Bond ETF 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.'

• The total return, or performance over 5 years of Bond ETF Rotation Strategy is 36.2%, which is greater, thus better compared to the benchmark AGG (-5.4%) in the same period.
• During the last 3 years, the total return, or performance is 13.2%, which is greater, thus better than the value of 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.'

• Compared with the benchmark AGG (-1.1%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 6.4% of Bond ETF Rotation Strategy is higher, thus better.
• During the last 3 years, the compounded annual growth rate (CAGR) is 4.2%, which is higher, thus better than the value of 2% from the benchmark.

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%) in the period of the last 5 years, the historical 30 days volatility of 6.1% of Bond ETF Rotation Strategy is larger, thus worse.
• Compared with AGG (6.7%) in the period of the last 3 years, the 30 days standard deviation of 5.7% is smaller, thus better.

DownVol:

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

• The downside deviation over 5 years of Bond ETF Rotation Strategy is 4.1%, which is smaller, thus better compared to the benchmark AGG (4.3%) in the same period.
• Looking at downside volatility in of 3.9% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to AGG (4.6%).

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.'

• Looking at the ratio of return and volatility (Sharpe) of 0.64 in the last 5 years of Bond ETF Rotation Strategy, we see it is relatively larger, thus better in comparison to the benchmark AGG (-0.6)
• Compared with AGG (-0.08) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.31 is higher, 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 (-0.84) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.95 of Bond ETF Rotation Strategy is greater, thus better.
• Looking at ratio of annual return and downside deviation in of 0.45 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to AGG (-0.12).

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 Downside risk index over 5 years of Bond ETF Rotation Strategy is 2.47 , which is lower, thus better compared to the benchmark AGG (9.52 ) in the same period.
• Compared with AGG (3.78 ) in the period of the last 3 years, the Downside risk index of 2.56 is lower, 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.'

• 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 (-18.4 days) in the same period.
• During the last 3 years, the maximum reduction from previous high is -6.6 days, which is larger, thus better than the value of -9.8 days from the benchmark.

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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

• Compared with the benchmark AGG (1243 days) in the period of the last 5 years, the maximum days under water of 217 days of Bond ETF Rotation Strategy is lower, thus better.
• During the last 3 years, the maximum days below previous high is 208 days, which is smaller, thus better than the value of 487 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 (621 days) in the period of the last 5 years, the average days below previous high of 68 days of Bond ETF Rotation Strategy is smaller, thus better.
• During the last 3 years, the average days under water is 58 days, which is smaller, thus better than the value of 190 days from the benchmark.