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%

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

Which means for our asset as example:- The total return over 5 years of Fundadvice Ultimate Buy & Hold is 24.9%, which is lower, thus worse compared to the benchmark SPY (80.1%) in the same period.
- Compared with SPY (30.8%) in the period of the last 3 years, the total return of 4.8% is lower, thus worse.

'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.'

Using this definition on our asset we see for example:- Looking at the compounded annual growth rate (CAGR) of 4.6% in the last 5 years of Fundadvice Ultimate Buy & Hold, we see it is relatively lower, thus worse in comparison to the benchmark SPY (12.5%)
- Looking at annual performance (CAGR) in of 1.6% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (9.4%).

'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.'

Using this definition on our asset we see for example:- The volatility over 5 years of Fundadvice Ultimate Buy & Hold is 11.3%, which is lower, thus better compared to the benchmark SPY (21.3%) in the same period.
- Compared with SPY (17.6%) in the period of the last 3 years, the volatility of 10% is lower, thus better.

'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.'

Using this definition on our asset we see for example:- Looking at the downside risk of 8.3% in the last 5 years of Fundadvice Ultimate Buy & Hold, we see it is relatively lower, thus better in comparison to the benchmark SPY (15.3%)
- During the last 3 years, the downside risk is 7%, which is smaller, thus better than the value of 12.3% from the benchmark.

'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.'

Applying this definition to our asset in some examples:- The risk / return profile (Sharpe) over 5 years of Fundadvice Ultimate Buy & Hold is 0.18, which is lower, thus worse compared to the benchmark SPY (0.47) in the same period.
- Looking at risk / return profile (Sharpe) in of -0.09 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.39).

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (0.66) in the period of the last 5 years, the downside risk / excess return profile of 0.25 of Fundadvice Ultimate Buy & Hold is smaller, thus worse.
- During the last 3 years, the downside risk / excess return profile is -0.13, which is lower, thus worse than the value of 0.56 from the benchmark.

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (9.43 ) in the period of the last 5 years, the Ulcer Index of 7.22 of Fundadvice Ultimate Buy & Hold is lower, thus better.
- During the last 3 years, the Ulcer Ratio is 8.35 , which is lower, thus better than the value of 10 from the benchmark.

'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.'

Applying this definition to our asset in some examples:- The maximum DrawDown over 5 years of Fundadvice Ultimate Buy & Hold is -21 days, which is higher, thus better compared to the benchmark SPY (-33.7 days) in the same period.
- 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 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.'

Using this definition on our asset we see for example:- The maximum time in days below previous high water mark over 5 years of Fundadvice Ultimate Buy & Hold is 516 days, which is larger, thus worse compared to the benchmark SPY (478 days) in the same period.
- Compared with SPY (478 days) in the period of the last 3 years, the maximum days under water of 516 days is larger, thus worse.

'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.'

Which means for our asset as example:- Looking at the average days under water of 140 days in the last 5 years of Fundadvice Ultimate Buy & Hold, we see it is relatively larger, thus worse in comparison to the benchmark SPY (118 days)
- Looking at average days below previous high in of 195 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (173 days).

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.