Conservative Strategy

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, or performance over 5 years of Conservative Strategy is 60.8%, which is lower, thus worse compared to the benchmark SPY (107.5%) in the same period.
• Looking at total return, or performance in of 39% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (78.7%).

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 return (CAGR) over 5 years of Conservative Strategy is 10%, which is lower, thus worse compared to the benchmark SPY (15.8%) in the same period.
• Compared with SPY (21.5%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 11.7% is smaller, thus worse.

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

• Compared with the benchmark SPY (17.1%) in the period of the last 5 years, the historical 30 days volatility of 5.1% of Conservative Strategy is lower, thus better.
• Looking at 30 days standard deviation in of 5.3% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (15.6%).

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 volatility over 5 years of Conservative Strategy is 3.4%, which is lower, thus better compared to the benchmark SPY (11.7%) in the same period.
• Compared with SPY (10.4%) in the period of the last 3 years, the downside volatility of 3.5% is lower, thus better.

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 Sharpe Ratio over 5 years of Conservative Strategy is 1.49, which is larger, thus better compared to the benchmark SPY (0.78) in the same period.
• Compared with SPY (1.21) in the period of the last 3 years, the Sharpe Ratio of 1.72 is higher, 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.'

• Looking at the ratio of annual return and downside deviation of 2.24 in the last 5 years of Conservative Strategy, we see it is relatively higher, thus better in comparison to the benchmark SPY (1.13)
• Looking at ratio of annual return and downside deviation in of 2.61 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (1.83).

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 Conservative Strategy is 1.74 , which is smaller, thus better compared to the benchmark SPY (8.42 ) in the same period.
• Compared with SPY (3.61 ) in the period of the last 3 years, the Downside risk index of 1.35 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 -4.8 days in the last 5 years of Conservative Strategy, we see it is relatively greater, thus better in comparison to the benchmark SPY (-24.5 days)
• During the last 3 years, the maximum reduction from previous high is -4.3 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'

• Looking at the maximum time in days below previous high water mark of 318 days in the last 5 years of Conservative Strategy, we see it is relatively smaller, thus better in comparison to the benchmark SPY (488 days)
• Compared with SPY (87 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 102 days is greater, thus worse.

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.'

• Looking at the average time in days below previous high water mark of 64 days in the last 5 years of Conservative Strategy, we see it is relatively smaller, thus better in comparison to the benchmark SPY (120 days)
• Compared with SPY (21 days) in the period of the last 3 years, the average time in days below previous high water mark of 26 days is greater, thus worse.