Aggressive 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 (87.4%) in the period of the last 5 years, the total return, or increase in value of 168.5% of Aggressive Risk Portfolio is larger, thus better.
• During the last 3 years, the total return, or performance is 37%, which is greater, thus better than the value of 26.8% 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 compounded annual growth rate (CAGR) over 5 years of Aggressive Risk Portfolio is 21.9%, which is larger, thus better compared to the benchmark SPY (13.4%) in the same period.
• Looking at compounded annual growth rate (CAGR) in of 11.1% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (8.2%).

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 Aggressive Risk Portfolio is 15.6%, which is lower, thus better compared to the benchmark SPY (20.9%) in the same period.
• Compared with SPY (17.3%) in the period of the last 3 years, the 30 days standard deviation of 14.1% is smaller, thus better.

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 Aggressive Risk Portfolio is 11%, which is lower, thus better compared to the benchmark SPY (15%) in the same period.
• Looking at downside risk in of 9.9% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (12.1%).

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 Aggressive Risk Portfolio is 1.24, which is greater, thus better compared to the benchmark SPY (0.52) in the same period.
• During the last 3 years, the Sharpe Ratio is 0.61, which is higher, thus better than the value of 0.33 from the benchmark.

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 (0.73) in the period of the last 5 years, the ratio of annual return and downside deviation of 1.76 of Aggressive Risk Portfolio is larger, thus better.
• Compared with SPY (0.47) in the period of the last 3 years, the downside risk / excess return profile of 0.86 is higher, thus better.

Ulcer:

'The Ulcer Index is a technical indicator that measures downside risk, in terms of both the depth and duration of price declines. The index increases in value as the price moves farther away from a recent high and falls as the price rises to new highs. The indicator is usually calculated over a 14-day period, with the Ulcer Index showing the percentage drawdown a trader can expect from the high over that period. The greater the value of the Ulcer Index, the longer it takes for a stock to get back to the former high.'

• Compared with the benchmark SPY (9.33 ) in the period of the last 5 years, the Ulcer Ratio of 5.53 of Aggressive Risk Portfolio is smaller, thus better.
• Compared with SPY (10 ) in the period of the last 3 years, the Downside risk index of 6.25 is lower, thus better.

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 reduction from previous high of -20.8 days in the last 5 years of Aggressive Risk Portfolio, we see it is relatively greater, thus better in comparison to the benchmark SPY (-33.7 days)
• Looking at maximum DrawDown in of -19.6 days in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (-24.5 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 (488 days) in the period of the last 5 years, the maximum days below previous high of 289 days of Aggressive Risk Portfolio is lower, thus better.
• During the last 3 years, the maximum days below previous high is 289 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.'

• Looking at the average time in days below previous high water mark of 53 days in the last 5 years of Aggressive Risk Portfolio, we see it is relatively lower, thus better in comparison to the benchmark SPY (122 days)
• Looking at average time in days below previous high water mark in of 74 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (179 days).