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.'

• Compared with the benchmark SPY (154.3%) in the period of the last 5 years, the total return of 115.8% of Moderate Risk Portfolio is lower, thus worse.
• During the last 3 years, the total return, or increase in value is 22.4%, which is lower, thus worse than the value of 32.9% from the benchmark.

CAGR:

'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.'

• Looking at the annual performance (CAGR) of 16.7% in the last 5 years of Moderate Risk Portfolio, we see it is relatively lower, thus worse in comparison to the benchmark SPY (20.6%)
• During the last 3 years, the annual return (CAGR) is 7%, which is smaller, thus worse than the value of 10% from the benchmark.

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 (18.4%) in the period of the last 5 years, the historical 30 days volatility of 8.7% of Moderate Risk Portfolio is lower, thus better.
• Looking at 30 days standard deviation in of 7.9% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (17%).

DownVol:

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

• Looking at the downside risk of 5.9% in the last 5 years of Moderate Risk Portfolio, we see it is relatively lower, thus better in comparison to the benchmark SPY (12.4%)
• During the last 3 years, the downside risk is 5.6%, which is smaller, thus better than the value of 12% from the benchmark.

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.'

• Compared with the benchmark SPY (0.99) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 1.63 of Moderate Risk Portfolio is higher, thus better.
• Compared with SPY (0.44) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.58 is greater, thus better.

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.'

• Compared with the benchmark SPY (1.46) in the period of the last 5 years, the ratio of annual return and downside deviation of 2.42 of Moderate Risk Portfolio is larger, thus better.
• Looking at excess return divided by the downside deviation in of 0.81 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (0.62).

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.'

• Looking at the Ulcer Ratio of 2.4 in the last 5 years of Moderate Risk Portfolio, we see it is relatively lower, thus better in comparison to the benchmark SPY (8.29 )
• Looking at Ulcer Ratio in of 2.9 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (8.63 ).

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 -9.5 days, which is larger, thus better compared to the benchmark SPY (-24.5 days) in the same period.
• Compared with SPY (-22.1 days) in the period of the last 3 years, the maximum DrawDown of -9.5 days is higher, thus better.

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.'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 256 days of Moderate Risk Portfolio is lower, thus better.
• During the last 3 years, the maximum days below previous high is 256 days, which is smaller, thus better than the value of 325 days from the benchmark.

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 (119 days) in the period of the last 5 years, the average days under water of 45 days of Moderate Risk Portfolio is lower, thus better.
• Looking at average time in days below previous high water mark in of 65 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (89 days).