Coffeehouse 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 (97.5%) in the period of the last 5 years, the total return, or increase in value of 38.3% of Coffeehouse Portfolio is lower, thus worse.
• During the last 3 years, the total return, or increase in value is 7.7%, which is lower, thus worse than the value of 25.6% from the benchmark.

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 (14.6%) in the period of the last 5 years, the annual return (CAGR) of 6.7% of Coffeehouse Portfolio is lower, thus worse.
• Looking at annual performance (CAGR) in of 2.5% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (7.9%).

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.'

• Looking at the historical 30 days volatility of 10.9% in the last 5 years of Coffeehouse Portfolio, we see it is relatively lower, thus better in comparison to the benchmark SPY (18%)
• During the last 3 years, the volatility is 11.4%, which is smaller, thus better than the value of 18.8% from the benchmark.

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• The downside deviation over 5 years of Coffeehouse Portfolio is 7.7%, which is lower, thus better compared to the benchmark SPY (12.6%) in the same period.
• Looking at downside risk in of 8% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (13%).

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 ratio of return and volatility (Sharpe) over 5 years of Coffeehouse Portfolio is 0.39, which is lower, thus worse compared to the benchmark SPY (0.67) in the same period.
• Compared with SPY (0.29) in the period of the last 3 years, the risk / return profile (Sharpe) of 0 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 ratio of annual return and downside deviation over 5 years of Coffeehouse Portfolio is 0.55, which is lower, thus worse compared to the benchmark SPY (0.96) in the same period.
• Compared with SPY (0.42) in the period of the last 3 years, the excess return divided by the downside deviation of 0 is smaller, 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.'

• The Ulcer Index over 5 years of Coffeehouse Portfolio is 7.61 , which is smaller, thus better compared to the benchmark SPY (8.41 ) in the same period.
• During the last 3 years, the Downside risk index is 5.88 , which is lower, thus better than the value of 7.08 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.'

• The maximum drop from peak to valley over 5 years of Coffeehouse Portfolio is -20.1 days, which is higher, thus better compared to the benchmark SPY (-24.5 days) in the same period.
• During the last 3 years, the maximum DrawDown is -15.3 days, which is higher, thus better than the value of -19.2 days from the benchmark.

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.'

• The maximum days below previous high over 5 years of Coffeehouse Portfolio is 630 days, which is higher, thus worse compared to the benchmark SPY (488 days) in the same period.
• Compared with SPY (290 days) in the period of the last 3 years, the maximum days under water of 415 days is higher, thus worse.

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 Coffeehouse Portfolio is 181 days, which is larger, thus worse compared to the benchmark SPY (118 days) in the same period.
• During the last 3 years, the average days below previous high is 131 days, which is higher, thus worse than the value of 74 days from the benchmark.