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.'

• The total return over 5 years of Max Sharpe Portfolio is 125.1%, which is greater, thus better compared to the benchmark SPY (63%) in the same period.
• During the last 3 years, the total return, or increase in value is 50%, which is larger, thus better than the value of 39.8% from the benchmark.

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

• The annual return (CAGR) over 5 years of Max Sharpe Portfolio is 17.6%, which is greater, thus better compared to the benchmark SPY (10.3%) in the same period.
• Looking at annual return (CAGR) in of 14.5% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (11.8%).

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 (13.6%) in the period of the last 5 years, the historical 30 days volatility of 8.1% of Max Sharpe Portfolio is lower, thus better.
• During the last 3 years, the historical 30 days volatility is 7.7%, which is lower, thus better than the value of 12.7% from the benchmark.

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 risk over 5 years of Max Sharpe Portfolio is 9.1%, which is smaller, thus better compared to the benchmark SPY (14.9%) in the same period.
• Looking at downside volatility in of 8.8% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (14.4%).

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 risk / return profile (Sharpe) of 1.86 in the last 5 years of Max Sharpe Portfolio, we see it is relatively higher, thus better in comparison to the benchmark SPY (0.57)
• Compared with SPY (0.73) in the period of the last 3 years, the risk / return profile (Sharpe) of 1.55 is greater, thus better.

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 excess return divided by the downside deviation over 5 years of Max Sharpe Portfolio is 1.66, which is higher, thus better compared to the benchmark SPY (0.52) in the same period.
• During the last 3 years, the excess return divided by the downside deviation is 1.35, which is larger, thus better than the value of 0.65 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.'

• Looking at the Downside risk index of 1.75 in the last 5 years of Max Sharpe Portfolio, we see it is relatively smaller, thus better in comparison to the benchmark SPY (4.01 )
• During the last 3 years, the Ulcer Index is 1.87 , which is smaller, thus better than the value of 4.08 from the benchmark.

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.'

• Looking at the maximum DrawDown of -6.4 days in the last 5 years of Max Sharpe Portfolio, we see it is relatively greater, thus better in comparison to the benchmark SPY (-19.3 days)
• Looking at maximum drop from peak to valley in of -6.2 days in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (-19.3 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.'

• Compared with the benchmark SPY (187 days) in the period of the last 5 years, the maximum days below previous high of 125 days of Max Sharpe Portfolio is smaller, thus better.
• Compared with SPY (139 days) in the period of the last 3 years, the maximum days under water of 125 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 days under water over 5 years of Max Sharpe Portfolio is 23 days, which is lower, thus better compared to the benchmark SPY (41 days) in the same period.
• Compared with SPY (36 days) in the period of the last 3 years, the average days under water of 29 days is lower, thus better.