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 (84.6%) in the period of the last 5 years, the total return of 72.1% of Aggressive Risk Portfolio is lower, thus worse.
• During the last 3 years, the total return, or performance is 52.1%, which is lower, thus worse than the value of 75.7% from the benchmark.

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

• Looking at the annual performance (CAGR) of 11.5% in the last 5 years of Aggressive Risk Portfolio, we see it is relatively lower, thus worse in comparison to the benchmark SPY (13.1%)
• During the last 3 years, the compounded annual growth rate (CAGR) is 15.1%, which is lower, thus worse than the value of 20.8% from the benchmark.

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• Looking at the historical 30 days volatility of 13.7% in the last 5 years of Aggressive Risk Portfolio, we see it is relatively lower, thus better in comparison to the benchmark SPY (17.1%)
• During the last 3 years, the 30 days standard deviation is 12.7%, which is smaller, thus better than the value of 15.3% from the benchmark.

DownVol:

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

• The downside risk over 5 years of Aggressive Risk Portfolio is 9.7%, which is lower, thus better compared to the benchmark SPY (11.8%) in the same period.
• During the last 3 years, the downside volatility is 8.8%, which is lower, thus better than the value of 10.3% 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.'

• Compared with the benchmark SPY (0.62) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.66 of Aggressive Risk Portfolio is greater, thus better.
• During the last 3 years, the risk / return profile (Sharpe) is 0.99, which is lower, thus worse than the value of 1.2 from the benchmark.

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.'

• Compared with the benchmark SPY (0.9) in the period of the last 5 years, the excess return divided by the downside deviation of 0.93 of Aggressive Risk Portfolio is larger, thus better.
• Compared with SPY (1.78) in the period of the last 3 years, the ratio of annual return and downside deviation of 1.43 is smaller, thus worse.

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.'

• Compared with the benchmark SPY (8.45 ) in the period of the last 5 years, the Downside risk index of 5.56 of Aggressive Risk Portfolio is lower, thus better.
• During the last 3 years, the Ulcer Index is 3.92 , which is larger, thus worse than the value of 3.51 from the benchmark.

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 drop from peak to valley of -19.6 days in the last 5 years of Aggressive Risk Portfolio, we see it is relatively higher, thus better in comparison to the benchmark SPY (-24.5 days)
• Compared with SPY (-18.8 days) in the period of the last 3 years, the maximum reduction from previous high of -13.2 days is larger, thus better.

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 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 larger, thus worse in comparison to SPY (87 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 days under water over 5 years of Aggressive Risk Portfolio is 65 days, which is smaller, thus better compared to the benchmark SPY (120 days) in the same period.
• Looking at average days below previous high in of 43 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (20 days).