Description of US sectors long lookback

A sub-strategy for the U.S. Sector strategy. It looks at momentum using a long lookback period to catch longer term trends across U.S. sectors.

Methodology & Assets

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

Statistics of US sectors long lookback (YTD)

What do these metrics mean? [Read More] [Hide]

TotalReturn:

'The total return on a portfolio of investments takes into account not only the capital appreciation on the portfolio, but also the income received on the portfolio. The income typically consists of interest, dividends, and securities lending fees. This contrasts with the price return, which takes into account only the capital gain on an investment.'

Which means for our asset as example:
  • The total return, or performance over 5 years of US sectors long lookback is 80.2%, which is larger, thus better compared to the benchmark SPY (68.7%) in the same period.
  • During the last 3 years, the total return, or performance is 43.4%, which is lower, thus worse than the value of 47.9% from the benchmark.

CAGR:

'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 (11%) in the period of the last 5 years, the annual performance (CAGR) of 12.5% of US sectors long lookback is higher, thus better.
  • Compared with SPY (14%) in the period of the last 3 years, the annual return (CAGR) of 12.8% is lower, thus worse.

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.'

Which means for our asset as example:
  • Looking at the 30 days standard deviation of 13.4% in the last 5 years of US sectors long lookback, we see it is relatively larger, thus worse in comparison to the benchmark SPY (13.3%)
  • Compared with SPY (12.5%) in the period of the last 3 years, the historical 30 days volatility of 13.3% is larger, thus worse.

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:
  • Looking at the downside risk of 14.9% in the last 5 years of US sectors long lookback, we see it is relatively larger, thus worse in comparison to the benchmark SPY (14.6%)
  • Looking at downside deviation in of 15.3% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (14.2%).

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (0.64) in the period of the last 5 years, the Sharpe Ratio of 0.74 of US sectors long lookback is larger, thus better.
  • During the last 3 years, the risk / return profile (Sharpe) is 0.77, which is lower, thus worse than the value of 0.91 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.'

Applying this definition to our asset in some examples:
  • Looking at the ratio of annual return and downside deviation of 0.67 in the last 5 years of US sectors long lookback, we see it is relatively greater, thus better in comparison to the benchmark SPY (0.58)
  • Compared with SPY (0.81) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.67 is lower, thus worse.

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.'

Which means for our asset as example:
  • The Ulcer Index over 5 years of US sectors long lookback is 4.9 , which is greater, thus better compared to the benchmark SPY (3.96 ) in the same period.
  • Looking at Downside risk index in of 5.93 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (4.01 ).

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (-19.3 days) in the period of the last 5 years, the maximum drop from peak to valley of -22.4 days of US sectors long lookback is lower, thus worse.
  • During the last 3 years, the maximum DrawDown is -22.4 days, which is lower, thus worse than the value of -19.3 days from the benchmark.

MaxDuration:

'The Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (187 days) in the period of the last 5 years, the maximum days below previous high of 166 days of US sectors long lookback is lower, thus better.
  • Compared with SPY (139 days) in the period of the last 3 years, the maximum days under water of 166 days is higher, thus worse.

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.'

Which means for our asset as example:
  • The average days under water over 5 years of US sectors long lookback is 39 days, which is lower, thus better compared to the benchmark SPY (41 days) in the same period.
  • Compared with SPY (36 days) in the period of the last 3 years, the average time in days below previous high water mark of 49 days is greater, thus worse.

Performance of US sectors long lookback (YTD)

Historical returns have been extended using synthetic data.

Allocations of US sectors long lookback
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Allocations

Returns of US sectors long lookback (%)

  • "Year" returns in the table above are not equal to the sum of monthly returns due to compounding.
  • Performance results of US sectors long lookback 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.