Definitions

Annual Volatility: this is a measure of the standard deviation of monthly returns over the period of 1 year. In other words, it measures expected range of your annual returns 70% of the time. High values are generally considered bad, as it means your portfolio will see higher ups and downs, leading investors to make poor decisions.

CAGR (Compount Annual Growth Rate): this is the annualized geometric average return of a strategy over a specified time frame.

Max Drawdown: this measures the % drop in value of the portfolio or strategy between its highest and lower points over a give timeframe. High drawdowns are considered bad as it means the portfolio or strategy has dropped significantly in value, leading the investor to make irrational decisions. Generally speaking, portfolios or strategies with lower max drawdowns are superior.

Sharpe Ratio: this is a ratio of risk adjusted returns. Values greater than 1 are generally considered good. Values between 0.5 and 1 are generally considered ok. Values below 0.5 are considered sub-optimal.

Sortino Ratio: this is a ratio of risk adjusted returns similar to the Sharpe ratio. However, this ratio only considers the downside volatility as bad; whereas upside volatility is considered beneficial to your overall returns. Values greater than 2 are generally considered good. Values between 1 and 2 are generally considered ok. Values below 1 are considered sub-optimal.

Return: this is the % increase or decrease of your portfolio or strategy between two specified points in time (i.e. if in 2020 your portfolio is worth $100k, and in 2021 it is worht $120k, your return is then 20% over the 1 year period).