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.'

• Compared with the benchmark AGG (-0.9%) in the period of the last 5 years, the total return, or performance of 19.5% of Bond ETF Rotation Strategy is larger, thus better.
• Looking at total return, or increase in value in of 18.6% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to AGG (15.2%).

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.'

• Compared with the benchmark AGG (-0.2%) in the period of the last 5 years, the annual return (CAGR) of 3.6% of Bond ETF Rotation Strategy is larger, thus better.
• Looking at annual return (CAGR) in of 5.9% 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.'

• The volatility over 5 years of Bond ETF Rotation Strategy is 6%, which is smaller, thus better compared to the benchmark AGG (6.2%) in the same period.
• Looking at 30 days standard deviation in of 6.5% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to AGG (5%).

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.'

• Looking at the downside risk 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 (4.4%)
• During the last 3 years, the downside risk is 4.6%, which is larger, thus worse than the value of 3.4% from the benchmark.

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 ratio of return and volatility (Sharpe) of 0.19 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)
• Looking at ratio of return and volatility (Sharpe) in of 0.52 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to AGG (0.47).

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 ratio of annual return and downside deviation over 5 years of Bond ETF Rotation Strategy is 0.27, which is higher, thus better compared to the benchmark AGG (-0.62) in the same period.
• Looking at excess return divided by the downside deviation in of 0.73 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to AGG (0.68).

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.'

• The Ulcer Ratio over 5 years of Bond ETF Rotation Strategy is 2.6 , which is lower, thus better compared to the benchmark AGG (8.56 ) in the same period.
• Compared with AGG (1.85 ) in the period of the last 3 years, the Ulcer Ratio of 2.68 is greater, thus worse.

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.'

• Compared with the benchmark AGG (-17.3 days) in the period of the last 5 years, the maximum reduction from previous high of -6.6 days of Bond ETF Rotation Strategy is higher, thus better.
• During the last 3 years, the maximum DrawDown is -6.6 days, which is lower, thus worse than the value of -4.8 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'

• Compared with the benchmark AGG (1067 days) in the period of the last 5 years, the maximum days under water of 246 days of Bond ETF Rotation Strategy is lower, thus better.
• During the last 3 years, the maximum days under water is 246 days, which is greater, thus worse than the value of 195 days from the benchmark.

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.'

• The average days under water over 5 years of Bond ETF Rotation Strategy is 67 days, which is lower, thus better compared to the benchmark AGG (469 days) in the same period.
• Looking at average days under water in of 62 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to AGG (62 days).