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.'

• Looking at the total return, or performance of 29% in the last 5 years of Bond ETF Rotation Strategy, we see it is relatively larger, thus better in comparison to the benchmark AGG (0.4%)
• Compared with AGG (12.4%) in the period of the last 3 years, the total return, or performance of 23.9% 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.'

• Looking at the compounded annual growth rate (CAGR) of 5.2% in the last 5 years of Bond ETF Rotation Strategy, we see it is relatively higher, thus better in comparison to the benchmark AGG (0.1%)
• During the last 3 years, the annual return (CAGR) is 7.5%, which is higher, thus better than the value of 4% from the benchmark.

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 5.7% of Bond ETF Rotation Strategy is smaller, thus better.
• During the last 3 years, the volatility is 6.1%, which is higher, thus worse than the value of 5.4% 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 volatility of 3.9% in the last 5 years of Bond ETF Rotation Strategy, we see it is relatively lower, thus better in comparison to the benchmark AGG (4.3%)
• Compared with AGG (3.7%) in the period of the last 3 years, the downside risk of 4.3% is larger, 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 (-0.4) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.48 of Bond ETF Rotation Strategy is higher, thus better.
• During the last 3 years, the Sharpe Ratio is 0.81, which is larger, thus better than the value of 0.28 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 (-0.56) in the period of the last 5 years, the excess return divided by the downside deviation of 0.7 of Bond ETF Rotation Strategy is larger, thus better.
• During the last 3 years, the excess return divided by the downside deviation is 1.16, which is higher, thus better than the value of 0.4 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.'

• The Ulcer Ratio over 5 years of Bond ETF Rotation Strategy is 2.35 , which is lower, thus better compared to the benchmark AGG (8.99 ) in the same period.
• Looking at Ulcer Ratio in of 2.46 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to AGG (1.96 ).

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.'

• 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 (-17.8 days) in the same period.
• During the last 3 years, the maximum DrawDown is -6.6 days, which is smaller, 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). 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 (1145 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.
• Compared with AGG (195 days) in the period of the last 3 years, the maximum days below previous high of 246 days is higher, 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.'

• Looking at the average days below previous high of 63 days in the last 5 years of Bond ETF Rotation Strategy, we see it is relatively smaller, thus better in comparison to the benchmark AGG (530 days)
• During the last 3 years, the average time in days below previous high water mark is 60 days, which is higher, thus worse than the value of 50 days from the benchmark.