Minimum Volatility 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, or increase in value over 5 years of Minimum Volatility Portfolio is 29.7%, which is smaller, thus worse compared to the benchmark SPY (91.1%) in the same period.
• Looking at total return, or increase in value in of 24.1% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (84%).

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.'

• Looking at the annual return (CAGR) of 5.4% in the last 5 years of Minimum Volatility Portfolio, we see it is relatively lower, thus worse in comparison to the benchmark SPY (13.9%)
• During the last 3 years, the compounded annual growth rate (CAGR) is 7.5%, which is smaller, thus worse than the value of 22.7% from the benchmark.

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.'

• Compared with the benchmark SPY (17%) in the period of the last 5 years, the historical 30 days volatility of 3% of Minimum Volatility Portfolio is smaller, thus better.
• During the last 3 years, the historical 30 days volatility is 3.1%, which is smaller, thus better than the value of 15.1% 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.'

• Looking at the downside risk of 2% in the last 5 years of Minimum Volatility Portfolio, we see it is relatively smaller, thus better in comparison to the benchmark SPY (11.7%)
• During the last 3 years, the downside risk is 2.1%, which is lower, thus better than the value of 10.1% 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.'

• Looking at the risk / return profile (Sharpe) of 0.94 in the last 5 years of Minimum Volatility Portfolio, we see it is relatively greater, thus better in comparison to the benchmark SPY (0.67)
• Looking at Sharpe Ratio in of 1.6 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (1.33).

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.'

• Compared with the benchmark SPY (0.97) in the period of the last 5 years, the excess return divided by the downside deviation of 1.42 of Minimum Volatility Portfolio is higher, thus better.
• During the last 3 years, the excess return divided by the downside deviation is 2.4, which is greater, thus better than the value of 2 from the benchmark.

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.'

• Compared with the benchmark SPY (8.45 ) in the period of the last 5 years, the Downside risk index of 0.98 of Minimum Volatility Portfolio is lower, thus better.
• Compared with SPY (3.5 ) in the period of the last 3 years, the Ulcer Index of 0.67 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.'

• Looking at the maximum reduction from previous high of -2.7 days in the last 5 years of Minimum Volatility Portfolio, we see it is relatively higher, thus better in comparison to the benchmark SPY (-24.5 days)
• During the last 3 years, the maximum DrawDown is -2.4 days, which is larger, thus better than the value of -18.8 days from the benchmark.

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 time in days below previous high water mark over 5 years of Minimum Volatility Portfolio is 291 days, which is lower, thus better compared to the benchmark SPY (488 days) in the same period.
• Compared with SPY (87 days) in the period of the last 3 years, the maximum days below previous high of 86 days is smaller, thus better.

AveDuration:

'The Average 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. 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 Minimum Volatility Portfolio is 58 days, which is smaller, thus better compared to the benchmark SPY (120 days) in the same period.
• During the last 3 years, the average time in days below previous high water mark is 22 days, which is higher, thus worse than the value of 20 days from the benchmark.