US Sectors Long Lookback Sub-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 (57.1%) in the period of the last 5 years, the total return of 152.4% of US Sectors Long Lookback Sub-strategy is higher, thus better.
• Looking at total return in of 65.4% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (32%).

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.'

• Looking at the compounded annual growth rate (CAGR) of 20.4% in the last 5 years of US Sectors Long Lookback Sub-strategy, we see it is relatively greater, thus better in comparison to the benchmark SPY (9.5%)
• Looking at annual return (CAGR) in of 18.3% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (9.7%).

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• Compared with the benchmark SPY (21.5%) in the period of the last 5 years, the historical 30 days volatility of 28% of US Sectors Long Lookback Sub-strategy is greater, thus worse.
• Compared with SPY (17.9%) in the period of the last 3 years, the 30 days standard deviation of 26.8% is larger, thus worse.

DownVol:

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

• Looking at the downside volatility of 19.8% in the last 5 years of US Sectors Long Lookback Sub-strategy, we see it is relatively greater, thus worse in comparison to the benchmark SPY (15.5%)
• Looking at downside deviation in of 18.8% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (12.5%).

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 (0.32) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.64 of US Sectors Long Lookback Sub-strategy is larger, thus better.
• Compared with SPY (0.41) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.59 is higher, thus better.

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.'

• Compared with the benchmark SPY (0.45) in the period of the last 5 years, the downside risk / excess return profile of 0.9 of US Sectors Long Lookback Sub-strategy is larger, thus better.
• Compared with SPY (0.58) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.84 is greater, thus better.

Ulcer:

'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.'

• The Downside risk index over 5 years of US Sectors Long Lookback Sub-strategy is 8.99 , which is smaller, thus better compared to the benchmark SPY (9.57 ) in the same period.
• Looking at Ulcer Ratio in of 9.94 in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (10 ).

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 DrawDown of -31.2 days in the last 5 years of US Sectors Long Lookback Sub-strategy, we see it is relatively greater, thus better in comparison to the benchmark SPY (-33.7 days)
• Looking at maximum drop from peak to valley in of -26.1 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (-24.5 days).

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.'

• Looking at the maximum days below previous high of 220 days in the last 5 years of US Sectors Long Lookback Sub-strategy, we see it is relatively smaller, thus better in comparison to the benchmark SPY (439 days)
• Looking at maximum days under water in of 220 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (439 days).

AveDuration:

'The Average 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. 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.'

• Compared with the benchmark SPY (106 days) in the period of the last 5 years, the average days under water of 50 days of US Sectors Long Lookback Sub-strategy is lower, thus better.
• Looking at average time in days below previous high water mark in of 54 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (149 days).