A sub-strategy for the U.S. Sector strategy.

See the main US Sector strategy for a detailed asset description.

'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.'

Which means for our asset as example:- Compared with the benchmark SPY (122.1%) in the period of the last 5 years, the total return, or performance of 56.8% of US Sectors Balanced Sub-strategy is smaller, thus worse.
- Compared with SPY (64.6%) in the period of the last 3 years, the total return, or performance of 24.2% is lower, thus worse.

'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:- The annual performance (CAGR) over 5 years of US Sectors Balanced Sub-strategy is 9.4%, which is smaller, thus worse compared to the benchmark SPY (17.3%) in the same period.
- Looking at annual performance (CAGR) in of 7.5% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (18.1%).

'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.'

Applying this definition to our asset in some examples:- The 30 days standard deviation over 5 years of US Sectors Balanced Sub-strategy is 16.2%, which is smaller, thus better compared to the benchmark SPY (18.7%) in the same period.
- Compared with SPY (22.5%) in the period of the last 3 years, the volatility of 19.4% is lower, thus better.

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

Applying this definition to our asset in some examples:- Looking at the downside deviation of 11.4% in the last 5 years of US Sectors Balanced Sub-strategy, we see it is relatively lower, thus better in comparison to the benchmark SPY (13.6%)
- During the last 3 years, the downside risk is 13.7%, which is lower, thus better than the value of 16.4% from the benchmark.

'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.'

Using this definition on our asset we see for example:- Looking at the Sharpe Ratio of 0.43 in the last 5 years of US Sectors Balanced Sub-strategy, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.79)
- During the last 3 years, the risk / return profile (Sharpe) is 0.26, which is lower, thus worse than the value of 0.69 from the benchmark.

'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.'

Applying this definition to our asset in some examples:- The ratio of annual return and downside deviation over 5 years of US Sectors Balanced Sub-strategy is 0.61, which is lower, thus worse compared to the benchmark SPY (1.09) in the same period.
- Compared with SPY (0.95) in the period of the last 3 years, the downside risk / excess return profile of 0.37 is smaller, thus worse.

'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.'

Which means for our asset as example:- The Ulcer Ratio over 5 years of US Sectors Balanced Sub-strategy is 5.37 , which is lower, thus better compared to the benchmark SPY (5.58 ) in the same period.
- During the last 3 years, the Ulcer Index is 6.53 , which is smaller, thus better than the value of 6.83 from the benchmark.

'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.'

Using this definition on our asset we see for example:- The maximum reduction from previous high over 5 years of US Sectors Balanced Sub-strategy is -29.2 days, which is larger, thus better compared to the benchmark SPY (-33.7 days) in the same period.
- Looking at maximum reduction from previous high in of -29.2 days in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (-33.7 days).

'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'

Which means for our asset as example:- Looking at the maximum days below previous high of 299 days in the last 5 years of US Sectors Balanced Sub-strategy, we see it is relatively higher, thus worse in comparison to the benchmark SPY (139 days)
- During the last 3 years, the maximum days below previous high is 299 days, which is larger, thus worse than the value of 139 days from the benchmark.

'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 (33 days) in the period of the last 5 years, the average days under water of 66 days of US Sectors Balanced Sub-strategy is larger, thus worse.
- Looking at average time in days below previous high water mark in of 77 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (35 days).

Historical returns have been extended using synthetic data.
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- Note that yearly returns do not equal the sum of monthly returns due to compounding.
- Performance results of US Sectors Balanced Sub-strategy 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.