Fundadvice Ultimate Buy & Hold

TotalReturn:

'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.'

• Looking at the total return of 35.3% in the last 5 years of Fundadvice Ultimate Buy & Hold, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (97.5%)
• During the last 3 years, the total return, or increase in value is 8.3%, 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.'

• The compounded annual growth rate (CAGR) over 5 years of Fundadvice Ultimate Buy & Hold is 6.2%, which is lower, thus worse compared to the benchmark SPY (14.6%) in the same period.
• During the last 3 years, the annual return (CAGR) is 2.7%, which is smaller, thus worse than the value of 7.9% from the benchmark.

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.'

• Compared with the benchmark SPY (18%) in the period of the last 5 years, the volatility of 10% of Fundadvice Ultimate Buy & Hold is smaller, thus better.
• Looking at historical 30 days volatility in of 10.2% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (18.8%).

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 volatility of 7% in the last 5 years of Fundadvice Ultimate Buy & Hold, we see it is relatively smaller, thus better in comparison to the benchmark SPY (12.6%)
• Compared with SPY (13%) in the period of the last 3 years, the downside volatility of 7.2% is smaller, thus better.

Sharpe:

'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.'

• The ratio of return and volatility (Sharpe) over 5 years of Fundadvice Ultimate Buy & Hold is 0.38, which is lower, thus worse compared to the benchmark SPY (0.67) in the same period.
• During the last 3 years, the Sharpe Ratio is 0.02, which is lower, thus worse than the value of 0.29 from the benchmark.

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 Fundadvice Ultimate Buy & Hold is 0.54, which is lower, thus worse compared to the benchmark SPY (0.96) in the same period.
• During the last 3 years, the excess return divided by the downside deviation is 0.03, which is lower, thus worse than the value of 0.42 from the benchmark.

Ulcer:

'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.'

• Compared with the benchmark SPY (8.41 ) in the period of the last 5 years, the Ulcer Index of 6.78 of Fundadvice Ultimate Buy & Hold is lower, thus better.
• Compared with SPY (7.08 ) in the period of the last 3 years, the Downside risk index of 4.8 is lower, thus better.

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.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum reduction from previous high of -19.1 days of Fundadvice Ultimate Buy & Hold is higher, thus better.
• Looking at maximum reduction from previous high in of -14.1 days in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (-19.2 days).

MaxDuration:

'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.'

• Looking at the maximum days below previous high of 631 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 (488 days)
• Compared with SPY (290 days) in the period of the last 3 years, the maximum days under water of 414 days is greater, 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 under water over 5 years of Fundadvice Ultimate Buy & Hold is 185 days, which is greater, thus worse compared to the benchmark SPY (118 days) in the same period.
• Looking at average days under water in of 136 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (74 days).