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 (0.7%) in the period of the last 5 years, the total return, or increase in value of 22% of Bond ETF Rotation Strategy is larger, thus better.
• During the last 3 years, the total return, or increase in value is 17.7%, which is larger, thus better than the value of 9.8% from the benchmark.

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 4.1% in the last 5 years of Bond ETF Rotation Strategy, we see it is relatively higher, thus better in comparison to the benchmark AGG (0.1%)
• During the last 3 years, the annual performance (CAGR) is 5.6%, which is larger, thus better than the value of 3.2% from the benchmark.

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.'

• Compared with the benchmark AGG (6.1%) in the period of the last 5 years, the historical 30 days volatility of 5.6% of Bond ETF Rotation Strategy is smaller, thus better.
• During the last 3 years, the volatility is 5.9%, which is greater, thus worse than the value of 5.6% from the benchmark.

DownVol:

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

• Compared with the benchmark AGG (4.3%) in the period of the last 5 years, the downside volatility of 3.9% of Bond ETF Rotation Strategy is smaller, thus better.
• Looking at downside deviation in of 4.1% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to AGG (3.9%).

Sharpe:

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

• Compared with the benchmark AGG (-0.39) in the period of the last 5 years, the Sharpe Ratio of 0.28 of Bond ETF Rotation Strategy is higher, thus better.
• During the last 3 years, the Sharpe Ratio is 0.53, which is higher, thus better than the value of 0.12 from the benchmark.

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 (-0.55) in the period of the last 5 years, the excess return divided by the downside deviation of 0.41 of Bond ETF Rotation Strategy is greater, thus better.
• Compared with AGG (0.17) in the period of the last 3 years, the excess return divided by the downside deviation of 0.75 is higher, thus better.

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.'

• Compared with the benchmark AGG (8.98 ) in the period of the last 5 years, the Downside risk index of 2.36 of Bond ETF Rotation Strategy is lower, thus better.
• Compared with AGG (2.25 ) in the period of the last 3 years, the Ulcer Index of 2.45 is larger, thus worse.

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.'

• The maximum DrawDown over 5 years of Bond ETF Rotation Strategy is -6.6 days, which is larger, thus better compared to the benchmark AGG (-17.8 days) in the same period.
• Compared with AGG (-7.4 days) in the period of the last 3 years, the maximum reduction from previous high of -6.6 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.'

• Looking at the maximum days under water of 246 days in the last 5 years of Bond ETF Rotation Strategy, we see it is relatively smaller, thus better in comparison to the benchmark AGG (1146 days)
• During the last 3 years, the maximum days below previous high is 246 days, which is higher, thus worse than the value of 195 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.'

• Compared with the benchmark AGG (533 days) in the period of the last 5 years, the average time in days below previous high water mark of 64 days of Bond ETF Rotation Strategy is smaller, thus better.
• Compared with AGG (61 days) in the period of the last 3 years, the average days under water of 59 days is smaller, thus better.