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.'

• Compared with the benchmark SPY (98.1%) in the period of the last 5 years, the total return, or increase in value of 140.4% of Aggressive Risk Portfolio is higher, thus better.
• Looking at total return in of 35% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (35.3%).

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.'

• Compared with the benchmark SPY (14.7%) in the period of the last 5 years, the annual return (CAGR) of 19.2% of Aggressive Risk Portfolio is larger, thus better.
• Compared with SPY (10.6%) in the period of the last 3 years, the annual performance (CAGR) of 10.5% 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.'

• Looking at the volatility of 15.8% in the last 5 years of Aggressive Risk Portfolio, we see it is relatively lower, thus better in comparison to the benchmark SPY (21%)
• Looking at historical 30 days volatility in of 14.2% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (17.5%).

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.'

• Compared with the benchmark SPY (15%) in the period of the last 5 years, the downside deviation of 11.2% of Aggressive Risk Portfolio is smaller, thus better.
• Looking at downside deviation in of 10% 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 (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 1.06, which is larger, thus better compared to the benchmark SPY (0.58) in the same period.
• Compared with SPY (0.46) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.56 is higher, thus better.

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.'

• Compared with the benchmark SPY (0.81) in the period of the last 5 years, the excess return divided by the downside deviation of 1.49 of Aggressive Risk Portfolio is higher, thus better.
• Looking at downside risk / excess return profile in of 0.8 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (0.66).

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

• Looking at the Ulcer Index of 5.58 in the last 5 years of Aggressive Risk Portfolio, we see it is relatively smaller, thus better in comparison to the benchmark SPY (9.32 )
• Compared with SPY (10 ) in the period of the last 3 years, the Ulcer Ratio of 6.25 is lower, thus better.

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.'

• The maximum reduction from previous high over 5 years of Aggressive Risk Portfolio is -20.8 days, which is higher, thus better compared to the benchmark SPY (-33.7 days) in the same period.
• Looking at maximum drop from peak to valley in of -19.6 days in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (-24.5 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 289 days in the last 5 years of Aggressive Risk Portfolio, we see it is relatively lower, thus better in comparison to the benchmark SPY (488 days)
• During the last 3 years, the maximum time in days below previous high water mark is 289 days, which is lower, thus better than the value of 488 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.'

• Compared with the benchmark SPY (122 days) in the period of the last 5 years, the average days under water of 54 days of Aggressive Risk Portfolio is lower, thus better.
• During the last 3 years, the average time in days below previous high water mark is 74 days, which is lower, thus better than the value of 178 days from the benchmark.