Moderate Risk 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.'

• Compared with the benchmark SPY (128%) in the period of the last 5 years, the total return, or increase in value of 72.4% of Moderate Risk Portfolio is smaller, thus worse.
• Looking at total return, or increase in value in of 33.2% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (74.9%).

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

• The annual performance (CAGR) over 5 years of Moderate Risk Portfolio is 11.5%, which is lower, thus worse compared to the benchmark SPY (18%) in the same period.
• Looking at compounded annual growth rate (CAGR) in of 10% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (20.5%).

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 volatility over 5 years of Moderate Risk Portfolio is 9%, which is lower, thus better compared to the benchmark SPY (18.8%) in the same period.
• Compared with SPY (22.3%) in the period of the last 3 years, the 30 days standard deviation of 10.7% is lower, thus better.

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.'

• Looking at the downside volatility of 6.5% in the last 5 years of Moderate Risk Portfolio, we see it is relatively lower, thus better in comparison to the benchmark SPY (13.6%)
• Looking at downside deviation in of 7.8% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (16.1%).

Sharpe:

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

• Compared with the benchmark SPY (0.82) in the period of the last 5 years, the risk / return profile (Sharpe) of 1 of Moderate Risk Portfolio is larger, thus better.
• During the last 3 years, the Sharpe Ratio is 0.7, which is lower, thus worse than the value of 0.81 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.'

• Looking at the downside risk / excess return profile of 1.39 in the last 5 years of Moderate Risk Portfolio, we see it is relatively greater, thus better in comparison to the benchmark SPY (1.13)
• Looking at ratio of annual return and downside deviation in of 0.97 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.11).

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 Ulcer Index of 2.1 in the last 5 years of Moderate Risk Portfolio, we see it is relatively lower, thus better in comparison to the benchmark SPY (5.59 )
• Compared with SPY (6.3 ) in the period of the last 3 years, the Downside risk index of 2.59 is smaller, 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.'

• The maximum reduction from previous high over 5 years of Moderate Risk Portfolio is -16.9 days, which is greater, thus better compared to the benchmark SPY (-33.7 days) in the same period.
• Looking at maximum DrawDown in of -16.9 days in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (-33.7 days).

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) in days.'

• Looking at the maximum days under water of 87 days in the last 5 years of Moderate Risk Portfolio, we see it is relatively lower, thus better in comparison to the benchmark SPY (139 days)
• Compared with SPY (119 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 87 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 Moderate Risk Portfolio is 18 days, which is lower, thus better compared to the benchmark SPY (32 days) in the same period.
• Compared with SPY (23 days) in the period of the last 3 years, the average days under water of 21 days is smaller, thus better.