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 increase in value over 5 years of Bond ETF Rotation Strategy is 22.9%, which is greater, thus better compared to the benchmark AGG (-2.5%) in the same period.
• Compared with AGG (13.5%) in the period of the last 3 years, the total return, or performance of 19.5% is greater, thus better.

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 compounded annual growth rate (CAGR) over 5 years of Bond ETF Rotation Strategy is 4.2%, which is greater, thus better compared to the benchmark AGG (-0.5%) in the same period.
• During the last 3 years, the annual performance (CAGR) is 6.2%, which is greater, thus better than the value of 4.3% from the benchmark.

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.'

• Looking at the volatility of 5.9% 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 6.4%, which is greater, thus worse than the value of 5.1% from the benchmark.

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.'

• The downside volatility over 5 years of Bond ETF Rotation Strategy is 4.1%, which is smaller, thus better compared to the benchmark AGG (4.4%) in the same period.
• Looking at downside volatility in of 4.5% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to AGG (3.5%).

Sharpe:

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

• The ratio of return and volatility (Sharpe) over 5 years of Bond ETF Rotation Strategy is 0.29, which is higher, thus better compared to the benchmark AGG (-0.49) in the same period.
• During the last 3 years, the risk / return profile (Sharpe) is 0.57, which is larger, thus better than the value of 0.36 from the benchmark.

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 (-0.69) in the period of the last 5 years, the excess return divided by the downside deviation of 0.42 of Bond ETF Rotation Strategy is higher, thus better.
• During the last 3 years, the excess return divided by the downside deviation is 0.81, which is greater, thus better than the value of 0.52 from the benchmark.

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.'

• Compared with the benchmark AGG (8.56 ) in the period of the last 5 years, the Ulcer Index of 2.5 of Bond ETF Rotation Strategy is lower, thus better.
• During the last 3 years, the Ulcer Ratio is 2.52 , which is larger, thus worse than the value of 1.81 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.'

• Looking at the maximum reduction from previous high of -6.6 days in the last 5 years of Bond ETF Rotation Strategy, we see it is relatively higher, thus better in comparison to the benchmark AGG (-17.3 days)
• Looking at maximum reduction from previous high 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 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.
• 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.'

• Looking at the average time in days below previous high water mark of 66 days in the last 5 years of Bond ETF Rotation Strategy, we see it is relatively lower, thus better in comparison to the benchmark AGG (468 days)
• Compared with AGG (58 days) in the period of the last 3 years, the average days below previous high of 60 days is larger, thus worse.