Aggressive Risk Portfolio

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.'

• Looking at the total return of 115.8% in the last 5 years of Aggressive Risk Portfolio, we see it is relatively greater, thus better in comparison to the benchmark SPY (35.3%)
• Looking at total return in of 65.6% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (13.2%).

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 16.6% in the last 5 years of Aggressive Risk Portfolio, we see it is relatively larger, thus better in comparison to the benchmark SPY (6.2%)
• Compared with SPY (4.2%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 18.3% 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 volatility over 5 years of Aggressive Risk Portfolio is 10%, which is lower, thus better compared to the benchmark SPY (18%) in the same period.
• Compared with SPY (20.3%) in the period of the last 3 years, the historical 30 days volatility of 11.2% is smaller, 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 (13.4%) in the period of the last 5 years, the downside volatility of 7.2% of Aggressive Risk Portfolio is smaller, thus better.
• During the last 3 years, the downside volatility is 8.2%, which is lower, thus better than the value of 15.3% from the benchmark.

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.'

• Compared with the benchmark SPY (0.21) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 1.41 of Aggressive Risk Portfolio is larger, thus better.
• Compared with SPY (0.09) in the period of the last 3 years, the risk / return profile (Sharpe) of 1.42 is larger, thus better.

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

• The ratio of annual return and downside deviation over 5 years of Aggressive Risk Portfolio is 1.97, which is larger, thus better compared to the benchmark SPY (0.28) in the same period.
• Looking at excess return divided by the downside deviation in of 1.93 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (0.11).

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 (5.12 ) in the period of the last 5 years, the Downside risk index of 2.66 of Aggressive Risk Portfolio is lower, thus better.
• During the last 3 years, the Downside risk index is 2.72 , which is smaller, thus better than the value of 5.86 from the benchmark.

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 DrawDown of -19.4 days of Aggressive Risk Portfolio is higher, thus better.
• Looking at maximum drop from peak to valley in of -19.4 days in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (-33.7 days).

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.'

• Compared with the benchmark SPY (187 days) in the period of the last 5 years, the maximum days below previous high of 210 days of Aggressive Risk Portfolio is larger, thus worse.
• Looking at maximum days below previous high in of 89 days in the period of the last 3 years, we see it is relatively smaller, 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 (42 days) in the period of the last 5 years, the average time in days below previous high water mark of 37 days of Aggressive Risk Portfolio is lower, thus better.
• Looking at average time in days below previous high water mark in of 21 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (36 days).