Bond ETF Rotation Strategy

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.'

• The total return, or increase in value over 5 years of Bond ETF Rotation Strategy is 20.8%, which is larger, thus better compared to the benchmark AGG (-1.8%) in the same period.
• During the last 3 years, the total return, or increase in value is 17.4%, which is greater, thus better than the value of 14.9% 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.'

• The compounded annual growth rate (CAGR) over 5 years of Bond ETF Rotation Strategy is 3.9%, which is higher, thus better compared to the benchmark AGG (-0.4%) in the same period.
• Looking at compounded annual growth rate (CAGR) in of 5.5% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to AGG (4.8%).

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 (6.1%) in the period of the last 5 years, the volatility of 6% of Bond ETF Rotation Strategy is lower, thus better.
• During the last 3 years, the historical 30 days volatility is 6.5%, which is higher, thus worse than the value of 5.1% from the benchmark.

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.'

• Looking at the downside deviation of 4.2% in the last 5 years of Bond ETF Rotation Strategy, we see it is relatively lower, thus better in comparison to the benchmark AGG (4.3%)
• Compared with AGG (3.5%) in the period of the last 3 years, the downside deviation of 4.6% is greater, thus worse.

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 (-0.47) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.23 of Bond ETF Rotation Strategy is higher, thus better.
• Compared with AGG (0.44) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.46 is greater, 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 (-0.66) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.33 of Bond ETF Rotation Strategy is higher, thus better.
• Compared with AGG (0.65) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.65 is larger, 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.'

• Looking at the Downside risk index of 2.52 in the last 5 years of Bond ETF Rotation Strategy, we see it is relatively lower, thus better in comparison to the benchmark AGG (8.56 )
• Compared with AGG (1.82 ) in the period of the last 3 years, the Ulcer Index of 2.55 is larger, thus worse.

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

• The maximum reduction from previous high over 5 years of Bond ETF Rotation Strategy is -6.6 days, which is larger, thus better compared to the benchmark AGG (-17.3 days) in the same period.
• Compared with AGG (-4.8 days) in the period of the last 3 years, the maximum reduction from previous high of -6.6 days is lower, thus worse.

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 (1067 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 246 days of Bond ETF Rotation Strategy is lower, thus better.
• Compared with AGG (195 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 246 days is larger, 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 AGG (468 days) in the period of the last 5 years, the average days below previous high of 66 days of Bond ETF Rotation Strategy is smaller, thus better.
• During the last 3 years, the average days below previous high is 60 days, which is greater, thus worse than the value of 59 days from the benchmark.