Moderate Risk Portfolio for 401

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 (77.4%) in the period of the last 5 years, the total return, or performance of 91.5% of Moderate Risk Portfolio for 401 is higher, thus better.
• Compared with SPY (43.3%) in the period of the last 3 years, the total return, or increase in value of 43.2% 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.'

• Looking at the compounded annual growth rate (CAGR) of 13.9% in the last 5 years of Moderate Risk Portfolio for 401, we see it is relatively larger, thus better in comparison to the benchmark SPY (12.1%)
• During the last 3 years, the annual return (CAGR) is 12.7%, which is greater, thus better than the value of 12.7% 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.'

• Compared with the benchmark SPY (19%) in the period of the last 5 years, the volatility of 9.1% of Moderate Risk Portfolio for 401 is smaller, thus better.
• Looking at historical 30 days volatility in of 10.7% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (22%).

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 deviation over 5 years of Moderate Risk Portfolio for 401 is 6.5%, which is smaller, thus better compared to the benchmark SPY (13.9%) in the same period.
• Compared with SPY (16.2%) in the period of the last 3 years, the downside deviation of 7.7% 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 Moderate Risk Portfolio for 401 is 1.25, which is larger, thus better compared to the benchmark SPY (0.51) in the same period.
• Looking at ratio of return and volatility (Sharpe) in of 0.96 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (0.46).

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 excess return divided by the downside deviation over 5 years of Moderate Risk Portfolio for 401 is 1.75, which is larger, thus better compared to the benchmark SPY (0.7) in the same period.
• Compared with SPY (0.63) in the period of the last 3 years, the downside risk / excess return profile of 1.32 is greater, 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 Ratio over 5 years of Moderate Risk Portfolio for 401 is 2.26 , which is lower, thus better compared to the benchmark SPY (5.87 ) in the same period.
• Compared with SPY (7.01 ) in the period of the last 3 years, the Ulcer Index of 2.71 is smaller, 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 -18.1 days in the last 5 years of Moderate Risk Portfolio for 401, we see it is relatively greater, thus better in comparison to the benchmark SPY (-33.7 days)
• During the last 3 years, the maximum drop from peak to valley is -18.1 days, which is higher, thus better than the value of -33.7 days from the benchmark.

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.'

• Looking at the maximum days under water of 114 days in the last 5 years of Moderate Risk Portfolio for 401, we see it is relatively lower, thus better in comparison to the benchmark SPY (139 days)
• During the last 3 years, the maximum days below previous high is 94 days, which is lower, thus better than the value of 139 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.'

• The average days below previous high over 5 years of Moderate Risk Portfolio for 401 is 24 days, which is smaller, thus better compared to the benchmark SPY (37 days) in the same period.
• During the last 3 years, the average days below previous high is 22 days, which is lower, thus better than the value of 45 days from the benchmark.