Aggressive Risk 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 (91.8%) in the period of the last 5 years, the total return, or performance of 73.5% of Aggressive Risk Portfolio is smaller, thus worse.
• Compared with SPY (83.9%) in the period of the last 3 years, the total return, or increase in value of 57.5% is smaller, thus worse.

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.'

• Looking at the annual return (CAGR) of 11.7% in the last 5 years of Aggressive Risk Portfolio, we see it is relatively lower, thus worse in comparison to the benchmark SPY (14%)
• Looking at annual return (CAGR) in of 16.4% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (22.6%).

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.'

• The volatility over 5 years of Aggressive Risk Portfolio is 13.5%, which is lower, thus better compared to the benchmark SPY (17%) in the same period.
• During the last 3 years, the 30 days standard deviation is 12.4%, which is lower, thus better than the value of 15.1% from the benchmark.

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.'

• Looking at the downside deviation of 9.5% in the last 5 years of Aggressive Risk Portfolio, we see it is relatively lower, thus better in comparison to the benchmark SPY (11.7%)
• Compared with SPY (10.1%) in the period of the last 3 years, the downside deviation of 8.5% is lower, thus better.

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 0.68, which is higher, thus better compared to the benchmark SPY (0.67) in the same period.
• Looking at ratio of return and volatility (Sharpe) in of 1.12 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.33).

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.'

• Compared with the benchmark SPY (0.98) in the period of the last 5 years, the excess return divided by the downside deviation of 0.97 of Aggressive Risk Portfolio is lower, thus worse.
• During the last 3 years, the ratio of annual return and downside deviation is 1.64, which is smaller, thus worse than the value of 2 from the benchmark.

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.'

• The Ulcer Ratio over 5 years of Aggressive Risk Portfolio is 5.56 , which is smaller, thus better compared to the benchmark SPY (8.45 ) in the same period.
• Looking at Ulcer Ratio in of 3.91 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (3.5 ).

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.'

• Looking at the maximum drop from peak to valley of -19.6 days in the last 5 years of Aggressive Risk Portfolio, we see it is relatively greater, thus better in comparison to the benchmark SPY (-24.5 days)
• Compared with SPY (-18.8 days) in the period of the last 3 years, the maximum DrawDown of -13.2 days is higher, 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) in days.'

• Looking at the maximum time in days below previous high water mark of 289 days in the last 5 years of Aggressive Risk Portfolio, we see it is relatively smaller, thus better in comparison to the benchmark SPY (488 days)
• Looking at maximum days under water in of 190 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (87 days).

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 (120 days) in the period of the last 5 years, the average days under water of 65 days of Aggressive Risk Portfolio is lower, thus better.
• Looking at average days below previous high in of 43 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (20 days).