Moderate Risk Portfolio for 401

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 (88.1%) in the period of the last 5 years, the total return, or increase in value of 56% of Moderate Risk Portfolio for 401 is lower, thus worse.
• Compared with SPY (85.4%) in the period of the last 3 years, the total return, or increase in value of 35.7% is smaller, thus worse.

CAGR:

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

• Looking at the annual performance (CAGR) of 9.4% in the last 5 years of Moderate Risk Portfolio for 401, we see it is relatively lower, thus worse in comparison to the benchmark SPY (13.5%)
• During the last 3 years, the annual performance (CAGR) is 10.8%, which is lower, thus worse than the value of 23% 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 historical 30 days volatility over 5 years of Moderate Risk Portfolio for 401 is 8.8%, which is smaller, thus better compared to the benchmark SPY (17.2%) in the same period.
• Looking at historical 30 days volatility in of 8.4% in the period of the last 3 years, we see it is relatively smaller, 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.'

• Compared with the benchmark SPY (11.8%) in the period of the last 5 years, the downside deviation of 6.2% of Moderate Risk Portfolio for 401 is smaller, thus better.
• Compared with SPY (10.2%) in the period of the last 3 years, the downside deviation of 5.9% is smaller, 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.'

• Compared with the benchmark SPY (0.64) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.78 of Moderate Risk Portfolio for 401 is greater, thus better.
• During the last 3 years, the Sharpe Ratio is 0.99, which is lower, thus worse than the value of 1.34 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.'

• The excess return divided by the downside deviation over 5 years of Moderate Risk Portfolio for 401 is 1.1, which is greater, thus better compared to the benchmark SPY (0.94) in the same period.
• Looking at ratio of annual return and downside deviation in of 1.4 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (2.01).

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 (8.45 ) in the period of the last 5 years, the Ulcer Ratio of 2.91 of Moderate Risk Portfolio for 401 is smaller, thus better.
• Compared with SPY (3.23 ) in the period of the last 3 years, the Downside risk index of 2.18 is lower, 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 DrawDown of -10.4 days in the last 5 years of Moderate Risk Portfolio for 401, we see it is relatively higher, thus better in comparison to the benchmark SPY (-24.5 days)
• Looking at maximum reduction from previous high in of -7 days in the period of the last 3 years, we see it is relatively higher, 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'

• The maximum days under water over 5 years of Moderate Risk Portfolio for 401 is 255 days, which is lower, thus better compared to the benchmark SPY (488 days) in the same period.
• Compared with SPY (87 days) in the period of the last 3 years, the maximum days under water of 147 days is higher, thus worse.

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.'

• Looking at the average time in days below previous high water mark of 55 days in the last 5 years of Moderate Risk Portfolio for 401, we see it is relatively smaller, thus better in comparison to the benchmark SPY (119 days)
• Compared with SPY (17 days) in the period of the last 3 years, the average days under water of 34 days is higher, thus worse.