Minimum Volatility Portfolio

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

• Compared with the benchmark SPY (81.9%) in the period of the last 5 years, the total return, or performance of 27.7% of Minimum Volatility Portfolio is lower, thus worse.
• Looking at total return in of 21.9% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (77.2%).

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.'

• Looking at the compounded annual growth rate (CAGR) of 5% in the last 5 years of Minimum Volatility Portfolio, we see it is relatively lower, thus worse in comparison to the benchmark SPY (12.8%)
• During the last 3 years, the compounded annual growth rate (CAGR) is 6.8%, which is lower, thus worse than the value of 21.1% from the benchmark.

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.'

• The volatility over 5 years of Minimum Volatility Portfolio is 3.1%, which is smaller, thus better compared to the benchmark SPY (17.2%) in the same period.
• Compared with SPY (15.3%) in the period of the last 3 years, the 30 days standard deviation of 3.3% is smaller, thus better.

DownVol:

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

• Compared with the benchmark SPY (11.8%) in the period of the last 5 years, the downside deviation of 2.1% of Minimum Volatility Portfolio is lower, thus better.
• Compared with SPY (10.3%) in the period of the last 3 years, the downside risk of 2.2% is lower, thus better.

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.'

• The risk / return profile (Sharpe) over 5 years of Minimum Volatility Portfolio is 0.81, which is greater, thus better compared to the benchmark SPY (0.6) in the same period.
• During the last 3 years, the risk / return profile (Sharpe) is 1.32, which is greater, thus better than the value of 1.21 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 (0.87) in the period of the last 5 years, the ratio of annual return and downside deviation of 1.21 of Minimum Volatility Portfolio is greater, thus better.
• Compared with SPY (1.81) in the period of the last 3 years, the excess return divided by the downside deviation of 1.96 is larger, thus better.

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.'

• The Ulcer Index over 5 years of Minimum Volatility Portfolio is 0.99 , which is lower, thus better compared to the benchmark SPY (8.46 ) in the same period.
• During the last 3 years, the Ulcer Index is 0.67 , which is lower, thus better than the value of 3.37 from the benchmark.

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.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum reduction from previous high of -2.7 days of Minimum Volatility Portfolio is larger, thus better.
• Looking at maximum DrawDown in of -2.4 days in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (-18.8 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). 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'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days under water of 291 days of Minimum Volatility Portfolio is smaller, thus better.
• Compared with SPY (87 days) in the period of the last 3 years, the maximum days below previous high of 85 days is lower, 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 Minimum Volatility Portfolio is 59 days, which is lower, thus better compared to the benchmark SPY (118 days) in the same period.
• During the last 3 years, the average days under water is 21 days, which is greater, thus worse than the value of 18 days from the benchmark.