Aggressive Risk 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 Aggressive Risk Portfolio is 89.7%, which is larger, thus better compared to the benchmark SPY (89.7%) in the same period.
• During the last 3 years, the total return, or increase in value is 62.3%, which is lower, thus worse than the value of 76.4% 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 Aggressive Risk Portfolio is 13.7%, which is greater, thus better compared to the benchmark SPY (13.7%) in the same period.
• Looking at annual return (CAGR) in of 17.6% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (21%).

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 (17%) in the period of the last 5 years, the volatility of 13.6% of Aggressive Risk Portfolio is lower, thus better.
• Compared with SPY (15.2%) in the period of the last 3 years, the volatility of 12.4% is lower, thus better.

DownVol:

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

• The downside deviation over 5 years of Aggressive Risk Portfolio is 9.5%, which is lower, thus better compared to the benchmark SPY (11.7%) in the same period.
• Compared with SPY (10.2%) in the period of the last 3 years, the downside volatility of 8.4% is lower, thus better.

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.'

• Compared with the benchmark SPY (0.66) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.82 of Aggressive Risk Portfolio is greater, thus better.
• During the last 3 years, the Sharpe Ratio is 1.22, which is higher, thus better than the value of 1.22 from the benchmark.

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.'

• Compared with the benchmark SPY (0.96) in the period of the last 5 years, the downside risk / excess return profile of 1.18 of Aggressive Risk Portfolio is higher, thus better.
• Compared with SPY (1.82) in the period of the last 3 years, the downside risk / excess return profile of 1.8 is lower, thus worse.

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 (8.42 ) in the period of the last 5 years, the Downside risk index of 5.47 of Aggressive Risk Portfolio is smaller, thus better.
• During the last 3 years, the Ulcer Index is 3.73 , which is higher, thus worse than the value of 3.48 from the benchmark.

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

• The maximum DrawDown over 5 years of Aggressive Risk Portfolio is -19.6 days, which is higher, thus better compared to the benchmark SPY (-24.5 days) in the same period.
• During the last 3 years, the maximum drop from peak to valley is -13.2 days, which is higher, thus better than the value of -18.8 days from the benchmark.

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.'

• Looking at the maximum time in days below previous high water mark of 289 days in the last 5 years of Aggressive Risk Portfolio, we see it is relatively lower, thus better in comparison to the benchmark SPY (488 days)
• Compared with SPY (87 days) in the period of the last 3 years, the maximum days under water of 190 days is higher, 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 below previous high over 5 years of Aggressive Risk Portfolio is 64 days, which is lower, thus better compared to the benchmark SPY (119 days) in the same period.
• Compared with SPY (19 days) in the period of the last 3 years, the average days under water of 42 days is larger, thus worse.