Max Drawdown less than 15%

TotalReturn:

'The total return on a portfolio of investments takes into account not only the capital appreciation on the portfolio, but also the income received on the portfolio. The income typically consists of interest, dividends, and securities lending fees. This contrasts with the price return, which takes into account only the capital gain on an investment.'

• Looking at the total return of 69.5% in the last 5 years of Max Drawdown less than 15%, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (106.9%)
• Looking at total return, or performance in of 30.6% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (48.4%).

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.'

• The compounded annual growth rate (CAGR) over 5 years of Max Drawdown less than 15% is 11.2%, which is lower, thus worse compared to the benchmark SPY (15.7%) in the same period.
• During the last 3 years, the annual performance (CAGR) is 9.4%, which is smaller, thus worse than the value of 14.2% 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.'

• The 30 days standard deviation over 5 years of Max Drawdown less than 15% is 7.3%, which is lower, thus better compared to the benchmark SPY (17.9%) in the same period.
• Looking at historical 30 days volatility in of 7% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (18.1%).

DownVol:

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

• The downside volatility over 5 years of Max Drawdown less than 15% is 5.1%, which is lower, thus better compared to the benchmark SPY (12.5%) in the same period.
• During the last 3 years, the downside risk is 4.8%, which is lower, thus better than the value of 12.2% 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 Sharpe Ratio of 1.2 in the last 5 years of Max Drawdown less than 15%, we see it is relatively larger, thus better in comparison to the benchmark SPY (0.74)
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.98, which is greater, thus better than the value of 0.64 from the benchmark.

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 Max Drawdown less than 15% is 1.7, which is higher, thus better compared to the benchmark SPY (1.06) in the same period.
• Compared with SPY (0.96) in the period of the last 3 years, the downside risk / excess return profile of 1.42 is greater, thus better.

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 (8.49 ) in the period of the last 5 years, the Downside risk index of 2.14 of Max Drawdown less than 15% is lower, thus better.
• Looking at Ulcer Index in of 1.95 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (5.56 ).

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 (-24.5 days) in the period of the last 5 years, the maximum DrawDown of -8.1 days of Max Drawdown less than 15% is higher, thus better.
• Looking at maximum DrawDown in of -6.7 days in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (-18.8 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.'

• Looking at the maximum days below previous high of 196 days in the last 5 years of Max Drawdown less than 15%, we see it is relatively lower, thus better in comparison to the benchmark SPY (488 days)
• Compared with SPY (199 days) in the period of the last 3 years, the maximum days below previous high of 103 days is lower, thus better.

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 time in days below previous high water mark over 5 years of Max Drawdown less than 15% is 33 days, which is lower, thus better compared to the benchmark SPY (119 days) in the same period.
• Compared with SPY (46 days) in the period of the last 3 years, the average days under water of 26 days is lower, thus better.