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 27%, which is larger, thus better compared to the benchmark AGG (-1.2%) in the same period.
• Compared with AGG (13.8%) in the period of the last 3 years, the total return of 21.8% is higher, thus better.

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.'

• Compared with the benchmark AGG (-0.2%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 4.9% of Bond ETF Rotation Strategy is greater, thus better.
• Compared with AGG (4.4%) in the period of the last 3 years, the annual performance (CAGR) of 6.8% is higher, 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 historical 30 days volatility 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.
• During the last 3 years, the volatility is 6.4%, which is higher, 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.'

• Looking at the downside deviation of 4% in the last 5 years of Bond ETF Rotation Strategy, we see it is relatively smaller, thus better in comparison to the benchmark AGG (4.3%)
• During the last 3 years, the downside risk is 4.4%, which is greater, thus worse than the value of 3.6% 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.'

• The risk / return profile (Sharpe) over 5 years of Bond ETF Rotation Strategy is 0.41, which is higher, thus better compared to the benchmark AGG (-0.45) in the same period.
• Compared with AGG (0.36) in the period of the last 3 years, the Sharpe Ratio of 0.68 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.'

• The excess return divided by the downside deviation over 5 years of Bond ETF Rotation Strategy is 0.6, which is larger, thus better compared to the benchmark AGG (-0.64) in the same period.
• Compared with AGG (0.53) in the period of the last 3 years, the downside risk / excess return profile of 0.97 is greater, thus better.

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 Index over 5 years of Bond ETF Rotation Strategy is 2.41 , 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 2.41 , which is higher, thus worse than the value of 1.79 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.'

• Compared with the benchmark AGG (-17.7 days) in the period of the last 5 years, the maximum drop from peak to valley of -6.6 days of Bond ETF Rotation Strategy is greater, thus better.
• 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 smaller, 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) in days.'

• The maximum time in days below previous high water mark over 5 years of Bond ETF Rotation Strategy is 246 days, which is lower, thus better compared to the benchmark AGG (1116 days) in the same period.
• Compared with AGG (195 days) in the period of the last 3 years, the maximum days below previous high of 246 days is greater, 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.'

• Compared with the benchmark AGG (506 days) in the period of the last 5 years, the average days under water of 64 days of Bond ETF Rotation Strategy is smaller, thus better.
• Looking at average days under water in of 58 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to AGG (52 days).