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.

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (121.2%) in the period of the last 5 years, the total return, or performance of 55% of US Sectors Long Lookback Sub-strategy is lower, thus worse.
- Looking at total return in of 19.9% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (67.5%).

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

Using this definition on our asset we see for example:- Looking at the compounded annual growth rate (CAGR) of 9.2% in the last 5 years of US Sectors Long Lookback Sub-strategy, we see it is relatively lower, thus worse in comparison to the benchmark SPY (17.2%)
- Compared with SPY (18.7%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 6.2% is smaller, thus worse.

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (18.7%) in the period of the last 5 years, the 30 days standard deviation of 19.2% of US Sectors Long Lookback Sub-strategy is higher, thus worse.
- During the last 3 years, the historical 30 days volatility is 22.7%, which is higher, thus worse than the value of 22.5% from the benchmark.

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

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (13.6%) in the period of the last 5 years, the downside risk of 13.7% of US Sectors Long Lookback Sub-strategy is larger, thus worse.
- During the last 3 years, the downside deviation is 16%, which is lower, thus better than the value of 16.3% from the benchmark.

'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:- The ratio of return and volatility (Sharpe) over 5 years of US Sectors Long Lookback Sub-strategy is 0.35, which is lower, thus worse compared to the benchmark SPY (0.79) in the same period.
- During the last 3 years, the risk / return profile (Sharpe) is 0.16, which is lower, thus worse than the value of 0.72 from the benchmark.

'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:- Compared with the benchmark SPY (1.08) in the period of the last 5 years, the excess return divided by the downside deviation of 0.49 of US Sectors Long Lookback Sub-strategy is lower, thus worse.
- Compared with SPY (1) in the period of the last 3 years, the downside risk / excess return profile of 0.23 is smaller, thus worse.

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

Using this definition on our asset we see for example:- The Downside risk index over 5 years of US Sectors Long Lookback Sub-strategy is 7 , which is greater, thus worse compared to the benchmark SPY (5.59 ) in the same period.
- Compared with SPY (6.83 ) in the period of the last 3 years, the Downside risk index of 8.55 is higher, 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.'

Using this definition on our asset we see for example:- The maximum drop from peak to valley over 5 years of US Sectors Long Lookback Sub-strategy is -36.1 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
- During the last 3 years, the maximum reduction from previous high is -36.1 days, which is lower, thus worse than the value of -33.7 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:- The maximum time in days below previous high water mark over 5 years of US Sectors Long Lookback Sub-strategy is 352 days, which is higher, thus worse compared to the benchmark SPY (139 days) in the same period.
- Looking at maximum days under water in of 352 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (139 days).

'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.'

Applying this definition to our asset in some examples:- Looking at the average days under water of 89 days 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 (33 days)
- Compared with SPY (35 days) in the period of the last 3 years, the average time in days below previous high water mark of 119 days is higher, thus worse.

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, 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.