Top 3 Strategies

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.'

• Looking at the total return of 151% in the last 5 years of Top 3 Strategies, we see it is relatively higher, thus better in comparison to the benchmark SPY (95.4%)
• Looking at total return, or performance in of 40% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (46.9%).

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.'

• Compared with the benchmark SPY (14.4%) in the period of the last 5 years, the annual return (CAGR) of 20.3% of Top 3 Strategies is higher, thus better.
• Looking at compounded annual growth rate (CAGR) in of 11.9% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (13.7%).

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• The historical 30 days volatility over 5 years of Top 3 Strategies is 10.8%, which is lower, thus better compared to the benchmark SPY (21%) in the same period.
• Compared with SPY (17.2%) in the period of the last 3 years, the volatility of 8.5% is smaller, thus better.

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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 SPY (15%) in the period of the last 5 years, the downside volatility of 7.3% of Top 3 Strategies is lower, thus better.
• Compared with SPY (11.9%) in the period of the last 3 years, the downside deviation of 5.8% is lower, thus better.

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 SPY (0.57) in the period of the last 5 years, the risk / return profile (Sharpe) of 1.65 of Top 3 Strategies is larger, thus better.
• Looking at ratio of return and volatility (Sharpe) in of 1.11 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (0.66).

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.'

• The excess return divided by the downside deviation over 5 years of Top 3 Strategies is 2.42, which is greater, thus better compared to the benchmark SPY (0.79) in the same period.
• Looking at excess return divided by the downside deviation in of 1.62 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (0.94).

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.'

• The Ulcer Ratio over 5 years of Top 3 Strategies is 4.13 , which is smaller, thus better compared to the benchmark SPY (9.29 ) in the same period.
• Compared with SPY (8.57 ) in the period of the last 3 years, the Ulcer Index of 4.76 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.'

• Looking at the maximum DrawDown of -14.2 days in the last 5 years of Top 3 Strategies, we see it is relatively higher, thus better in comparison to the benchmark SPY (-33.4 days)
• Compared with SPY (-22.1 days) in the period of the last 3 years, the maximum DrawDown of -11 days is higher, 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.'

• The maximum days below previous high over 5 years of Top 3 Strategies is 370 days, which is lower, thus better compared to the benchmark SPY (488 days) in the same period.
• Compared with SPY (325 days) in the period of the last 3 years, the maximum days under water of 370 days is greater, thus worse.

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 SPY (121 days) in the period of the last 5 years, the average days below previous high of 78 days of Top 3 Strategies is smaller, thus better.
• Looking at average days below previous high in of 109 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (90 days).