US Market Strategy

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

• The total return over 5 years of US Market Strategy is 79.7%, which is greater, thus better compared to the benchmark DIA (57.9%) in the same period.
• Compared with DIA (53%) in the period of the last 3 years, the total return, or performance of 60.8% 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.'

• The compounded annual growth rate (CAGR) over 5 years of US Market Strategy is 12.5%, which is larger, thus better compared to the benchmark DIA (9.6%) in the same period.
• Compared with DIA (15.3%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 17.2% is larger, thus better.

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.'

• Compared with the benchmark DIA (14.8%) in the period of the last 5 years, the volatility of 8% of US Market Strategy is lower, thus better.
• During the last 3 years, the 30 days standard deviation is 8.4%, which is smaller, thus better than the value of 13.5% 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 DIA (10.2%) in the period of the last 5 years, the downside risk of 5.5% of US Market Strategy is lower, thus better.
• Compared with DIA (8.9%) in the period of the last 3 years, the downside risk of 5.8% is lower, thus better.

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• Looking at the risk / return profile (Sharpe) of 1.25 in the last 5 years of US Market Strategy, we see it is relatively greater, thus better in comparison to the benchmark DIA (0.48)
• During the last 3 years, the ratio of return and volatility (Sharpe) is 1.76, which is greater, thus better than the value of 0.95 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.'

• The ratio of annual return and downside deviation over 5 years of US Market Strategy is 1.8, which is greater, thus better compared to the benchmark DIA (0.7) in the same period.
• Looking at excess return divided by the downside deviation in of 2.54 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to DIA (1.43).

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.'

• Looking at the Ulcer Ratio of 2.57 in the last 5 years of US Market Strategy, we see it is relatively lower, thus better in comparison to the benchmark DIA (6.01 )
• Compared with DIA (3.54 ) in the period of the last 3 years, the Ulcer Ratio of 1.65 is smaller, 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.'

• The maximum reduction from previous high over 5 years of US Market Strategy is -9.2 days, which is larger, thus better compared to the benchmark DIA (-20.8 days) in the same period.
• Compared with DIA (-16 days) in the period of the last 3 years, the maximum reduction from previous high of -6.8 days is larger, thus better.

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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

• The maximum days under water over 5 years of US Market Strategy is 261 days, which is smaller, thus better compared to the benchmark DIA (477 days) in the same period.
• Compared with DIA (142 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 77 days is smaller, thus better.

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.'

• The average time in days below previous high water mark over 5 years of US Market Strategy is 47 days, which is lower, thus better compared to the benchmark DIA (115 days) in the same period.
• Looking at average days below previous high in of 15 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to DIA (28 days).