Bond ETF Rotation Strategy

TotalReturn:

'The total return on a portfolio of investments takes into account not only the capital appreciation on the portfolio, but also the income received on the portfolio. The income typically consists of interest, dividends, and securities lending fees. This contrasts with the price return, which takes into account only the capital gain on an investment.'

• Looking at the total return, or performance of 43.3% in the last 5 years of Bond ETF Rotation Strategy, we see it is relatively greater, thus better in comparison to the benchmark AGG (-0.9%)
• Looking at total return, or performance in of 9.6% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to AGG (-6.3%).

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.'

• The compounded annual growth rate (CAGR) over 5 years of Bond ETF Rotation Strategy is 7.5%, which is larger, thus better compared to the benchmark AGG (-0.2%) in the same period.
• Compared with AGG (-2.2%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 3.1% is greater, 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.'

• Looking at the volatility of 8.6% in the last 5 years of Bond ETF Rotation Strategy, we see it is relatively larger, thus worse in comparison to the benchmark AGG (6.8%)
• Looking at 30 days standard deviation in of 5.4% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to AGG (7.1%).

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.'

• The downside volatility over 5 years of Bond ETF Rotation Strategy is 6.4%, which is greater, thus worse compared to the benchmark AGG (5%) in the same period.
• Compared with AGG (5%) in the period of the last 3 years, the downside deviation of 3.7% is lower, thus better.

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.'

• The Sharpe Ratio over 5 years of Bond ETF Rotation Strategy is 0.58, which is larger, thus better compared to the benchmark AGG (-0.39) in the same period.
• Compared with AGG (-0.66) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.11 is higher, thus better.

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.'

• Compared with the benchmark AGG (-0.54) in the period of the last 5 years, the excess return divided by the downside deviation of 0.78 of Bond ETF Rotation Strategy is greater, thus better.
• During the last 3 years, the downside risk / excess return profile is 0.17, which is larger, thus better than the value of -0.93 from the benchmark.

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

• Compared with the benchmark AGG (9.14 ) in the period of the last 5 years, the Ulcer Ratio of 2.97 of Bond ETF Rotation Strategy is lower, thus better.
• Looking at Ulcer Index in of 2.31 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to AGG (11 ).

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

• Compared with the benchmark AGG (-18.4 days) in the period of the last 5 years, the maximum DrawDown of -21.4 days of Bond ETF Rotation Strategy is lower, thus worse.
• During the last 3 years, the maximum DrawDown is -6 days, which is higher, thus better than the value of -17.2 days from the benchmark.

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 (1081 days) in the period of the last 5 years, the maximum days under water of 217 days of Bond ETF Rotation Strategy is lower, thus better.
• Looking at maximum time in days below previous high water mark in of 217 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to AGG (744 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.'

• The average days under water over 5 years of Bond ETF Rotation Strategy is 55 days, which is lower, thus better compared to the benchmark AGG (486 days) in the same period.
• Compared with AGG (371 days) in the period of the last 3 years, the average days under water of 55 days is lower, thus better.