US Sector Rotation Strategy

TotalReturn:

'The total return on a portfolio of investments takes into account not only the capital appreciation on the portfolio, but also the income received on the portfolio. The income typically consists of interest, dividends, and securities lending fees. This contrasts with the price return, which takes into account only the capital gain on an investment.'

• Compared with the benchmark SPY (87.1%) in the period of the last 5 years, the total return, or performance of 38% of US Sector Rotation Strategy is lower, thus worse.
• Looking at total return, or increase in value in of 19.8% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (85.7%).

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.'

• Compared with the benchmark SPY (13.4%) in the period of the last 5 years, the annual performance (CAGR) of 6.7% of US Sector Rotation Strategy is lower, thus worse.
• Compared with SPY (23%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 6.2% is lower, thus worse.

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.'

• The historical 30 days volatility over 5 years of US Sector Rotation Strategy is 11.4%, which is smaller, thus better compared to the benchmark SPY (17.1%) in the same period.
• Compared with SPY (15.1%) in the period of the last 3 years, the 30 days standard deviation of 8.8% 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.'

• Compared with the benchmark SPY (11.8%) in the period of the last 5 years, the downside deviation of 8.3% of US Sector Rotation Strategy is lower, thus better.
• Looking at downside risk in of 6.4% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (10.1%).

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.'

• Compared with the benchmark SPY (0.64) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.37 of US Sector Rotation Strategy is lower, thus worse.
• Compared with SPY (1.36) in the period of the last 3 years, the Sharpe Ratio of 0.42 is smaller, thus worse.

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

• Compared with the benchmark SPY (0.93) in the period of the last 5 years, the downside risk / excess return profile of 0.5 of US Sector Rotation Strategy is lower, thus worse.
• Compared with SPY (2.04) in the period of the last 3 years, the downside risk / excess return profile of 0.59 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.'

• The Ulcer Index over 5 years of US Sector Rotation Strategy is 6.57 , which is smaller, thus better compared to the benchmark SPY (8.45 ) in the same period.
• Looking at Downside risk index in of 4.3 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (3.5 ).

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.'

• Looking at the maximum DrawDown of -16.4 days in the last 5 years of US Sector Rotation Strategy, we see it is relatively greater, thus better in comparison to the benchmark SPY (-24.5 days)
• Compared with SPY (-18.8 days) in the period of the last 3 years, the maximum reduction from previous high of -11.7 days is higher, thus better.

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.'

• The maximum time in days below previous high water mark over 5 years of US Sector Rotation Strategy is 507 days, which is larger, thus worse compared to the benchmark SPY (488 days) in the same period.
• Looking at maximum days under water in of 270 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (87 days).

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 time in days below previous high water mark over 5 years of US Sector Rotation Strategy is 149 days, which is greater, thus worse compared to the benchmark SPY (119 days) in the same period.
• During the last 3 years, the average days under water is 69 days, which is higher, thus worse than the value of 20 days from the benchmark.