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.'

• The total return, or performance over 5 years of Moderate Risk Portfolio for 401 is 100%, which is lower, thus worse compared to the benchmark SPY (143%) in the same period.
• Compared with SPY (39%) in the period of the last 3 years, the total return, or performance of 20.1% is lower, thus worse.

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.'

• The annual performance (CAGR) over 5 years of Moderate Risk Portfolio for 401 is 14.9%, which is lower, thus worse compared to the benchmark SPY (19.5%) in the same period.
• Compared with SPY (11.7%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 6.3% is smaller, thus worse.

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• Looking at the historical 30 days volatility of 9.6% 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 (19.6%)
• Compared with SPY (17.1%) in the period of the last 3 years, the historical 30 days volatility of 8.7% is smaller, thus better.

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.'

• Looking at the downside risk of 6.6% 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 (13.5%)
• Looking at downside deviation in of 6.2% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (12%).

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 (0.87) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 1.29 of Moderate Risk Portfolio for 401 is higher, thus better.
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.44, which is lower, thus worse than the value of 0.54 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 downside risk / excess return profile over 5 years of Moderate Risk Portfolio for 401 is 1.87, which is larger, thus better compared to the benchmark SPY (1.26) in the same period.
• Compared with SPY (0.77) in the period of the last 3 years, the excess return divided by the downside deviation of 0.62 is lower, thus worse.

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.'

• Looking at the Ulcer Ratio of 2.74 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 (8.32 )
• Looking at Ulcer Index in of 3.28 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (8.6 ).

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 DrawDown over 5 years of Moderate Risk Portfolio for 401 is -10.4 days, which is greater, thus better compared to the benchmark SPY (-24.5 days) in the same period.
• Looking at maximum drop from peak to valley in of -10.4 days in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (-22.1 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) in days.'

• Looking at the maximum days below previous high of 255 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 (488 days)
• During the last 3 years, the maximum days below previous high is 255 days, which is smaller, thus better than the value of 325 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 (118 days) in the period of the last 5 years, the average time in days below previous high water mark of 47 days of Moderate Risk Portfolio for 401 is lower, thus better.
• Compared with SPY (90 days) in the period of the last 3 years, the average days below previous high of 66 days is lower, thus better.