Description

This is the unhedged version of the Global Sector Rotation Strategy and is used as a sub-strategy. It picks on a monthly basis the top two performing global sectors.

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 59.5% in the last 5 years of GSRS Unhedged Sub-strategy, we see it is relatively lower, thus worse in comparison to the benchmark SPY (75.6%)
  • Looking at total return, or performance in of 22.1% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (40%).

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.'

Using this definition on our asset we see for example:
  • Looking at the compounded annual growth rate (CAGR) of 9.8% in the last 5 years of GSRS Unhedged Sub-strategy, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (11.9%)
  • During the last 3 years, the annual performance (CAGR) is 6.9%, which is lower, thus worse than the value of 11.9% from the benchmark.

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.'

Using this definition on our asset we see for example:
  • The 30 days standard deviation over 5 years of GSRS Unhedged Sub-strategy is 17.1%, which is lower, thus better compared to the benchmark SPY (20.3%) in the same period.
  • Looking at 30 days standard deviation in of 20.5% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (23.6%).

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:
  • The downside volatility over 5 years of GSRS Unhedged Sub-strategy is 13.2%, which is lower, thus better compared to the benchmark SPY (14.9%) in the same period.
  • Compared with SPY (17.3%) in the period of the last 3 years, the downside risk of 15.9% is lower, thus better.

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.'

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 ratio of return and volatility (Sharpe) of 0.43 of GSRS Unhedged Sub-strategy is lower, thus worse.
  • During the last 3 years, the ratio of return and volatility (Sharpe) is 0.21, which is lower, thus worse than the value of 0.4 from the benchmark.

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.'

Using this definition on our asset we see for example:
  • The excess return divided by the downside deviation over 5 years of GSRS Unhedged Sub-strategy is 0.56, which is lower, thus worse compared to the benchmark SPY (0.63) in the same period.
  • Looking at downside risk / excess return profile in of 0.27 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (6.62 ) in the period of the last 5 years, the Ulcer Index of 10 of GSRS Unhedged Sub-strategy is higher, thus worse.
  • During the last 3 years, the Ulcer Index is 13 , which is greater, thus worse than the value of 7.55 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.'

Using this definition on our asset we see for example:
  • Looking at the maximum reduction from previous high of -43.5 days in the last 5 years of GSRS Unhedged Sub-strategy, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (-33.7 days)
  • Looking at maximum reduction from previous high in of -43.5 days in the period of the last 3 years, we see it is relatively smaller, thus worse 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.'

Which means for our asset as example:
  • Looking at the maximum time in days below previous high water mark of 222 days in the last 5 years of GSRS Unhedged Sub-strategy, we see it is relatively higher, thus worse in comparison to the benchmark SPY (139 days)
  • Looking at maximum days below previous high in of 222 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (120 days).

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.'

Applying this definition to our asset in some examples:
  • The average days under water over 5 years of GSRS Unhedged Sub-strategy is 43 days, which is larger, thus worse compared to the benchmark SPY (37 days) in the same period.
  • Looking at average days under water in of 51 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (31 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 GSRS Unhedged Sub-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.