US Sector Rotation 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.'

• Compared with the benchmark SPY (84.3%) in the period of the last 5 years, the total return, or performance of 61.3% of US Sector Rotation Strategy is lower, thus worse.
• Looking at total return, or increase in value in of 26.7% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (37.3%).

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 Sector Rotation Strategy is 10%, which is lower, thus worse compared to the benchmark SPY (13%) in the same period.
• Looking at annual performance (CAGR) in of 8.2% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (11.1%).

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.'

• The volatility over 5 years of US Sector Rotation Strategy is 9.6%, which is lower, thus better compared to the benchmark SPY (18.8%) in the same period.
• During the last 3 years, the historical 30 days volatility is 11.3%, which is smaller, thus better than the value of 22.3% from the benchmark.

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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 SPY (13.7%) in the period of the last 5 years, the downside risk of 6.7% of US Sector Rotation Strategy is smaller, thus better.
• During the last 3 years, the downside deviation is 8%, which is lower, thus better than the value of 16.5% from the benchmark.

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.'

• Compared with the benchmark SPY (0.56) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.79 of US Sector Rotation Strategy is higher, thus better.
• During the last 3 years, the risk / return profile (Sharpe) is 0.51, which is greater, thus better than the value of 0.39 from the benchmark.

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

• Looking at the excess return divided by the downside deviation of 1.12 in the last 5 years of US Sector Rotation Strategy, we see it is relatively greater, thus better in comparison to the benchmark SPY (0.77)
• Looking at ratio of annual return and downside deviation in of 0.71 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (0.52).

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

• Compared with the benchmark SPY (5.78 ) in the period of the last 5 years, the Ulcer Index of 2.8 of US Sector Rotation Strategy is smaller, thus better.
• Looking at Ulcer Ratio in of 3.19 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (7.08 ).

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.'

• Looking at the maximum drop from peak to valley of -18.5 days in the last 5 years of US Sector Rotation Strategy, we see it is relatively larger, thus better in comparison to the benchmark SPY (-33.7 days)
• Looking at maximum drop from peak to valley in of -18.5 days in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (-33.7 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.'

• Compared with the benchmark SPY (139 days) in the period of the last 5 years, the maximum days under water of 174 days of US Sector Rotation Strategy is larger, thus worse.
• During the last 3 years, the maximum days under water is 174 days, which is larger, thus worse than the value of 139 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.'

• Looking at the average days under water of 44 days in the last 5 years of US Sector Rotation Strategy, we see it is relatively higher, thus worse in comparison to the benchmark SPY (37 days)
• Looking at average days below previous high in of 38 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (45 days).