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 (124.9%) in the period of the last 5 years, the total return, or increase in value of 68.8% of Moderate Risk Portfolio is smaller, thus worse.
• During the last 3 years, the total return is 32.4%, which is lower, thus worse than the value of 60.5% from the benchmark.

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.'

• Compared with the benchmark SPY (17.6%) in the period of the last 5 years, the annual return (CAGR) of 11.1% of Moderate Risk Portfolio is smaller, thus worse.
• Compared with SPY (17.1%) in the period of the last 3 years, the annual return (CAGR) of 9.8% is lower, thus worse.

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.'

• The historical 30 days volatility over 5 years of Moderate Risk Portfolio is 9%, which is smaller, thus better compared to the benchmark SPY (18.7%) in the same period.
• During the last 3 years, the 30 days standard deviation is 10.7%, which is lower, thus better than the value of 22.6% from the benchmark.

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.'

• The downside deviation over 5 years of Moderate Risk Portfolio is 6.5%, which is smaller, thus better compared to the benchmark SPY (13.5%) in the same period.
• Looking at downside deviation in of 7.7% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (16.4%).

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.'

• The risk / return profile (Sharpe) over 5 years of Moderate Risk Portfolio is 0.95, which is larger, thus better compared to the benchmark SPY (0.81) in the same period.
• Compared with SPY (0.65) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.68 is greater, thus better.

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.'

• Compared with the benchmark SPY (1.12) in the period of the last 5 years, the ratio of annual return and downside deviation of 1.32 of Moderate Risk Portfolio is greater, thus better.
• Looking at ratio of annual return and downside deviation in of 0.95 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (0.89).

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.'

• The Ulcer Index over 5 years of Moderate Risk Portfolio is 2.08 , which is lower, thus better compared to the benchmark SPY (5.58 ) in the same period.
• Looking at Downside risk index in of 2.58 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (6.82 ).

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.'

• The maximum drop from peak to valley 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.
• During the last 3 years, the maximum drop from peak to valley is -16.9 days, which is larger, thus better than the value of -33.7 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) 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)
• During the last 3 years, the maximum days under water is 87 days, which is lower, thus better than the value of 128 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 time in days below previous high water mark 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 (33 days) in the period of the last 3 years, the average time in days below previous high water mark of 21 days is lower, thus better.