Moderate Risk 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.'

• The total return, or performance over 5 years of Moderate Risk Portfolio is 159.3%, which is greater, thus better compared to the benchmark SPY (68.2%) in the same period.
• Compared with SPY (47.7%) in the period of the last 3 years, the total return, or performance of 85.1% is higher, thus better.

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.'

• Looking at the annual return (CAGR) of 21% in the last 5 years of Moderate Risk Portfolio, we see it is relatively greater, thus better in comparison to the benchmark SPY (11%)
• During the last 3 years, the annual return (CAGR) is 22.8%, which is greater, thus better than the value of 13.9% 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 (13.2%) in the period of the last 5 years, the historical 30 days volatility of 9.5% of Moderate Risk Portfolio is smaller, thus better.
• Compared with SPY (12.4%) in the period of the last 3 years, the volatility of 9.2% 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 (14.6%) in the period of the last 5 years, the downside volatility of 10.8% of Moderate Risk Portfolio is lower, thus better.
• During the last 3 years, the downside deviation is 10.5%, which is smaller, thus better than the value of 14% from the benchmark.

Sharpe:

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

• The ratio of return and volatility (Sharpe) over 5 years of Moderate Risk Portfolio is 1.94, which is greater, thus better compared to the benchmark SPY (0.64) in the same period.
• Looking at ratio of return and volatility (Sharpe) in of 2.21 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (0.92).

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 downside risk / excess return profile over 5 years of Moderate Risk Portfolio is 1.72, which is greater, thus better compared to the benchmark SPY (0.58) in the same period.
• During the last 3 years, the excess return divided by the downside deviation is 1.93, which is higher, thus better than the value of 0.81 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 (3.95 ) in the period of the last 5 years, the Downside risk index of 1.86 of Moderate Risk Portfolio is lower, thus worse.
• Compared with SPY (4 ) in the period of the last 3 years, the Ulcer Index of 1.79 is lower, thus worse.

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 reduction from previous high over 5 years of Moderate Risk Portfolio is -8.9 days, which is higher, thus better compared to the benchmark SPY (-19.3 days) in the same period.
• Looking at maximum reduction from previous high in of -7.4 days in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (-19.3 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 below previous high over 5 years of Moderate Risk Portfolio is 106 days, which is lower, thus better compared to the benchmark SPY (187 days) in the same period.
• Looking at maximum days under water in of 106 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (131 days).

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.'

• Compared with the benchmark SPY (39 days) in the period of the last 5 years, the average days under water of 19 days of Moderate Risk Portfolio is smaller, thus better.
• During the last 3 years, the average days below previous high is 20 days, which is lower, thus better than the value of 33 days from the benchmark.