Moderate Risk Portfolio for 401

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 performance over 5 years of Moderate Risk Portfolio for 401 is 59.7%, which is smaller, thus worse compared to the benchmark SPY (106.8%) in the same period.
• Compared with SPY (71.9%) in the period of the last 3 years, the total return of 26.2% is lower, thus worse.

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 Moderate Risk Portfolio for 401 is 9.8%, which is smaller, thus worse compared to the benchmark SPY (15.7%) in the same period.
• Looking at annual return (CAGR) in of 8.1% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (19.8%).

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.'

• Looking at the historical 30 days volatility of 9.3% in the last 5 years of Moderate Risk Portfolio for 401, we see it is relatively lower, thus better in comparison to the benchmark SPY (18.9%)
• Looking at volatility in of 11% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (21.9%).

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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.'

• The downside deviation over 5 years of Moderate Risk Portfolio for 401 is 6.8%, which is smaller, thus better compared to the benchmark SPY (13.8%) in the same period.
• Compared with SPY (15.9%) in the period of the last 3 years, the downside volatility of 8.1% is smaller, thus better.

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.'

• Looking at the ratio of return and volatility (Sharpe) of 0.78 in the last 5 years of Moderate Risk Portfolio for 401, we see it is relatively greater, thus better in comparison to the benchmark SPY (0.69)
• Compared with SPY (0.79) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.5 is lower, thus worse.

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.'

• Looking at the excess return divided by the downside deviation of 1.08 in the last 5 years of Moderate Risk Portfolio for 401, we see it is relatively larger, thus better in comparison to the benchmark SPY (0.95)
• Looking at excess return divided by the downside deviation in of 0.69 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (1.09).

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

• Compared with the benchmark SPY (5.61 ) in the period of the last 5 years, the Ulcer Index of 2.32 of Moderate Risk Portfolio for 401 is smaller, thus better.
• Compared with SPY (6.08 ) in the period of the last 3 years, the Ulcer Ratio of 2.86 is smaller, thus better.

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 DrawDown over 5 years of Moderate Risk Portfolio for 401 is -18.1 days, which is larger, thus better compared to the benchmark SPY (-33.7 days) in the same period.
• Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum drop from peak to valley of -18.1 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.'

• The maximum days below previous high over 5 years of Moderate Risk Portfolio for 401 is 94 days, which is lower, thus better compared to the benchmark SPY (139 days) in the same period.
• Looking at maximum days under water in of 94 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (119 days).

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.'

• The average time in days below previous high water mark over 5 years of Moderate Risk Portfolio for 401 is 21 days, which is smaller, thus better compared to the benchmark SPY (32 days) in the same period.
• Looking at average days below previous high in of 22 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (22 days).