Aggressive 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.'

• The total return, or performance over 5 years of Aggressive Risk Portfolio is 116.1%, which is lower, thus worse compared to the benchmark SPY (121.2%) in the same period.
• Looking at total return, or increase in value in of 55.6% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (67.5%).

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.'

• Compared with the benchmark SPY (17.2%) in the period of the last 5 years, the annual performance (CAGR) of 16.7% of Aggressive Risk Portfolio is smaller, thus worse.
• During the last 3 years, the annual return (CAGR) is 15.9%, which is smaller, thus worse than the value of 18.7% 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.'

• Looking at the volatility of 9.7% in the last 5 years of Aggressive Risk Portfolio, we see it is relatively lower, thus better in comparison to the benchmark SPY (18.7%)
• Compared with SPY (22.5%) in the period of the last 3 years, the historical 30 days volatility of 11.4% is smaller, thus better.

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.'

• The downside volatility over 5 years of Aggressive Risk Portfolio is 6.9%, which is lower, thus better compared to the benchmark SPY (13.6%) in the same period.
• Compared with SPY (16.3%) in the period of the last 3 years, the downside volatility of 8.1% 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 (0.79) in the period of the last 5 years, the Sharpe Ratio of 1.46 of Aggressive Risk Portfolio is larger, thus better.
• Looking at ratio of return and volatility (Sharpe) in of 1.18 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (0.72).

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 (1.08) in the period of the last 5 years, the ratio of annual return and downside deviation of 2.07 of Aggressive Risk Portfolio is greater, thus better.
• During the last 3 years, the ratio of annual return and downside deviation is 1.64, which is higher, thus better than the value of 1 from the benchmark.

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.'

• The Ulcer Ratio over 5 years of Aggressive Risk Portfolio is 2.2 , which is lower, thus better compared to the benchmark SPY (5.59 ) in the same period.
• Looking at Ulcer Index in of 2.71 in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (6.83 ).

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.'

• Looking at the maximum reduction from previous high of -17.5 days in the last 5 years of Aggressive Risk Portfolio, we see it is relatively larger, thus better in comparison to the benchmark SPY (-33.7 days)
• During the last 3 years, the maximum drop from peak to valley is -17.5 days, which is greater, thus better than the value of -33.7 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.'

• The maximum days under water over 5 years of Aggressive Risk Portfolio is 95 days, which is lower, thus better compared to the benchmark SPY (139 days) in the same period.
• Looking at maximum time in days below previous high water mark in of 95 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (139 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.'

• Compared with the benchmark SPY (33 days) in the period of the last 5 years, the average days below previous high of 21 days of Aggressive Risk Portfolio is lower, thus better.
• Looking at average time in days below previous high water mark in of 23 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (35 days).