Statistics (YTD)

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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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (75.6%) in the period of the last 5 years, the total return, or increase in value of 143.7% of US Market Strategy Unhedged is larger, thus better.
  • During the last 3 years, the total return, or increase in value is 61.8%, which is higher, thus better than the value of 40% 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.'

Applying this definition to our asset in some examples:
  • Looking at the annual return (CAGR) of 19.5% in the last 5 years of US Market Strategy Unhedged, we see it is relatively larger, thus better in comparison to the benchmark SPY (11.9%)
  • Looking at compounded annual growth rate (CAGR) in of 17.4% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (11.9%).

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (20.3%) in the period of the last 5 years, the volatility of 20.2% of US Market Strategy Unhedged is lower, thus better.
  • Looking at historical 30 days volatility in of 23.4% 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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (14.9%) in the period of the last 5 years, the downside deviation of 14.4% of US Market Strategy Unhedged is lower, thus better.
  • Looking at downside deviation in of 16.7% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (17.3%).

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:
  • The ratio of return and volatility (Sharpe) over 5 years of US Market Strategy Unhedged is 0.85, which is greater, thus better compared to the benchmark SPY (0.46) in the same period.
  • During the last 3 years, the risk / return profile (Sharpe) is 0.64, which is larger, thus better 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 downside risk / excess return profile over 5 years of US Market Strategy Unhedged is 1.18, which is greater, thus better compared to the benchmark SPY (0.63) in the same period.
  • During the last 3 years, the excess return divided by the downside deviation is 0.89, which is larger, thus better than the value of 0.54 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.'

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 Ratio of 5.47 of US Market Strategy Unhedged is lower, thus better.
  • Looking at Downside risk index in of 6.48 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (7.55 ).

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum drop from peak to valley of -28.6 days of US Market Strategy Unhedged is greater, thus better.
  • During the last 3 years, the maximum reduction from previous high is -28.6 days, which is greater, thus better than the value of -33.7 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.'

Which means for our asset as example:
  • Looking at the maximum days below previous high of 147 days in the last 5 years of US Market Strategy Unhedged, we see it is relatively larger, thus worse in comparison to the benchmark SPY (139 days)
  • During the last 3 years, the maximum days below previous high is 147 days, which is higher, thus worse than the value of 120 days from the benchmark.

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:
  • Compared with the benchmark SPY (37 days) in the period of the last 5 years, the average days under water of 31 days of US Market Strategy Unhedged is lower, thus better.
  • Looking at average time in days below previous high water mark in of 32 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 US Market Strategy Unhedged 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.