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 (-4.7%) in the period of the last 5 years, the total return of 34.1% of Bond ETF Rotation Strategy is greater, thus better.
• Compared with AGG (-1.4%) in the period of the last 3 years, the total return, or performance of 9.4% is greater, thus better.

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.'

• Looking at the annual performance (CAGR) of 6.1% in the last 5 years of Bond ETF Rotation Strategy, we see it is relatively greater, thus better in comparison to the benchmark AGG (-1%)
• Looking at compounded annual growth rate (CAGR) in of 3.1% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to AGG (-0.5%).

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

• Compared with the benchmark AGG (6.9%) in the period of the last 5 years, the historical 30 days volatility of 8.5% of Bond ETF Rotation Strategy is greater, thus worse.
• Compared with AGG (7%) in the period of the last 3 years, the 30 days standard deviation of 5.4% is smaller, 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.'

• The downside deviation over 5 years of Bond ETF Rotation Strategy is 6.4%, which is greater, thus worse compared to the benchmark AGG (5.1%) in the same period.
• During the last 3 years, the downside risk is 3.7%, which is lower, thus better than the value of 4.9% from the benchmark.

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 AGG (-0.5) in the period of the last 5 years, the Sharpe Ratio of 0.42 of Bond ETF Rotation Strategy is greater, thus better.
• Compared with AGG (-0.42) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.1 is greater, thus better.

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.'

• Compared with the benchmark AGG (-0.68) in the period of the last 5 years, the downside risk / excess return profile of 0.56 of Bond ETF Rotation Strategy is greater, thus better.
• Looking at downside risk / excess return profile in of 0.15 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to AGG (-0.6).

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 Bond ETF Rotation Strategy is 3.08 , which is smaller, thus better compared to the benchmark AGG (9.36 ) in the same period.
• Compared with AGG (6.94 ) in the period of the last 3 years, the Downside risk index of 2.51 is smaller, 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.'

• Compared with the benchmark AGG (-18.4 days) in the period of the last 5 years, the maximum DrawDown of -21.4 days of Bond ETF Rotation Strategy is lower, thus worse.
• During the last 3 years, the maximum reduction from previous high is -6 days, which is greater, thus better than the value of -13.5 days from the benchmark.

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 AGG (1153 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 217 days of Bond ETF Rotation Strategy is lower, thus better.
• During the last 3 years, the maximum time in days below previous high water mark is 217 days, which is smaller, thus better than the value of 630 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 days under water of 59 days in the last 5 years of Bond ETF Rotation Strategy, we see it is relatively lower, thus better in comparison to the benchmark AGG (542 days)
• Compared with AGG (274 days) in the period of the last 3 years, the average time in days below previous high water mark of 61 days is lower, thus better.