Max Sharpe 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 (70.2%) in the period of the last 5 years, the total return of 109.4% of Max Sharpe Portfolio is higher, thus better.
• Looking at total return in of 60.9% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (35.2%).

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.'

• The annual return (CAGR) over 5 years of Max Sharpe Portfolio is 16%, which is larger, thus better compared to the benchmark SPY (11.2%) in the same period.
• Looking at compounded annual growth rate (CAGR) in of 17.1% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (10.6%).

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.'

• Looking at the historical 30 days volatility of 11.2% in the last 5 years of Max Sharpe Portfolio, we see it is relatively lower, thus better in comparison to the benchmark SPY (20.3%)
• During the last 3 years, the historical 30 days volatility is 12.9%, which is lower, thus better than the value of 23.6% from the benchmark.

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.'

• The downside deviation over 5 years of Max Sharpe Portfolio is 8.2%, which is lower, thus better compared to the benchmark SPY (14.9%) in the same period.
• Compared with SPY (17.4%) in the period of the last 3 years, the downside volatility of 9.5% is smaller, thus better.

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 (0.43) in the period of the last 5 years, the Sharpe Ratio of 1.2 of Max Sharpe Portfolio is greater, thus better.
• Looking at risk / return profile (Sharpe) in of 1.13 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (0.34).

Sortino:

'The Sortino ratio improves upon the Sharpe ratio by isolating downside volatility from total volatility by dividing excess return by the downside deviation. The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative asset returns, called downside deviation. The Sortino ratio takes the asset's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. The ratio was named after Frank A. Sortino.'

• The ratio of annual return and downside deviation over 5 years of Max Sharpe Portfolio is 1.64, which is greater, thus better compared to the benchmark SPY (0.59) in the same period.
• During the last 3 years, the excess return divided by the downside deviation is 1.54, which is larger, thus better than the value of 0.46 from the benchmark.

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.'

• The Ulcer Ratio over 5 years of Max Sharpe Portfolio is 2.58 , which is smaller, thus better compared to the benchmark SPY (6.69 ) in the same period.
• Compared with SPY (7.65 ) in the period of the last 3 years, the Ulcer Ratio of 3.01 is smaller, thus better.

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.'

• The maximum reduction from previous high over 5 years of Max Sharpe Portfolio is -18.2 days, which is larger, thus better compared to the benchmark SPY (-33.7 days) in the same period.
• Looking at maximum DrawDown in of -18.2 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.'

• The maximum days under water over 5 years of Max Sharpe Portfolio is 91 days, which is lower, thus better compared to the benchmark SPY (139 days) in the same period.
• During the last 3 years, the maximum days under water is 91 days, which is lower, thus better than the value of 123 days from the benchmark.

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 21 days, which is smaller, thus better compared to the benchmark SPY (38 days) in the same period.
• Looking at average time in days below previous high water mark in of 20 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (32 days).