Description

The Global Sector Rotation Strategy (GSRS) provides a good diversification to our other strategies. The strategy invests in the top two performing global sectors. Global sector ETFs often display well-defined, long lasting, up or down trends which makes them a good fit rotation strategies. Another advantage of sector rotation strategies is that even in sideways markets, there are often still individual sectors that are performing well.

This strategy consists of three sub-strategies: GSRS aggressive , GSRS low-volatility and the HEDGE sub-strategies.

Methodology & Assets
  • CUT - Guggenheim Beacon Global Timber Equities
  • KXI - iShares S&P Global Consumer Staples
  • EXI - iShares S&P Global Industrials
  • LIT - Global X Solactive Lithium Index
  • FAN - First Trust ISE Global Wind Energy
  • MOO - Market Vectors Agribusiness
  • NLR - Market Vectors Nuclear Energy
  • GNR - SPDR S&P Global Natural Resources
  • PIO - PowerShares Palisades Global Water
  • GURU - Global X Top Guru Holdings
  • PKW - PowerShares Buyback Achievers
  • IGF - iShares S&P Global Infrastructure Index
  • REMX - Market Vectors Rare Earth Strategic Metals
  • IXC - iShares S&P Global Energy Sector Index
  • RWX - SPDR DJ International Real Estate
  • IXG - iShares S&P Global Financials
  • RXI - iShares S&P Global Consumer Discretionary
  • IXJ - iShares S&P Global Healthcare Sector
  • SEA - Guggenheim Delta Global Shipping Index
  • IXN - iShares S&P Global Technology
  • SLX - Market Vectors Global Steel
  • IXP - iShares S&P Global Telecom Sector
  • SOIL - GlobalX Solactive Fertilizers-Potash
  • KOL - Market Vectors Global Coal
  • TAN - Guggenheim MAC Global Solar Energy
  • FPX - First Trust US IPO ETF
  • JXI - iShares Global Utilities

Statistics (YTD)

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

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.'

Applying this definition to our asset in some examples:
  • Looking at the total return, or increase in value of 106.2% in the last 5 years of Global Sector Rotation Strategy, we see it is relatively larger, thus better in comparison to the benchmark ACWI (63%)
  • During the last 3 years, the total return, or performance is 11.4%, which is lower, thus worse than the value of 17.1% from the benchmark.

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.'

Using this definition on our asset we see for example:
  • The annual performance (CAGR) over 5 years of Global Sector Rotation Strategy is 15.6%, which is larger, thus better compared to the benchmark ACWI (10.3%) in the same period.
  • Looking at annual performance (CAGR) in of 3.7% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to ACWI (5.4%).

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.'

Applying this definition to our asset in some examples:
  • Looking at the historical 30 days volatility of 9.4% in the last 5 years of Global Sector Rotation Strategy, we see it is relatively lower, thus better in comparison to the benchmark ACWI (19.9%)
  • Compared with ACWI (16.3%) in the period of the last 3 years, the volatility of 6.2% is lower, thus better.

DownVol:

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

Using this definition on our asset we see for example:
  • Looking at the downside volatility of 6.6% in the last 5 years of Global Sector Rotation Strategy, we see it is relatively smaller, thus better in comparison to the benchmark ACWI (14.5%)
  • Looking at downside deviation in of 4.5% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to ACWI (11.4%).

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark ACWI (0.39) in the period of the last 5 years, the Sharpe Ratio of 1.4 of Global Sector Rotation Strategy is larger, thus better.
  • During the last 3 years, the risk / return profile (Sharpe) is 0.19, which is higher, thus better than the value of 0.18 from the benchmark.

Sortino:

'The Sortino ratio improves upon the Sharpe ratio by isolating downside volatility from total volatility by dividing excess return by the downside deviation. The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative asset returns, called downside deviation. The Sortino ratio takes the asset's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. The ratio was named after Frank A. Sortino.'

Which means for our asset as example:
  • Compared with the benchmark ACWI (0.54) in the period of the last 5 years, the excess return divided by the downside deviation of 1.98 of Global Sector Rotation Strategy is larger, thus better.
  • Looking at ratio of annual return and downside deviation in of 0.26 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to ACWI (0.26).

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:
  • Compared with the benchmark ACWI (9.95 ) in the period of the last 5 years, the Ulcer Ratio of 3.63 of Global Sector Rotation Strategy is smaller, thus better.
  • Compared with ACWI (11 ) in the period of the last 3 years, the Downside risk index of 3.91 is smaller, thus better.

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark ACWI (-33.5 days) in the period of the last 5 years, the maximum reduction from previous high of -16.8 days of Global Sector Rotation Strategy is greater, thus better.
  • During the last 3 years, the maximum drop from peak to valley is -9.2 days, which is greater, thus better than the value of -26.4 days from the benchmark.

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.'

Using this definition on our asset we see for example:
  • Looking at the maximum days below previous high of 463 days in the last 5 years of Global Sector Rotation Strategy, we see it is relatively lower, thus better in comparison to the benchmark ACWI (516 days)
  • During the last 3 years, the maximum days under water is 463 days, which is lower, thus better than the value of 516 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:
  • Compared with the benchmark ACWI (133 days) in the period of the last 5 years, the average time in days below previous high water mark of 113 days of Global Sector Rotation Strategy is lower, thus better.
  • Looking at average days under water in of 164 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to ACWI (194 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 Global Sector Rotation 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.