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.'

• The total return, or performance over 5 years of Bond ETF Rotation Strategy is 43.3%, which is higher, thus better compared to the benchmark AGG (-4.5%) in the same period.
• During the last 3 years, the total return, or performance is 11.1%, which is greater, thus better than the value of 4.6% from the benchmark.

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

• The annual performance (CAGR) over 5 years of Bond ETF Rotation Strategy is 7.5%, which is higher, thus better compared to the benchmark AGG (-0.9%) in the same period.
• Looking at annual return (CAGR) in of 3.6% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to AGG (1.5%).

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 30 days standard deviation over 5 years of Bond ETF Rotation Strategy is 6.2%, which is higher, thus worse compared to the benchmark AGG (6%) in the same period.
• Compared with AGG (6.9%) in the period of the last 3 years, the historical 30 days volatility of 5.7% 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.'

• Compared with the benchmark AGG (4.3%) in the period of the last 5 years, the downside deviation of 4.2% of Bond ETF Rotation Strategy is smaller, thus better.
• During the last 3 years, the downside volatility is 3.9%, which is lower, thus better than the value of 4.7% 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 (-0.57) in the period of the last 5 years, the Sharpe Ratio of 0.81 of Bond ETF Rotation Strategy is larger, thus better.
• Looking at risk / return profile (Sharpe) in of 0.19 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to AGG (-0.14).

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.'

• The excess return divided by the downside deviation over 5 years of Bond ETF Rotation Strategy is 1.19, which is larger, thus better compared to the benchmark AGG (-0.8) in the same period.
• Looking at downside risk / excess return profile in of 0.28 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to AGG (-0.21).

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.'

• Compared with the benchmark AGG (9.46 ) in the period of the last 5 years, the Ulcer Ratio of 2.4 of Bond ETF Rotation Strategy is lower, thus better.
• Looking at Ulcer Ratio in of 2.48 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to AGG (3.8 ).

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 reduction from previous high over 5 years of Bond ETF Rotation Strategy is -6.6 days, which is greater, thus better compared to the benchmark AGG (-18.4 days) in the same period.
• Looking at maximum reduction from previous high in of -6.6 days in the period of the last 3 years, we see it is relatively greater, thus better in comparison to AGG (-9.8 days).

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 (1211 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.
• Looking at maximum days under water in of 176 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to AGG (487 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.'

• Compared with the benchmark AGG (595 days) in the period of the last 5 years, the average days below previous high of 64 days of Bond ETF Rotation Strategy is smaller, thus better.
• During the last 3 years, the average time in days below previous high water mark is 56 days, which is lower, thus better than the value of 185 days from the benchmark.