Description

The Global Sector Rotation Strategy (GSRS) provides a good diversification to our other strategies. The strategy invests in the top two performing global sectors. Global sector ETFs often display well-defined, long lasting, up or down trends which makes them a good fit rotation strategies. Another advantage of sector rotation strategies is that even in sideways markets, there are often still individual sectors that are performing well.

This strategy consists of three sub-strategies: GSRS aggressive , GSRS low-volatility and the HEDGE sub-strategies.

Methodology & Assets
  • CUT - Guggenheim Beacon Global Timber Equities
  • KXI - iShares S&P Global Consumer Staples
  • EXI - iShares S&P Global Industrials
  • LIT - Global X Solactive Lithium Index
  • FAN - First Trust ISE Global Wind Energy
  • MOO - Market Vectors Agribusiness
  • NLR - Market Vectors Nuclear Energy
  • GNR - SPDR S&P Global Natural Resources
  • PIO - PowerShares Palisades Global Water
  • GURU - Global X Top Guru Holdings
  • PKW - PowerShares Buyback Achievers
  • IGF - iShares S&P Global Infrastructure Index
  • REMX - Market Vectors Rare Earth Strategic Metals
  • IXC - iShares S&P Global Energy Sector Index
  • RWX - SPDR DJ International Real Estate
  • IXG - iShares S&P Global Financials
  • RXI - iShares S&P Global Consumer Discretionary
  • IXJ - iShares S&P Global Healthcare Sector
  • SEA - Guggenheim Delta Global Shipping Index
  • IXN - iShares S&P Global Technology
  • SLX - Market Vectors Global Steel
  • IXP - iShares S&P Global Telecom Sector
  • SOIL - GlobalX Solactive Fertilizers-Potash
  • KOL - Market Vectors Global Coal
  • TAN - Guggenheim MAC Global Solar Energy
  • FPX - First Trust US IPO ETF
  • JXI - iShares Global Utilities

Statistics (YTD)

What do these metrics mean? [Read More] [Hide]

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark ACWI (33.3%) in the period of the last 5 years, the total return, or increase in value of 96.5% of Global Sector Rotation Strategy is greater, thus better.
  • Compared with ACWI (24.1%) in the period of the last 3 years, the total return, or performance of 73.4% is higher, thus better.

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

Using this definition on our asset we see for example:
  • Compared with the benchmark ACWI (5.9%) in the period of the last 5 years, the annual return (CAGR) of 14.5% of Global Sector Rotation Strategy is larger, thus better.
  • During the last 3 years, the annual performance (CAGR) is 20.1%, which is higher, thus better than the value of 7.5% 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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark ACWI (20.5%) in the period of the last 5 years, the historical 30 days volatility of 9.5% of Global Sector Rotation Strategy is smaller, thus better.
  • Compared with ACWI (23.9%) in the period of the last 3 years, the 30 days standard deviation of 10.9% is lower, 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.'

Which means for our asset as example:
  • The downside deviation over 5 years of Global Sector Rotation Strategy is 6.8%, which is smaller, thus better compared to the benchmark ACWI (15%) in the same period.
  • During the last 3 years, the downside risk is 7.8%, which is lower, thus better than the value of 17.4% from the benchmark.

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.'

Using this definition on our asset we see for example:
  • Looking at the risk / return profile (Sharpe) of 1.26 in the last 5 years of Global Sector Rotation Strategy, we see it is relatively higher, thus better in comparison to the benchmark ACWI (0.17)
  • Compared with ACWI (0.21) in the period of the last 3 years, the Sharpe Ratio of 1.61 is larger, 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.'

Applying this definition to our asset in some examples:
  • The excess return divided by the downside deviation over 5 years of Global Sector Rotation Strategy is 1.77, which is higher, thus better compared to the benchmark ACWI (0.23) in the same period.
  • During the last 3 years, the ratio of annual return and downside deviation is 2.26, which is higher, thus better than the value of 0.29 from the benchmark.

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark ACWI (9.43 ) in the period of the last 5 years, the Ulcer Ratio of 3.38 of Global Sector Rotation Strategy is lower, thus better.
  • During the last 3 years, the Downside risk index is 3.72 , which is lower, thus better than the value of 11 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.'

Which means for our asset as example:
  • Compared with the benchmark ACWI (-33.5 days) in the period of the last 5 years, the maximum DrawDown of -16.8 days of Global Sector Rotation Strategy is greater, thus better.
  • During the last 3 years, the maximum drop from peak to valley is -16.8 days, which is higher, thus better than the value of -33.5 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'

Applying this definition to our asset in some examples:
  • Looking at the maximum time in days below previous high water mark of 284 days in the last 5 years of Global Sector Rotation Strategy, we see it is relatively lower, thus better in comparison to the benchmark ACWI (310 days)
  • Compared with ACWI (271 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 199 days is lower, thus better.

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark ACWI (88 days) in the period of the last 5 years, the average days below previous high of 69 days of Global Sector Rotation Strategy is lower, thus better.
  • Compared with ACWI (73 days) in the period of the last 3 years, the average days under water of 49 days is lower, thus better.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations ()

Allocations

Returns (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of Global Sector Rotation Strategy are hypothetical, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.