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.'

• Compared with the benchmark SPY (79.5%) in the period of the last 5 years, the total return, or performance of 56.6% of Aggressive Risk Portfolio is lower, thus worse.
• During the last 3 years, the total return, or increase in value is 45.7%, which is smaller, thus worse than the value of 92.4% from the benchmark.

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.'

• Looking at the annual return (CAGR) of 9.4% in the last 5 years of Aggressive Risk Portfolio, we see it is relatively lower, thus worse in comparison to the benchmark SPY (12.5%)
• Compared with SPY (24.5%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 13.5% is smaller, thus worse.

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.'

• The historical 30 days volatility over 5 years of Aggressive Risk Portfolio is 13.9%, which is lower, thus better compared to the benchmark SPY (17.1%) in the same period.
• Compared with SPY (15.2%) in the period of the last 3 years, the 30 days standard deviation of 12.7% is lower, thus better.

DownVol:

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

• Compared with the benchmark SPY (11.8%) in the period of the last 5 years, the downside deviation of 9.8% of Aggressive Risk Portfolio is lower, thus better.
• Compared with SPY (10.1%) in the period of the last 3 years, the downside risk of 8.8% 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 (0.58) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.5 of Aggressive Risk Portfolio is smaller, thus worse.
• Looking at ratio of return and volatility (Sharpe) in of 0.87 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.45).

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 ratio of annual return and downside deviation of 0.71 in the last 5 years of Aggressive Risk Portfolio, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.84)
• Looking at ratio of annual return and downside deviation in of 1.25 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (2.19).

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 Aggressive Risk Portfolio is 5.71 , which is lower, thus better compared to the benchmark SPY (8.45 ) in the same period.
• Compared with SPY (3.2 ) in the period of the last 3 years, the Ulcer Ratio of 4.05 is greater, thus worse.

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 reduction from previous high over 5 years of Aggressive Risk Portfolio is -19.6 days, which is larger, thus better compared to the benchmark SPY (-24.5 days) in the same period.
• During the last 3 years, the maximum reduction from previous high is -13.2 days, which is larger, 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'

• The maximum days under water over 5 years of Aggressive Risk Portfolio is 289 days, which is lower, thus better compared to the benchmark SPY (488 days) in the same period.
• Looking at maximum days below previous high in of 190 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (87 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 (118 days) in the period of the last 5 years, the average days below previous high of 67 days of Aggressive Risk Portfolio is lower, thus better.
• During the last 3 years, the average days below previous high is 44 days, which is larger, thus worse than the value of 17 days from the benchmark.