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.

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.'

Which means for our asset as example:- Looking at the total return, or increase in value of 241.6% 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 (103.4%)
- During the last 3 years, the total return, or increase in value is 75%, which is higher, thus better than the value of 33.4% from the benchmark.

'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.'

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 compounded annual growth rate (CAGR) of 27.9% of US Sectors Long Lookback Sub-strategy is greater, thus better.
- During the last 3 years, the annual return (CAGR) is 20.5%, which is greater, thus better than the value of 10.1% 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:- Looking at the historical 30 days volatility of 28% in the last 5 years of US Sectors Long Lookback Sub-strategy, we see it is relatively higher, thus worse in comparison to the benchmark SPY (20.9%)
- Looking at 30 days standard deviation in of 26.2% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (17.3%).

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. Risk measures typically quantify the downside risk, whereas the standard deviation (an example of a deviation risk measure) measures both the upside and downside risk. Specifically, downside risk in our definition is the semi-deviation, that is the standard deviation of all negative returns.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (14.9%) in the period of the last 5 years, the downside deviation of 19.6% of US Sectors Long Lookback Sub-strategy is greater, thus worse.
- Compared with SPY (12.1%) in the period of the last 3 years, the downside volatility of 18.3% is greater, thus worse.

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (0.61) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.91 of US Sectors Long Lookback Sub-strategy is higher, thus better.
- Compared with SPY (0.44) in the period of the last 3 years, the Sharpe Ratio of 0.69 is greater, thus better.

'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.'

Using this definition on our asset we see for example:- The downside risk / excess return profile over 5 years of US Sectors Long Lookback Sub-strategy is 1.3, which is larger, thus better compared to the benchmark SPY (0.85) in the same period.
- Looking at ratio of annual return and downside deviation in of 0.98 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (0.63).

'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:- The Ulcer Ratio over 5 years of US Sectors Long Lookback Sub-strategy is 9.22 , which is lower, thus better compared to the benchmark SPY (9.32 ) in the same period.
- Compared with SPY (10 ) in the period of the last 3 years, the Ulcer Ratio of 10 is greater, thus worse.

'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.'

Which means for our asset as example:- Looking at the maximum drop from peak to valley 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)
- During the last 3 years, the maximum DrawDown is -26.1 days, which is smaller, thus worse than the value of -24.5 days from the benchmark.

'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.'

Using this definition on our asset we see for example:- Looking at the maximum days below previous high of 294 days in the last 5 years of US Sectors Long Lookback Sub-strategy, we see it is relatively lower, thus better in comparison to the benchmark SPY (488 days)
- Compared with SPY (488 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 294 days is smaller, thus better.

'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.'

Which means for our asset as example:- Looking at the average days under water of 58 days in the last 5 years of US Sectors Long Lookback Sub-strategy, we see it is relatively lower, thus better in comparison to the benchmark SPY (123 days)
- Looking at average time in days below previous high water mark in of 78 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (180 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 Long Lookback Sub-strategy are hypothetical and do not account for slippage, fees or taxes.
- Results may be based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.