Minimum Volatility 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 (70.2%) in the period of the last 5 years, the total return, or increase in value of 35.3% of Minimum Volatility Portfolio is lower, thus worse.
• During the last 3 years, the total return is 21.3%, which is lower, thus worse than the value of 35.2% from the benchmark.

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.'

• The annual return (CAGR) over 5 years of Minimum Volatility Portfolio is 6.2%, which is lower, thus worse compared to the benchmark SPY (11.2%) in the same period.
• During the last 3 years, the compounded annual growth rate (CAGR) is 6.6%, which is smaller, thus worse than the value of 10.6% from the benchmark.

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.'

• The historical 30 days volatility over 5 years of Minimum Volatility Portfolio is 4.4%, which is smaller, thus better compared to the benchmark SPY (20.3%) in the same period.
• During the last 3 years, the volatility is 5.4%, which is lower, thus better than the value of 23.6% from the benchmark.

DownVol:

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

• Compared with the benchmark SPY (14.9%) in the period of the last 5 years, the downside volatility of 3.4% of Minimum Volatility Portfolio is lower, thus better.
• During the last 3 years, the downside volatility is 4.2%, which is lower, thus better than the value of 17.4% from the benchmark.

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.'

• Looking at the Sharpe Ratio of 0.84 in the last 5 years of Minimum Volatility Portfolio, we see it is relatively larger, thus better in comparison to the benchmark SPY (0.43)
• Compared with SPY (0.34) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.76 is greater, 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.'

• The ratio of annual return and downside deviation over 5 years of Minimum Volatility Portfolio is 1.12, which is larger, thus better compared to the benchmark SPY (0.59) in the same period.
• Compared with SPY (0.46) in the period of the last 3 years, the excess return divided by the downside deviation of 0.99 is higher, thus better.

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.'

• Looking at the Ulcer Index of 1.31 in the last 5 years of Minimum Volatility Portfolio, we see it is relatively lower, thus better in comparison to the benchmark SPY (6.69 )
• During the last 3 years, the Downside risk index is 1.65 , which is lower, thus better than the value of 7.65 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.'

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

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 time in days below previous high water mark over 5 years of Minimum Volatility Portfolio is 154 days, which is greater, thus worse compared to the benchmark SPY (139 days) in the same period.
• Compared with SPY (123 days) in the period of the last 3 years, the maximum days below previous high of 154 days is higher, thus worse.

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.'

• Compared with the benchmark SPY (38 days) in the period of the last 5 years, the average days under water of 29 days of Minimum Volatility Portfolio is lower, thus better.
• During the last 3 years, the average days under water is 38 days, which is greater, thus worse than the value of 32 days from the benchmark.