US Market Strategy Unhedged

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.'

• Looking at the total return of 121% in the last 5 years of US Market Strategy Unhedged, we see it is relatively higher, thus better in comparison to the benchmark SPY (84.7%)
• Looking at total return, or performance in of 73.3% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (77.9%).

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.'

• Compared with the benchmark SPY (13.1%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 17.3% of US Market Strategy Unhedged is higher, thus better.
• During the last 3 years, the compounded annual growth rate (CAGR) is 20.2%, which is lower, thus worse than the value of 21.3% from the benchmark.

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

• Looking at the volatility of 16.9% in the last 5 years of US Market Strategy Unhedged, we see it is relatively smaller, thus better in comparison to the benchmark SPY (17.2%)
• During the last 3 years, the 30 days standard deviation is 16.2%, which is greater, thus worse than the value of 15.3% from the benchmark.

DownVol:

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

• Compared with the benchmark SPY (11.8%) in the period of the last 5 years, the downside volatility of 11.7% of US Market Strategy Unhedged is lower, thus better.
• Compared with SPY (10.3%) in the period of the last 3 years, the downside risk of 11.4% is greater, thus worse.

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.'

• Looking at the ratio of return and volatility (Sharpe) of 0.87 in the last 5 years of US Market Strategy Unhedged, we see it is relatively larger, thus better in comparison to the benchmark SPY (0.62)
• During the last 3 years, the risk / return profile (Sharpe) is 1.1, which is lower, thus worse than the value of 1.23 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.'

• Compared with the benchmark SPY (0.9) in the period of the last 5 years, the downside risk / excess return profile of 1.26 of US Market Strategy Unhedged is larger, thus better.
• During the last 3 years, the ratio of annual return and downside deviation is 1.56, which is lower, thus worse than the value of 1.83 from the benchmark.

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 Downside risk index of 5.81 in the last 5 years of US Market Strategy Unhedged, we see it is relatively lower, thus better in comparison to the benchmark SPY (8.46 )
• During the last 3 years, the Ulcer Index is 4.12 , which is larger, thus worse than the value of 3.52 from the benchmark.

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.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum drop from peak to valley of -20 days of US Market Strategy Unhedged is larger, thus better.
• Looking at maximum drop from peak to valley in of -13.8 days in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (-18.8 days).

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.'

• Looking at the maximum time in days below previous high water mark of 262 days in the last 5 years of US Market Strategy Unhedged, we see it is relatively smaller, thus better in comparison to the benchmark SPY (488 days)
• During the last 3 years, the maximum time in days below previous high water mark is 92 days, which is larger, thus worse than the value of 87 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.'

• The average days below previous high over 5 years of US Market Strategy Unhedged is 51 days, which is lower, thus better compared to the benchmark SPY (119 days) in the same period.
• Compared with SPY (21 days) in the period of the last 3 years, the average days under water of 27 days is higher, thus worse.