Moderate Risk Portfolio for 401

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

• The total return, or performance over 5 years of Moderate Risk Portfolio for 401 is 94%, which is greater, thus better compared to the benchmark SPY (68.7%) in the same period.
• Compared with SPY (47.9%) in the period of the last 3 years, the total return, or increase in value of 41.7% is lower, 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 compounded annual growth rate (CAGR) of 14.2% 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 (11%)
• Looking at annual return (CAGR) in of 12.4% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (14%).

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 (13.3%) in the period of the last 5 years, the 30 days standard deviation of 6.8% of Moderate Risk Portfolio for 401 is lower, thus better.
• Compared with SPY (12.5%) in the period of the last 3 years, the 30 days standard deviation of 6.3% is lower, 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 deviation of 7.4% 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 (14.6%)
• Looking at downside volatility in of 7.1% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (14.2%).

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.'

• The ratio of return and volatility (Sharpe) over 5 years of Moderate Risk Portfolio for 401 is 1.73, which is greater, thus better compared to the benchmark SPY (0.64) in the same period.
• Looking at ratio of return and volatility (Sharpe) in of 1.57 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (0.91).

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 1.57, which is greater, thus better compared to the benchmark SPY (0.58) in the same period.
• During the last 3 years, the downside risk / excess return profile is 1.39, which is larger, thus better than the value of 0.81 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.'

• The Downside risk index over 5 years of Moderate Risk Portfolio for 401 is 1.41 , which is smaller, thus worse compared to the benchmark SPY (3.96 ) in the same period.
• Compared with SPY (4.01 ) in the period of the last 3 years, the Ulcer Ratio of 1.35 is lower, thus worse.

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.'

• The maximum DrawDown over 5 years of Moderate Risk Portfolio for 401 is -5.5 days, which is larger, thus better compared to the benchmark SPY (-19.3 days) in the same period.
• During the last 3 years, the maximum DrawDown is -5.5 days, which is greater, thus better than the value of -19.3 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). 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 138 days, which is lower, thus better compared to the benchmark SPY (187 days) in the same period.
• Compared with SPY (139 days) in the period of the last 3 years, the maximum days below previous high of 95 days is smaller, 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.'

• Compared with the benchmark SPY (41 days) in the period of the last 5 years, the average days under water of 27 days of Moderate Risk Portfolio for 401 is lower, thus better.
• Looking at average time in days below previous high water mark in of 25 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (36 days).