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.'

• Looking at the total return of 40.6% in the last 5 years of Bond ETF Rotation Strategy, we see it is relatively larger, thus better in comparison to the benchmark AGG (-4.4%)
• Looking at total return in of 12.2% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to AGG (8.1%).

CAGR:

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

• Compared with the benchmark AGG (-0.9%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 7.1% of Bond ETF Rotation Strategy is higher, thus better.
• Compared with AGG (2.6%) in the period of the last 3 years, the annual return (CAGR) of 3.9% is greater, thus better.

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• The 30 days standard deviation over 5 years of Bond ETF Rotation Strategy is 6.1%, which is larger, thus worse compared to the benchmark AGG (6%) in the same period.
• Looking at 30 days standard deviation in of 5.7% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to AGG (6.8%).

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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 risk of 4.1% 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%)
• Looking at downside volatility in of 3.9% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to AGG (4.6%).

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 (-0.57) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.75 of Bond ETF Rotation Strategy is higher, thus better.
• Looking at Sharpe Ratio in of 0.25 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to AGG (0.02).

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.'

• The downside risk / excess return profile over 5 years of Bond ETF Rotation Strategy is 1.11, which is greater, thus better compared to the benchmark AGG (-0.8) in the same period.
• Looking at downside risk / excess return profile in of 0.37 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to AGG (0.03).

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 Downside risk index over 5 years of Bond ETF Rotation Strategy is 2.43 , which is lower, thus better compared to the benchmark AGG (9.49 ) in the same period.
• Compared with AGG (3.79 ) in the period of the last 3 years, the Ulcer Ratio of 2.51 is lower, thus better.

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.'

• Compared with the benchmark AGG (-18.4 days) in the period of the last 5 years, the maximum reduction from previous high of -6.6 days of Bond ETF Rotation Strategy is higher, thus better.
• Compared with AGG (-9.8 days) in the period of the last 3 years, the maximum reduction from previous high of -6.6 days is higher, thus better.

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 (1224 days) in the period of the last 5 years, the maximum days below previous high of 217 days of Bond ETF Rotation Strategy is lower, thus better.
• Compared with AGG (487 days) in the period of the last 3 years, the maximum days below previous high of 189 days is lower, thus better.

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 time in days below previous high water mark over 5 years of Bond ETF Rotation Strategy is 66 days, which is lower, thus better compared to the benchmark AGG (608 days) in the same period.
• Compared with AGG (189 days) in the period of the last 3 years, the average days below previous high of 53 days is smaller, thus better.