Bond ETF Rotation Strategy

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 AGG (0.4%) in the period of the last 5 years, the total return, or increase in value of 47.1% of Bond ETF Rotation Strategy is higher, thus better.
• Looking at total return, or increase in value in of 10% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to AGG (-9.2%).

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

• The annual return (CAGR) over 5 years of Bond ETF Rotation Strategy is 8%, which is higher, thus better compared to the benchmark AGG (0.1%) in the same period.
• Looking at annual return (CAGR) in of 3.2% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to AGG (-3.2%).

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.'

• Looking at the 30 days standard deviation of 8.8% in the last 5 years of Bond ETF Rotation Strategy, we see it is relatively larger, thus worse in comparison to the benchmark AGG (6.7%)
• Looking at 30 days standard deviation in of 5.2% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to AGG (6.8%).

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• Looking at the downside risk of 6.5% in the last 5 years of Bond ETF Rotation Strategy, we see it is relatively greater, thus worse in comparison to the benchmark AGG (4.9%)
• Compared with AGG (4.9%) in the period of the last 3 years, the downside volatility of 3.5% is lower, thus better.

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• The risk / return profile (Sharpe) over 5 years of Bond ETF Rotation Strategy is 0.63, which is larger, thus better compared to the benchmark AGG (-0.36) in the same period.
• Looking at ratio of return and volatility (Sharpe) in of 0.14 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to AGG (-0.83).

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 Bond ETF Rotation Strategy is 0.84, which is larger, thus better compared to the benchmark AGG (-0.49) in the same period.
• During the last 3 years, the ratio of annual return and downside deviation is 0.22, which is greater, thus better than the value of -1.16 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 Bond ETF Rotation Strategy is 3.08 , which is smaller, thus better compared to the benchmark AGG (8.67 ) in the same period.
• Looking at Ulcer Index in of 2.12 in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to AGG (11 ).

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 Bond ETF Rotation Strategy is -21.4 days, which is lower, thus worse compared to the benchmark AGG (-18.4 days) in the same period.
• During the last 3 years, the maximum reduction from previous high is -4.9 days, which is greater, thus better than the value of -17.8 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 below previous high over 5 years of Bond ETF Rotation Strategy is 217 days, which is smaller, thus better compared to the benchmark AGG (944 days) in the same period.
• Compared with AGG (693 days) in the period of the last 3 years, the maximum days below previous high of 217 days is lower, 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.'

• The average days under water over 5 years of Bond ETF Rotation Strategy is 60 days, which is lower, thus better compared to the benchmark AGG (382 days) in the same period.
• Compared with AGG (325 days) in the period of the last 3 years, the average time in days below previous high water mark of 57 days is lower, thus better.