Moderate Risk Portfolio for 401

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 (110.9%) in the period of the last 5 years, the total return, or performance of 71.6% of Moderate Risk Portfolio for 401 is lower, thus worse.
• During the last 3 years, the total return, or increase in value is 29.6%, which is lower, thus worse than the value of 69.3% 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 compounded annual growth rate (CAGR) of 11.4% in the last 5 years of Moderate Risk Portfolio for 401, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (16.1%)
• Looking at annual return (CAGR) in of 9.1% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (19.3%).

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 (17.5%) in the period of the last 5 years, the volatility of 9.1% of Moderate Risk Portfolio for 401 is smaller, thus better.
• During the last 3 years, the volatility is 8.3%, which is smaller, thus better than the value of 17.5% from the benchmark.

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 (12.1%) in the period of the last 5 years, the downside volatility of 6.4% of Moderate Risk Portfolio for 401 is smaller, thus better.
• During the last 3 years, the downside deviation is 5.8%, which is lower, thus better than the value of 11.5% from the benchmark.

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.'

• Looking at the ratio of return and volatility (Sharpe) of 0.98 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 (0.78)
• During the last 3 years, the risk / return profile (Sharpe) is 0.79, which is lower, thus worse than the value of 0.96 from the benchmark.

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.'

• Looking at the downside risk / excess return profile of 1.39 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 (1.13)
• During the last 3 years, the downside risk / excess return profile is 1.14, which is smaller, thus worse than the value of 1.46 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.'

• Looking at the Downside risk index of 2.75 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 (8.48 )
• Looking at Ulcer Index in of 2.21 in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (5.3 ).

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.'

• Looking at the maximum reduction from previous high of -10.4 days 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 (-24.5 days)
• During the last 3 years, the maximum DrawDown is -8.2 days, which is greater, 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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

• Looking at the maximum time in days below previous high water mark of 255 days in the last 5 years of Moderate Risk Portfolio for 401, we see it is relatively smaller, thus better in comparison to the benchmark SPY (488 days)
• During the last 3 years, the maximum days under water is 111 days, which is smaller, thus better than the value of 199 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.'

• The average days below previous high over 5 years of Moderate Risk Portfolio for 401 is 48 days, which is lower, thus better compared to the benchmark SPY (120 days) in the same period.
• Looking at average days below previous high in of 36 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (47 days).