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.'

• Looking at the total return, or performance of 26.1% in the last 5 years of Bond ETF Rotation Strategy, we see it is relatively greater, thus better in comparison to the benchmark AGG (-0.8%)
• Looking at total return, or increase in value in of 19.7% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to AGG (12.2%).

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.'

• The compounded annual growth rate (CAGR) over 5 years of Bond ETF Rotation Strategy is 4.8%, which is greater, thus better compared to the benchmark AGG (-0.2%) in the same period.
• During the last 3 years, the compounded annual growth rate (CAGR) is 6.2%, which is larger, thus better than the value of 3.9% from the benchmark.

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.'

• Looking at the 30 days standard deviation of 5.8% in the last 5 years of Bond ETF Rotation Strategy, we see it is relatively lower, thus better in comparison to the benchmark AGG (6.1%)
• During the last 3 years, the historical 30 days volatility is 6.2%, which is larger, thus worse than the value of 5.3% 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.'

• The downside deviation over 5 years of Bond ETF Rotation Strategy is 4%, which is lower, thus better compared to the benchmark AGG (4.3%) in the same period.
• Looking at downside risk in of 4.4% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to AGG (3.7%).

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.'

• Looking at the ratio of return and volatility (Sharpe) of 0.39 in the last 5 years of Bond ETF Rotation Strategy, we see it is relatively higher, thus better in comparison to the benchmark AGG (-0.44)
• Compared with AGG (0.27) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.6 is greater, thus better.

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

• Compared with the benchmark AGG (-0.62) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.56 of Bond ETF Rotation Strategy is larger, thus better.
• During the last 3 years, the excess return divided by the downside deviation is 0.85, which is larger, thus better than the value of 0.39 from the benchmark.

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.'

• Compared with the benchmark AGG (8.99 ) in the period of the last 5 years, the Ulcer Ratio of 2.38 of Bond ETF Rotation Strategy is lower, thus better.
• During the last 3 years, the Ulcer Index is 2.49 , which is higher, thus worse than the value of 1.97 from the benchmark.

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 higher, thus better compared to the benchmark AGG (-17.8 days) in the same period.
• During the last 3 years, the maximum reduction from previous high is -6.6 days, which is lower, thus worse than the value of -6.1 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) in days.'

• The maximum days under water over 5 years of Bond ETF Rotation Strategy is 246 days, which is lower, thus better compared to the benchmark AGG (1146 days) in the same period.
• Looking at maximum days under water in of 246 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to AGG (195 days).

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.'

• Compared with the benchmark AGG (529 days) in the period of the last 5 years, the average days below previous high of 64 days of Bond ETF Rotation Strategy is smaller, thus better.
• During the last 3 years, the average days under water is 60 days, which is greater, thus worse than the value of 52 days from the benchmark.