Moderate Risk Portfolio

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

• Compared with the benchmark SPY (67.8%) in the period of the last 5 years, the total return, or performance of 109.3% of Moderate Risk Portfolio is larger, thus better.
• Looking at total return, or performance in of 52% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (44.5%).

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 15.9% in the last 5 years of Moderate Risk Portfolio, we see it is relatively higher, thus better in comparison to the benchmark SPY (10.9%)
• Compared with SPY (13.1%) in the period of the last 3 years, the annual performance (CAGR) of 15% is higher, thus better.

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.'

• The historical 30 days volatility over 5 years of Moderate Risk Portfolio is 9.3%, which is lower, thus better compared to the benchmark SPY (21.4%) in the same period.
• Looking at volatility in of 9.2% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (18.8%).

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 (15.4%) in the period of the last 5 years, the downside volatility of 6.6% of Moderate Risk Portfolio is lower, thus better.
• Compared with SPY (13.3%) in the period of the last 3 years, the downside volatility of 6.5% is smaller, thus better.

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.'

• Compared with the benchmark SPY (0.39) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 1.44 of Moderate Risk Portfolio is larger, thus better.
• Compared with SPY (0.56) in the period of the last 3 years, the Sharpe Ratio of 1.35 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 downside risk / excess return profile over 5 years of Moderate Risk Portfolio is 2.04, which is higher, thus better compared to the benchmark SPY (0.55) in the same period.
• During the last 3 years, the downside risk / excess return profile is 1.92, which is greater, thus better than the value of 0.79 from the benchmark.

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.'

• The Ulcer Index over 5 years of Moderate Risk Portfolio is 2.67 , which is smaller, thus better compared to the benchmark SPY (9.46 ) in the same period.
• Looking at Ulcer Index in of 2.84 in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (10 ).

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.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum drop from peak to valley of -14.3 days of Moderate Risk Portfolio is higher, thus better.
• Looking at maximum DrawDown in of -9.5 days in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (-24.5 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.'

• Compared with the benchmark SPY (352 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 245 days of Moderate Risk Portfolio is lower, thus better.
• Looking at maximum days below previous high in of 245 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (352 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.'

• Looking at the average days under water of 42 days in the last 5 years of Moderate Risk Portfolio, we see it is relatively lower, thus better in comparison to the benchmark SPY (78 days)
• During the last 3 years, the average time in days below previous high water mark is 54 days, which is lower, thus better than the value of 102 days from the benchmark.