Max Sharpe Portfolio

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, or performance of 93.2% in the last 5 years of Max Sharpe Portfolio, we see it is relatively lower, thus worse in comparison to the benchmark SPY (110.6%)
• Looking at total return, or increase in value in of 65% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (92.2%).

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.'

• The annual performance (CAGR) over 5 years of Max Sharpe Portfolio is 14.1%, which is lower, thus worse compared to the benchmark SPY (16.1%) in the same period.
• Compared with SPY (24.5%) in the period of the last 3 years, the annual return (CAGR) of 18.3% is lower, thus worse.

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 Max Sharpe Portfolio is 10.5%, which is smaller, thus better compared to the benchmark SPY (17.2%) in the same period.
• Looking at volatility in of 10.2% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (16.3%).

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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.'

• Looking at the downside risk of 7.4% in the last 5 years of Max Sharpe Portfolio, we see it is relatively lower, thus better in comparison to the benchmark SPY (11.8%)
• During the last 3 years, the downside risk is 7%, which is smaller, thus better than the value of 10.5% 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.'

• The ratio of return and volatility (Sharpe) over 5 years of Max Sharpe Portfolio is 1.11, which is larger, thus better compared to the benchmark SPY (0.79) in the same period.
• Compared with SPY (1.35) in the period of the last 3 years, the Sharpe Ratio of 1.55 is higher, thus better.

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.'

• The downside risk / excess return profile over 5 years of Max Sharpe Portfolio is 1.56, which is larger, thus better compared to the benchmark SPY (1.15) in the same period.
• Looking at excess return divided by the downside deviation in of 2.26 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (2.09).

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 Ratio over 5 years of Max Sharpe Portfolio is 2.68 , which is lower, thus better compared to the benchmark SPY (8.43 ) in the same period.
• Compared with SPY (3.62 ) in the period of the last 3 years, the Ulcer Ratio of 2.03 is lower, thus better.

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 Max Sharpe Portfolio is -10.7 days, which is larger, thus better compared to the benchmark SPY (-24.5 days) in the same period.
• Compared with SPY (-18.8 days) in the period of the last 3 years, the maximum drop from peak to valley of -8.3 days is greater, 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 Max Sharpe Portfolio is 159 days, which is lower, thus better compared to the benchmark SPY (488 days) in the same period.
• Looking at maximum days under water in of 95 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 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 days under water over 5 years of Max Sharpe Portfolio is 29 days, which is lower, thus better compared to the benchmark SPY (120 days) in the same period.
• Looking at average days below previous high in of 23 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (21 days).