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 (104.4%) in the period of the last 5 years, the total return, or increase in value of 103.1% of Max Sharpe Portfolio is lower, thus worse.
• During the last 3 years, the total return is 38.7%, which is higher, thus better than the value of 31.6% from the benchmark.

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 15.2%, which is lower, thus worse compared to the benchmark SPY (15.4%) in the same period.
• Compared with SPY (9.6%) in the period of the last 3 years, the annual return (CAGR) of 11.6% is larger, thus better.

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.'

• The historical 30 days volatility over 5 years of Max Sharpe Portfolio is 12%, which is smaller, thus better compared to the benchmark SPY (20.9%) in the same period.
• During the last 3 years, the volatility is 10.7%, which is lower, thus better than the value of 17.7% 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 volatility over 5 years of Max Sharpe Portfolio is 8.7%, which is lower, thus better compared to the benchmark SPY (14.9%) in the same period.
• Compared with SPY (12.3%) in the period of the last 3 years, the downside deviation of 7.6% 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.'

• The ratio of return and volatility (Sharpe) over 5 years of Max Sharpe Portfolio is 1.06, which is higher, thus better compared to the benchmark SPY (0.62) in the same period.
• Looking at risk / return profile (Sharpe) in of 0.85 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (0.4).

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.'

• Looking at the downside risk / excess return profile of 1.46 in the last 5 years of Max Sharpe Portfolio, we see it is relatively greater, thus better in comparison to the benchmark SPY (0.86)
• Compared with SPY (0.58) in the period of the last 3 years, the ratio of annual return and downside deviation of 1.19 is larger, thus better.

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 3.27 in the last 5 years of Max Sharpe Portfolio, we see it is relatively lower, thus better in comparison to the benchmark SPY (9.32 )
• Looking at Ulcer Ratio in of 3.17 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (10 ).

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 DrawDown of -18.2 days in the last 5 years of Max Sharpe Portfolio, we see it is relatively larger, thus better in comparison to the benchmark SPY (-33.7 days)
• Compared with SPY (-24.5 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'

• The maximum days under water over 5 years of Max Sharpe Portfolio is 159 days, which is smaller, thus better compared to the benchmark SPY (488 days) in the same period.
• During the last 3 years, the maximum days under water is 159 days, which is lower, thus better than the value of 488 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 30 days, which is lower, thus better compared to the benchmark SPY (123 days) in the same period.
• During the last 3 years, the average time in days below previous high water mark is 34 days, which is lower, thus better than the value of 177 days from the benchmark.