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 (62.6%) in the period of the last 5 years, the total return, or increase in value of 108.5% of Moderate Risk Portfolio for 401 is larger, thus better.
• During the last 3 years, the total return, or increase in value is 62.7%, which is larger, thus better than the value of 32.1% from the benchmark.

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.'

• Compared with the benchmark SPY (10.2%) in the period of the last 5 years, the annual return (CAGR) of 15.9% of Moderate Risk Portfolio for 401 is larger, thus better.
• During the last 3 years, the annual performance (CAGR) is 17.6%, which is larger, thus better than the value of 9.7% 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.'

• Compared with the benchmark SPY (21.5%) in the period of the last 5 years, the 30 days standard deviation of 10% of Moderate Risk Portfolio for 401 is lower, thus better.
• Looking at historical 30 days volatility in of 11.3% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (24.8%).

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.'

• Compared with the benchmark SPY (15.6%) in the period of the last 5 years, the downside volatility of 7.1% of Moderate Risk Portfolio for 401 is smaller, thus better.
• Compared with SPY (17.9%) in the period of the last 3 years, the downside volatility of 8.1% 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.'

• Looking at the risk / return profile (Sharpe) of 1.34 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 (0.36)
• During the last 3 years, the ratio of return and volatility (Sharpe) is 1.33, which is greater, thus better than the value of 0.29 from the benchmark.

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.'

• Compared with the benchmark SPY (0.5) in the period of the last 5 years, the ratio of annual return and downside deviation of 1.87 of Moderate Risk Portfolio for 401 is greater, thus better.
• During the last 3 years, the downside risk / excess return profile is 1.85, which is higher, thus better than the value of 0.4 from the benchmark.

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.'

• Compared with the benchmark SPY (8.52 ) in the period of the last 5 years, the Ulcer Ratio of 2.85 of Moderate Risk Portfolio for 401 is lower, thus better.
• Compared with SPY (10 ) in the period of the last 3 years, the Ulcer Index of 3.35 is smaller, 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 DrawDown of -14 days of Moderate Risk Portfolio for 401 is higher, thus better.
• Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum reduction from previous high of -14 days is larger, thus better.

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.'

• Compared with the benchmark SPY (235 days) in the period of the last 5 years, the maximum days under water of 128 days of Moderate Risk Portfolio for 401 is lower, thus better.
• Compared with SPY (235 days) in the period of the last 3 years, the maximum days under water of 128 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 time in days below previous high water mark over 5 years of Moderate Risk Portfolio for 401 is 25 days, which is smaller, thus better compared to the benchmark SPY (55 days) in the same period.
• Compared with SPY (59 days) in the period of the last 3 years, the average days below previous high of 25 days is smaller, thus better.