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

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

'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.'

Using this definition on our asset we see for example:- Looking at the total return, or performance of 181.7% in the last 5 years of US Sectors Balanced Sub-strategy, we see it is relatively higher, thus better in comparison to the benchmark SPY (80.1%)
- During the last 3 years, the total return, or increase in value is 42.6%, which is higher, thus better than the value of 30.8% from the benchmark.

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (12.5%) in the period of the last 5 years, the annual return (CAGR) of 23.1% of US Sectors Balanced Sub-strategy is larger, thus better.
- During the last 3 years, the annual return (CAGR) is 12.6%, which is higher, thus better than the value of 9.4% from the benchmark.

'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.'

Using this definition on our asset we see for example:- The historical 30 days volatility over 5 years of US Sectors Balanced Sub-strategy is 23.7%, which is greater, thus worse compared to the benchmark SPY (21.3%) in the same period.
- Compared with SPY (17.6%) in the period of the last 3 years, the volatility of 22% is higher, thus worse.

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

Using this definition on our asset we see for example:- Compared with the benchmark SPY (15.3%) in the period of the last 5 years, the downside volatility of 16.7% of US Sectors Balanced Sub-strategy is higher, thus worse.
- Looking at downside deviation in of 15.9% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (12.3%).

'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 (0.47) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.87 of US Sectors Balanced Sub-strategy is larger, thus better.
- Looking at ratio of return and volatility (Sharpe) in of 0.46 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (0.39).

'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.'

Using this definition on our asset we see for example:- The downside risk / excess return profile over 5 years of US Sectors Balanced Sub-strategy is 1.23, which is larger, thus better compared to the benchmark SPY (0.66) in the same period.
- Looking at ratio of annual return and downside deviation in of 0.63 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (0.56).

'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.'

Applying this definition to our asset in some examples:- Looking at the Ulcer Index of 10 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 (9.43 )
- Looking at Ulcer Index in of 12 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (10 ).

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum reduction from previous high of -28.9 days of US Sectors Balanced Sub-strategy is higher, thus better.
- Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum drop from peak to valley of -26.5 days is lower, thus worse.

'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:- The maximum days below previous high over 5 years of US Sectors Balanced Sub-strategy is 370 days, which is lower, thus better compared to the benchmark SPY (478 days) in the same period.
- Compared with SPY (478 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 370 days is lower, thus better.

'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:- Compared with the benchmark SPY (118 days) in the period of the last 5 years, the average days under water of 78 days of US Sectors Balanced Sub-strategy is lower, thus better.
- Compared with SPY (173 days) in the period of the last 3 years, the average time in days below previous high water mark of 113 days is lower, thus better.

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.