Description of The US Market Strategy undhedged

Statistics of The US Market Strategy undhedged (YTD)

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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:
  • Compared with the benchmark SPY (68.2%) in the period of the last 5 years, the total return, or increase in value of 141% of The US Market Strategy undhedged is higher, thus better.
  • Compared with SPY (47.7%) in the period of the last 3 years, the total return, or performance of 89.4% is greater, thus better.

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 return (CAGR) over 5 years of The US Market Strategy undhedged is 19.3%, which is higher, thus better compared to the benchmark SPY (11%) in the same period.
  • Looking at compounded annual growth rate (CAGR) in of 23.7% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (13.9%).

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:
  • The historical 30 days volatility over 5 years of The US Market Strategy undhedged is 13.2%, which is greater, thus worse compared to the benchmark SPY (13.2%) in the same period.
  • During the last 3 years, the volatility is 12.5%, which is higher, thus worse than the value of 12.4% 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.'

Using this definition on our asset we see for example:
  • The downside risk over 5 years of The US Market Strategy undhedged is 14.7%, which is higher, thus worse compared to the benchmark SPY (14.6%) in the same period.
  • Looking at downside volatility in of 14% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (14%).

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (0.64) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 1.27 of The US Market Strategy undhedged is larger, thus better.
  • During the last 3 years, the ratio of return and volatility (Sharpe) is 1.7, which is higher, thus better than the value of 0.92 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 The US Market Strategy undhedged is 1.14, which is greater, thus better compared to the benchmark SPY (0.58) in the same period.
  • During the last 3 years, the ratio of annual return and downside deviation is 1.52, which is higher, thus better than the value of 0.81 from the benchmark.

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (3.95 ) in the period of the last 5 years, the Downside risk index of 2.88 of The US Market Strategy undhedged is lower, thus worse.
  • Looking at Downside risk index in of 2.58 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (4 ).

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.'

Applying this definition to our asset in some examples:
  • Looking at the maximum DrawDown of -13.9 days in the last 5 years of The US Market Strategy undhedged, we see it is relatively greater, thus better in comparison to the benchmark SPY (-19.3 days)
  • During the last 3 years, the maximum DrawDown is -12.8 days, which is greater, thus better than the value of -19.3 days from the benchmark.

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 days under water of 105 days in the last 5 years of The US Market Strategy undhedged, we see it is relatively lower, thus better in comparison to the benchmark SPY (187 days)
  • Looking at maximum time in days below previous high water mark in of 105 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (131 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.'

Using this definition on our asset we see for example:
  • Looking at the average days below previous high of 19 days in the last 5 years of The US Market Strategy undhedged, we see it is relatively smaller, thus better in comparison to the benchmark SPY (39 days)
  • Compared with SPY (33 days) in the period of the last 3 years, the average time in days below previous high water mark of 19 days is smaller, thus better.

Performance of The US Market Strategy undhedged (YTD)

Historical returns have been extended using synthetic data.

Allocations of The US Market Strategy undhedged
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Allocations

Returns of The US Market Strategy undhedged (%)

  • "Year" returns in the table above are not equal to the sum of monthly returns due to compounding.
  • Performance results of The US Market Strategy undhedged 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.