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.'

• The total return over 5 years of Max Sharpe Portfolio is 90.6%, which is lower, thus worse compared to the benchmark SPY (98.9%) in the same period.
• Looking at total return, or performance in of 39.8% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (39.9%).

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 13.8%, which is lower, thus worse compared to the benchmark SPY (14.8%) in the same period.
• Looking at annual performance (CAGR) in of 11.9% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (11.9%).

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.'

• Compared with the benchmark SPY (21%) in the period of the last 5 years, the 30 days standard deviation of 12% of Max Sharpe Portfolio is smaller, thus better.
• Looking at 30 days standard deviation in of 10.6% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (17.3%).

DownVol:

'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 8.8%, which is lower, thus better compared to the benchmark SPY (15%) in the same period.
• Compared with SPY (12.1%) in the period of the last 3 years, the downside deviation of 7.6% is lower, 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 (0.58) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.94 of Max Sharpe Portfolio is greater, thus better.
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.89, which is higher, thus better than the value of 0.54 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.'

• Compared with the benchmark SPY (0.82) in the period of the last 5 years, the excess return divided by the downside deviation of 1.29 of Max Sharpe Portfolio is larger, thus better.
• Looking at excess return divided by the downside deviation in of 1.24 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (0.78).

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.'

• Looking at the Ulcer Index of 3.29 in the last 5 years of Max Sharpe Portfolio, we see it is relatively lower, thus better in comparison to the benchmark SPY (9.33 )
• During the last 3 years, the Ulcer Index is 3.19 , which is lower, thus better than the value of 8.64 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.'

• The maximum reduction from previous high over 5 years of Max Sharpe Portfolio is -18.2 days, which is higher, thus better compared to the benchmark SPY (-33.7 days) in the same period.
• Compared with SPY (-22.1 days) in the period of the last 3 years, the maximum DrawDown of -10.7 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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days below previous high of 159 days of Max Sharpe Portfolio is lower, thus better.
• Compared with SPY (325 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 159 days is smaller, 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 days below previous high over 5 years of Max Sharpe Portfolio is 33 days, which is smaller, thus better compared to the benchmark SPY (122 days) in the same period.
• Looking at average days below previous high in of 38 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (89 days).