Minimum Volatility 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.'

• The total return, or performance over 5 years of Minimum Volatility Portfolio is 28.1%, which is lower, thus worse compared to the benchmark SPY (84.2%) in the same period.
• Compared with SPY (71.8%) in the period of the last 3 years, the total return, or increase in value of 21.6% is smaller, thus worse.

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 (13.1%) in the period of the last 5 years, the annual performance (CAGR) of 5.1% of Minimum Volatility Portfolio is lower, thus worse.
• During the last 3 years, the compounded annual growth rate (CAGR) is 6.8%, which is lower, thus worse than the value of 19.9% 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 historical 30 days volatility of 3.1% in the last 5 years of Minimum Volatility Portfolio, we see it is relatively lower, thus better in comparison to the benchmark SPY (17.1%)
• Looking at historical 30 days volatility in of 3.3% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (15.3%).

DownVol:

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

• The downside deviation over 5 years of Minimum Volatility Portfolio is 2.1%, which is lower, thus better compared to the benchmark SPY (11.8%) in the same period.
• During the last 3 years, the downside volatility is 2.2%, which is lower, thus better than the value of 10.3% from the benchmark.

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 Minimum Volatility Portfolio is 0.84, which is larger, thus better compared to the benchmark SPY (0.62) in the same period.
• Looking at risk / return profile (Sharpe) in of 1.32 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (1.14).

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.'

• The ratio of annual return and downside deviation over 5 years of Minimum Volatility Portfolio is 1.26, which is larger, thus better compared to the benchmark SPY (0.89) in the same period.
• Compared with SPY (1.69) in the period of the last 3 years, the downside risk / excess return profile of 1.95 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 (8.46 ) in the period of the last 5 years, the Downside risk index of 0.98 of Minimum Volatility Portfolio is lower, thus better.
• Compared with SPY (3.53 ) in the period of the last 3 years, the Downside risk index of 0.69 is smaller, thus better.

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.'

• The maximum drop from peak to valley over 5 years of Minimum Volatility Portfolio is -2.7 days, which is larger, thus better compared to the benchmark SPY (-24.5 days) in the same period.
• During the last 3 years, the maximum drop from peak to valley is -2.4 days, which is higher, 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) in days.'

• The maximum days below previous high over 5 years of Minimum Volatility Portfolio is 291 days, which is lower, thus better compared to the benchmark SPY (488 days) in the same period.
• During the last 3 years, the maximum time in days below previous high water mark is 86 days, which is smaller, thus better than the value of 87 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 (119 days) in the period of the last 5 years, the average days under water of 58 days of Minimum Volatility Portfolio is lower, thus better.
• Compared with SPY (21 days) in the period of the last 3 years, the average days under water of 22 days is larger, thus worse.