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 20.2%, which is higher, thus better compared to the benchmark AGG (-1.2%) in the same period.
• Compared with AGG (16.7%) in the period of the last 3 years, the total return, or increase in value of 19% is greater, 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.'

• The annual performance (CAGR) over 5 years of Bond ETF Rotation Strategy is 3.8%, which is higher, thus better compared to the benchmark AGG (-0.2%) in the same period.
• Looking at annual return (CAGR) in of 6% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to AGG (5.3%).

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.'

• Looking at the volatility of 6% 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 volatility is 6.5%, which is greater, thus worse than the value of 5.1% 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.'

• Compared with the benchmark AGG (4.3%) in the period of the last 5 years, the downside deviation of 4.2% of Bond ETF Rotation Strategy is lower, thus better.
• During the last 3 years, the downside deviation is 4.6%, which is larger, thus worse than the value of 3.4% 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.'

• Looking at the risk / return profile (Sharpe) of 0.21 in the last 5 years of Bond ETF Rotation Strategy, we see it is relatively higher, thus better in comparison to the benchmark AGG (-0.45)
• Looking at risk / return profile (Sharpe) in of 0.54 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to AGG (0.56).

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.'

• Compared with the benchmark AGG (-0.63) in the period of the last 5 years, the excess return divided by the downside deviation of 0.3 of Bond ETF Rotation Strategy is higher, thus better.
• Looking at excess return divided by the downside deviation in of 0.76 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to AGG (0.82).

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 Downside risk index of 2.57 of Bond ETF Rotation Strategy is lower, thus better.
• Compared with AGG (1.84 ) in the period of the last 3 years, the Ulcer Index of 2.64 is greater, thus worse.

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 (-17.3 days) in the period of the last 5 years, the maximum DrawDown of -6.6 days of Bond ETF Rotation Strategy is greater, thus better.
• Compared with AGG (-4.8 days) in the period of the last 3 years, the maximum drop from peak to valley of -6.6 days is smaller, thus worse.

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.'

• Looking at the maximum time in days below previous high water mark of 246 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 (1067 days)
• During the last 3 years, the maximum time in days below previous high water mark is 246 days, which is larger, thus worse than the value of 195 days from the benchmark.

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.'

• Compared with the benchmark AGG (469 days) in the period of the last 5 years, the average days below previous high of 66 days of Bond ETF Rotation Strategy is lower, thus better.
• Compared with AGG (61 days) in the period of the last 3 years, the average days below previous high of 62 days is larger, thus worse.