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 (113.2%) in the period of the last 5 years, the total return, or performance of 71.8% of Moderate Risk Portfolio for 401 is smaller, thus worse.
• Looking at total return in of 29.4% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (67.5%).

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.'

• The annual return (CAGR) over 5 years of Moderate Risk Portfolio for 401 is 11.5%, which is lower, thus worse compared to the benchmark SPY (16.4%) in the same period.
• Looking at annual performance (CAGR) in of 9% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (18.9%).

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 (17.5%) in the period of the last 5 years, the volatility of 9.1% of Moderate Risk Portfolio for 401 is lower, thus better.
• Compared with SPY (17.5%) in the period of the last 3 years, the 30 days standard deviation of 8.3% is lower, thus better.

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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 volatility of 6.4% 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 (12.1%)
• Compared with SPY (11.6%) in the period of the last 3 years, the downside deviation of 5.8% 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 ratio of return and volatility (Sharpe) over 5 years of Moderate Risk Portfolio for 401 is 0.98, which is greater, thus better compared to the benchmark SPY (0.79) in the same period.
• Compared with SPY (0.94) in the period of the last 3 years, the Sharpe Ratio of 0.78 is smaller, thus worse.

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.'

• Looking at the downside risk / excess return profile of 1.4 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 (1.15)
• Looking at downside risk / excess return profile in of 1.13 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (1.42).

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.'

• The Ulcer Index over 5 years of Moderate Risk Portfolio for 401 is 2.75 , which is lower, thus better compared to the benchmark SPY (8.48 ) in the same period.
• Compared with SPY (5.31 ) in the period of the last 3 years, the Ulcer Index of 2.21 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.'

• The maximum drop from peak to valley over 5 years of Moderate Risk Portfolio for 401 is -10.4 days, which is larger, thus better compared to the benchmark SPY (-24.5 days) in the same period.
• Looking at maximum DrawDown in of -8.2 days in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (-18.8 days).

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.'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days under water of 255 days of Moderate Risk Portfolio for 401 is lower, thus better.
• During the last 3 years, the maximum time in days below previous high water mark is 111 days, which is lower, thus better than the value of 199 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.'

• Looking at the average time in days below previous high water mark of 48 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 (120 days)
• Looking at average time in days below previous high water mark in of 36 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (47 days).