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 (135.8%) in the period of the last 5 years, the total return, or performance of 91% of US Sector Rotation Strategy is lower, thus worse.
• Looking at total return, or performance in of 11.7% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (27.3%).

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 (18.8%) in the period of the last 5 years, the annual performance (CAGR) of 13.8% of US Sector Rotation Strategy is smaller, thus worse.
• During the last 3 years, the annual performance (CAGR) is 3.8%, which is lower, thus worse than the value of 8.4% from the benchmark.

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• The volatility over 5 years of US Sector Rotation Strategy is 12.2%, which is smaller, thus better compared to the benchmark SPY (17.6%) in the same period.
• Looking at volatility in of 12.1% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (17%).

DownVol:

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

• The downside volatility over 5 years of US Sector Rotation Strategy is 8.7%, which is lower, thus better compared to the benchmark SPY (12.1%) in the same period.
• Compared with SPY (12.1%) in the period of the last 3 years, the downside volatility of 9% 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.'

• Compared with the benchmark SPY (0.93) in the period of the last 5 years, the Sharpe Ratio of 0.93 of US Sector Rotation Strategy is greater, thus better.
• Looking at Sharpe Ratio in of 0.1 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.35).

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.'

• Looking at the downside risk / excess return profile of 1.31 in the last 5 years of US Sector Rotation Strategy, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (1.34)
• During the last 3 years, the excess return divided by the downside deviation is 0.14, which is lower, thus worse than the value of 0.49 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 US Sector Rotation Strategy is 6.08 , which is lower, thus better compared to the benchmark SPY (8.3 ) in the same period.
• During the last 3 years, the Ulcer Index is 7.66 , which is lower, thus better than the value of 8.65 from the benchmark.

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.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum drop from peak to valley of -16.4 days of US Sector Rotation Strategy is higher, thus better.
• Compared with SPY (-22.1 days) in the period of the last 3 years, the maximum drop from peak to valley of -16.4 days is greater, thus better.

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) in days.'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days under water of 507 days of US Sector Rotation Strategy is greater, thus worse.
• Compared with SPY (325 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 507 days is larger, thus worse.

AveDuration:

'The Average 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. 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 (119 days) in the period of the last 5 years, the average time in days below previous high water mark of 133 days of US Sector Rotation Strategy is greater, thus worse.
• During the last 3 years, the average time in days below previous high water mark is 193 days, which is higher, thus worse than the value of 89 days from the benchmark.