Description

The Conservative Strategy of strategies invests only in unleveraged strategies. It also does not invest in single stock strategies as they have a higher risk than index strategies. The strategy selects the top 3 strategies of the following 5 strategies:
- Bond Rotation Strategy
- Global Market Rotation Strategy
- US Market Strategy
- World Country Top 4 Strategy
- Hedge Strategy

During volatile market periods, the strategy will invest with 1/3 also in the Hedge Strategy in addition to the other strategies which are already hedged. The total hedge can this way go up to 74% which makes this strategy very safe. 

Statistics (YTD)

What do these metrics mean? [Read More] [Hide]

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.'

Which means for our asset as example:
  • The total return, or performance over 5 years of Conservative Strategy is 69.8%, which is greater, thus better compared to the benchmark SPY (58.9%) in the same period.
  • Compared with SPY (33.9%) in the period of the last 3 years, the total return, or performance of 43.1% is higher, thus better.

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (9.7%) in the period of the last 5 years, the annual performance (CAGR) of 11.2% of Conservative Strategy is larger, thus better.
  • During the last 3 years, the annual return (CAGR) is 12.7%, which is larger, thus better than the value of 10.2% from the benchmark.

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.'

Which means for our asset as example:
  • Looking at the 30 days standard deviation of 7.5% in the last 5 years of Conservative Strategy, we see it is relatively lower, thus better in comparison to the benchmark SPY (21.6%)
  • Compared with SPY (25%) in the period of the last 3 years, the historical 30 days volatility of 8.7% is smaller, thus better.

DownVol:

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

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (15.7%) in the period of the last 5 years, the downside volatility of 5.5% of Conservative Strategy is lower, thus better.
  • During the last 3 years, the downside risk is 6.4%, which is smaller, thus better than the value of 18.1% 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.'

Which means for our asset as example:
  • Looking at the ratio of return and volatility (Sharpe) of 1.15 in the last 5 years of Conservative Strategy, we see it is relatively larger, thus better in comparison to the benchmark SPY (0.33)
  • During the last 3 years, the ratio of return and volatility (Sharpe) is 1.17, which is higher, thus better than the value of 0.31 from the benchmark.

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (0.46) in the period of the last 5 years, the excess return divided by the downside deviation of 1.58 of Conservative Strategy is greater, thus better.
  • Looking at downside risk / excess return profile in of 1.59 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (0.43).

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.'

Applying this definition to our asset in some examples:
  • The Ulcer Index over 5 years of Conservative Strategy is 2.32 , which is lower, thus better compared to the benchmark SPY (8.91 ) in the same period.
  • During the last 3 years, the Downside risk index is 2.77 , which is smaller, thus better than the value of 11 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.'

Applying this definition to our asset in some examples:
  • The maximum drop from peak to valley over 5 years of Conservative Strategy is -17 days, which is greater, thus better compared to the benchmark SPY (-33.7 days) in the same period.
  • Looking at maximum drop from peak to valley in of -17 days in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (-33.7 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.'

Applying this definition to our asset in some examples:
  • Looking at the maximum days below previous high of 227 days in the last 5 years of Conservative Strategy, we see it is relatively lower, thus better in comparison to the benchmark SPY (271 days)
  • During the last 3 years, the maximum days below previous high is 227 days, which is smaller, thus better than the value of 271 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.'

Using this definition on our asset we see for example:
  • Looking at the average days under water of 43 days in the last 5 years of Conservative Strategy, we see it is relatively smaller, thus better in comparison to the benchmark SPY (60 days)
  • Looking at average time in days below previous high water mark in of 54 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (72 days).

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations ()

Allocations

Returns (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of Conservative Strategy are hypothetical, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.