US Sectors Long Lookback Sub-strategy

TotalReturn:

'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.'

• Compared with the benchmark SPY (72.2%) in the period of the last 5 years, the total return, or increase in value of 59.9% of US Sectors Long Lookback Sub-strategy is lower, thus worse.
• Looking at total return, or increase in value in of 26.6% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (79.9%).

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 Sectors Long Lookback Sub-strategy is 9.9%, which is smaller, thus worse compared to the benchmark SPY (11.5%) in the same period.
• During the last 3 years, the compounded annual growth rate (CAGR) is 8.2%, which is lower, thus worse than the value of 21.8% from the benchmark.

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.'

• Looking at the historical 30 days volatility of 25.1% in the last 5 years of US Sectors Long Lookback Sub-strategy, we see it is relatively larger, thus worse in comparison to the benchmark SPY (17.3%)
• Looking at 30 days standard deviation in of 22.6% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (15.5%).

DownVol:

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

• Compared with the benchmark SPY (12%) in the period of the last 5 years, the downside volatility of 18.2% of US Sectors Long Lookback Sub-strategy is larger, thus worse.
• Looking at downside deviation in of 16.7% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (10.4%).

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.'

• Compared with the benchmark SPY (0.52) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.29 of US Sectors Long Lookback Sub-strategy is smaller, thus worse.
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.25, which is lower, thus worse than the value of 1.25 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.'

• The ratio of annual return and downside deviation over 5 years of US Sectors Long Lookback Sub-strategy is 0.41, which is lower, thus worse compared to the benchmark SPY (0.75) in the same period.
• During the last 3 years, the ratio of annual return and downside deviation is 0.34, which is lower, thus worse than the value of 1.85 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.'

• The Downside risk index over 5 years of US Sectors Long Lookback Sub-strategy is 11 , which is greater, thus worse compared to the benchmark SPY (8.46 ) in the same period.
• Compared with SPY (3.22 ) in the period of the last 3 years, the Ulcer Ratio of 9.69 is greater, thus worse.

MaxDD:

'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.'

• Looking at the maximum drop from peak to valley of -28.7 days in the last 5 years of US Sectors Long Lookback Sub-strategy, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (-24.5 days)
• Looking at maximum reduction from previous high in of -28.7 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (-18.8 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). 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'

• The maximum days under water over 5 years of US Sectors Long Lookback Sub-strategy is 300 days, which is lower, thus better compared to the benchmark SPY (488 days) in the same period.
• Looking at maximum days under water in of 300 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (87 days).

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.'

• The average time in days below previous high water mark over 5 years of US Sectors Long Lookback Sub-strategy is 96 days, which is lower, thus better compared to the benchmark SPY (117 days) in the same period.
• Looking at average time in days below previous high water mark in of 90 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (17 days).