Max Sharpe 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.'

• Looking at the total return, or increase in value of 88.2% in the last 5 years of Max Sharpe Portfolio, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (94.8%)
• Compared with SPY (45.1%) in the period of the last 3 years, the total return of 40.5% is lower, thus worse.

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 Max Sharpe Portfolio is 13.5%, which is lower, thus worse compared to the benchmark SPY (14.3%) in the same period.
• During the last 3 years, the annual performance (CAGR) is 12%, which is smaller, thus worse than the value of 13.3% 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.'

• Looking at the 30 days standard deviation of 12.1% in the last 5 years of Max Sharpe Portfolio, we see it is relatively smaller, thus better in comparison to the benchmark SPY (21%)
• Looking at volatility in of 10.6% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (17.2%).

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• The downside risk over 5 years of Max Sharpe Portfolio is 8.8%, which is lower, thus better compared to the benchmark SPY (15%) in the same period.
• Compared with SPY (12%) in the period of the last 3 years, the downside deviation of 7.6% is lower, thus better.

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• The risk / return profile (Sharpe) over 5 years of Max Sharpe Portfolio is 0.91, which is larger, thus better compared to the benchmark SPY (0.56) in the same period.
• Looking at Sharpe Ratio in of 0.9 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (0.63).

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.'

• The ratio of annual return and downside deviation over 5 years of Max Sharpe Portfolio is 1.25, which is greater, thus better compared to the benchmark SPY (0.79) in the same period.
• Looking at excess return divided by the downside deviation in of 1.26 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (0.9).

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 3.29 of Max Sharpe Portfolio is smaller, thus better.
• Compared with SPY (8.59 ) in the period of the last 3 years, the Ulcer Index of 3.19 is lower, thus better.

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum drop from peak to valley of -18.2 days of Max Sharpe Portfolio is larger, thus better.
• During the last 3 years, the maximum DrawDown is -10.7 days, which is larger, thus better than the value of -22.1 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 time in days below previous high water mark of 159 days in the last 5 years of Max Sharpe Portfolio, we see it is relatively lower, thus better in comparison to the benchmark SPY (488 days)
• During the last 3 years, the maximum time in days below previous high water mark is 159 days, which is lower, thus better than the value of 325 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.'

• Compared with the benchmark SPY (121 days) in the period of the last 5 years, the average days under water of 33 days of Max Sharpe Portfolio is lower, thus better.
• Compared with SPY (89 days) in the period of the last 3 years, the average days under water of 38 days is smaller, thus better.