Bond ETF Rotation Strategy

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.'

• The total return, or performance over 5 years of Bond ETF Rotation Strategy is 24.9%, which is higher, thus better compared to the benchmark AGG (-1.4%) in the same period.
• Looking at total return, or increase in value in of 19.9% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to AGG (13.2%).

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.'

• The annual performance (CAGR) over 5 years of Bond ETF Rotation Strategy is 4.6%, which is higher, thus better compared to the benchmark AGG (-0.3%) in the same period.
• Compared with AGG (4.2%) in the period of the last 3 years, the annual return (CAGR) of 6.3% is larger, thus better.

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.'

• The 30 days standard deviation over 5 years of Bond ETF Rotation Strategy is 5.9%, which is lower, thus better compared to the benchmark AGG (6.1%) in the same period.
• Looking at volatility in of 6.4% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to AGG (5.2%).

DownVol:

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

• The downside risk over 5 years of Bond ETF Rotation Strategy is 4.1%, which is lower, thus better compared to the benchmark AGG (4.3%) in the same period.
• Compared with AGG (3.6%) in the period of the last 3 years, the downside volatility of 4.5% is larger, thus worse.

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 risk / return profile (Sharpe) of 0.35 in the last 5 years of Bond ETF Rotation Strategy, we see it is relatively higher, thus better in comparison to the benchmark AGG (-0.46)
• Looking at ratio of return and volatility (Sharpe) in of 0.59 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to AGG (0.33).

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

• The downside risk / excess return profile over 5 years of Bond ETF Rotation Strategy is 0.51, which is higher, thus better compared to the benchmark AGG (-0.64) in the same period.
• Compared with AGG (0.49) in the period of the last 3 years, the downside risk / excess return profile of 0.84 is greater, thus better.

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

• The Downside risk index over 5 years of Bond ETF Rotation Strategy is 2.43 , which is smaller, thus better compared to the benchmark AGG (8.91 ) in the same period.
• During the last 3 years, the Ulcer Index is 2.45 , which is higher, thus worse than the value of 1.76 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 greater, thus better compared to the benchmark AGG (-17.7 days) in the same period.
• Looking at maximum drop from peak to valley in of -6.6 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to AGG (-4.8 days).

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 (1116 days) in the period of the last 5 years, the maximum days below previous high of 246 days of Bond ETF Rotation Strategy is lower, thus better.
• Looking at maximum time in days below previous high water mark in of 246 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to AGG (195 days).

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 (505 days) in the period of the last 5 years, the average days below previous high of 64 days of Bond ETF Rotation Strategy is lower, thus better.
• Looking at average days under water in of 59 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to AGG (54 days).