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 increase in value of 26.9% in the last 5 years of Bond ETF Rotation Strategy, we see it is relatively larger, thus better in comparison to the benchmark AGG (-1%)
• Looking at total return, or performance in of 21.5% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to AGG (13.9%).

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 compounded annual growth rate (CAGR) of 4.9% of Bond ETF Rotation Strategy is higher, thus better.
• Looking at annual performance (CAGR) in of 6.7% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to AGG (4.5%).

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 5.9%, which is lower, thus better compared to the benchmark AGG (6.1%) in the same period.
• During the last 3 years, the historical 30 days volatility is 6.4%, which is larger, thus worse than the value of 5.3% from the benchmark.

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• Compared with the benchmark AGG (4.3%) in the period of the last 5 years, the downside risk of 4% of Bond ETF Rotation Strategy is lower, thus better.
• During the last 3 years, the downside deviation is 4.4%, which is larger, thus worse than the value of 3.6% from the benchmark.

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.'

• Compared with the benchmark AGG (-0.44) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.41 of Bond ETF Rotation Strategy is greater, thus better.
• Looking at ratio of return and volatility (Sharpe) in of 0.67 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to AGG (0.37).

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.'

• Looking at the downside risk / excess return profile of 0.59 in the last 5 years of Bond ETF Rotation Strategy, we see it is relatively greater, thus better in comparison to the benchmark AGG (-0.63)
• Looking at excess return divided by the downside deviation in of 0.95 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to AGG (0.54).

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.'

• Compared with the benchmark AGG (8.91 ) in the period of the last 5 years, the Ulcer Ratio of 2.41 of Bond ETF Rotation Strategy is lower, thus better.
• Looking at Ulcer Ratio in of 2.41 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to AGG (1.79 ).

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.'

• The maximum reduction from previous high over 5 years of Bond ETF Rotation Strategy is -6.6 days, which is greater, thus better compared to the benchmark AGG (-17.7 days) in the same period.
• Looking at maximum drop from peak to valley 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.'

• 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 higher, thus worse.

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.'

• Looking at the average days below previous high of 64 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 (506 days)
• Compared with AGG (52 days) in the period of the last 3 years, the average days under water of 58 days is greater, thus worse.