Paul Merriman's Fundadvice Ultimate Buy & Hold. Another Lazy Portfolio that is tracked by MarketWatch.

Merriman describes it: The "ultimate" portfolio starts with the S&P 500 index (SPX) then adds small and equal portions of nine other very carefully selected U.S. and international asset classes, each one being an excellent long-term vehicle for diversifying. When it's properly done, the result is a low-cost portfolio with massive diversification that will take advantage of market opportunities wherever they are, and at about the same risk as that of the S&P 500.

We track the portfolio using Mutual Funds

VFINX=6%, VFISX=12%, VFITX=20%, VEIEX=6%, VGSIX=6%, NAESX=6%, VISVX=6%, VIVAX=6%, VIPSX=8%, VTMGX=12%, VTRIX=12%

'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.'

Which means for our asset as example:- The total return, or performance over 5 years of Fundadvice Ultimate Buy & Hold is 19%, which is lower, thus worse compared to the benchmark SPY (67.9%) in the same period.
- Compared with SPY (44.5%) in the period of the last 3 years, the total return of 15.6% is smaller, thus worse.

'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.'

Which means for our asset as example:- The compounded annual growth rate (CAGR) over 5 years of Fundadvice Ultimate Buy & Hold is 3.6%, which is smaller, thus worse compared to the benchmark SPY (10.9%) in the same period.
- During the last 3 years, the annual performance (CAGR) is 4.9%, which is smaller, thus worse than the value of 13.1% from the benchmark.

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (21.4%) in the period of the last 5 years, the historical 30 days volatility of 11.2% of Fundadvice Ultimate Buy & Hold is lower, thus better.
- Compared with SPY (18.7%) in the period of the last 3 years, the historical 30 days volatility of 10.3% is lower, thus better.

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

Applying this definition to our asset in some examples:- Looking at the downside risk of 8.3% in the last 5 years of Fundadvice Ultimate Buy & Hold, we see it is relatively smaller, thus better in comparison to the benchmark SPY (15.4%)
- Compared with SPY (13.3%) in the period of the last 3 years, the downside risk of 7.3% is lower, thus better.

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (0.39) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.09 of Fundadvice Ultimate Buy & Hold is smaller, thus worse.
- Compared with SPY (0.56) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.24 is smaller, thus worse.

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (0.55) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.13 of Fundadvice Ultimate Buy & Hold is smaller, thus worse.
- Compared with SPY (0.79) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.34 is smaller, thus worse.

'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.'

Using this definition on our asset we see for example:- Looking at the Ulcer Index of 6.72 in the last 5 years of Fundadvice Ultimate Buy & Hold, we see it is relatively lower, thus better in comparison to the benchmark SPY (9.47 )
- During the last 3 years, the Ulcer Ratio is 7.45 , which is smaller, thus better than the value of 10 from the benchmark.

'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.'

Using this definition on our asset we see for example:- Looking at the maximum reduction from previous high of -21 days in the last 5 years of Fundadvice Ultimate Buy & Hold, we see it is relatively greater, thus better in comparison to the benchmark SPY (-33.7 days)
- During the last 3 years, the maximum drop from peak to valley is -18.9 days, which is larger, thus better than the value of -24.5 days from the benchmark.

'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.'

Which means for our asset as example:- The maximum days under water over 5 years of Fundadvice Ultimate Buy & Hold is 392 days, which is greater, thus worse compared to the benchmark SPY (354 days) in the same period.
- Looking at maximum days below previous high in of 392 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (354 days).

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (79 days) in the period of the last 5 years, the average days under water of 98 days of Fundadvice Ultimate Buy & Hold is higher, thus worse.
- Compared with SPY (102 days) in the period of the last 3 years, the average days below previous high of 120 days is larger, thus worse.

Historical returns have been extended using synthetic data.
[Show Details]

- Note that yearly returns do not equal the sum of monthly returns due to compounding.
- Performance results of Fundadvice Ultimate Buy & Hold are hypothetical, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.