Minimum Volatility 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.'

• The total return, or increase in value over 5 years of Minimum Volatility Portfolio is 33%, which is smaller, thus worse compared to the benchmark SPY (63%) in the same period.
• Looking at total return, or performance in of 18.9% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (31.2%).

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

• Looking at the annual return (CAGR) of 5.9% in the last 5 years of Minimum Volatility Portfolio, we see it is relatively lower, thus worse in comparison to the benchmark SPY (10.3%)
• Compared with SPY (9.5%) in the period of the last 3 years, the annual return (CAGR) of 6% is lower, thus worse.

Volatility:

'In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Commonly, the higher the volatility, the riskier the security.'

• Compared with the benchmark SPY (21.4%) in the period of the last 5 years, the historical 30 days volatility of 4.4% of Minimum Volatility Portfolio is lower, thus better.
• Compared with SPY (24.9%) in the period of the last 3 years, the historical 30 days volatility of 5.2% is lower, thus better.

DownVol:

'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.'

• Compared with the benchmark SPY (15.6%) in the period of the last 5 years, the downside risk of 3.4% of Minimum Volatility Portfolio is smaller, thus better.
• Looking at downside volatility in of 4% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (18%).

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 risk / return profile (Sharpe) over 5 years of Minimum Volatility Portfolio is 0.76, which is higher, thus better compared to the benchmark SPY (0.36) in the same period.
• Compared with SPY (0.28) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.66 is larger, thus better.

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.'

• Looking at the downside risk / excess return profile of 1.01 in the last 5 years of Minimum Volatility Portfolio, we see it is relatively higher, thus better in comparison to the benchmark SPY (0.5)
• Looking at excess return divided by the downside deviation in of 0.86 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (0.39).

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 (8.49 ) in the period of the last 5 years, the Downside risk index of 1.43 of Minimum Volatility Portfolio is lower, thus better.
• Compared with SPY (10 ) in the period of the last 3 years, the Ulcer Index of 1.76 is lower, thus better.

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

• The maximum drop from peak to valley over 5 years of Minimum Volatility Portfolio is -12.1 days, which is larger, thus better compared to the benchmark SPY (-33.7 days) in the same period.
• Looking at maximum reduction from previous high in of -12.1 days in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (-33.7 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.'

• The maximum days under water over 5 years of Minimum Volatility Portfolio is 264 days, which is higher, thus worse compared to the benchmark SPY (233 days) in the same period.
• Looking at maximum time in days below previous high water mark in of 264 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (233 days).

AveDuration:

'The Average 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. 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 Minimum Volatility Portfolio is 50 days, which is lower, thus better compared to the benchmark SPY (54 days) in the same period.
• Looking at average days under water in of 67 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (59 days).