compared to the benchmark SPY (0.88) in the same period.
• Looking at excess return divided by the downside deviation in of 1.4 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.78).

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 (8.45 ) in the period of the last 5 years, the Ulcer Index of 5.56 of Aggressive Risk Portfolio is lower, thus better.
• During the last 3 years, the Ulcer Index is 3.92 , which is larger, thus worse than the value of 3.51 from the benchmark.

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.'

• The maximum reduction from previous high over 5 years of Aggressive Risk Portfolio is -19.6 days, which is greater, thus better compared to the benchmark SPY (-24.5 days) in the same period.
• During the last 3 years, the maximum drop from peak to valley is -13.2 days, which is greater, thus better than the value of -18.8 days from the benchmark.

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.'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days under water of 289 days of Aggressive Risk Portfolio is lower, thus better.
• During the last 3 years, the maximum days below previous high is 190 days, which is higher, thus worse than the value of 87 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.'

• The average days below previous high over 5 years of Aggressive Risk Portfolio is 65 days, which is lower, thus better compared to the benchmark SPY (120 days) in the same period.
• During the last 3 years, the average time in days below previous high water mark is 43 days, which is higher, thus worse than the value of 20 days from the benchmark.