US Sectors Long Lookback Sub-strategy

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.'

• Looking at the total return of 226.2% in the last 5 years of US Sectors Long Lookback Sub-strategy, we see it is relatively larger, thus better in comparison to the benchmark SPY (98.3%)
• Compared with SPY (27.2%) in the period of the last 3 years, the total return, or increase in value of 96.8% is greater, thus better.

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.'

• Compared with the benchmark SPY (14.7%) in the period of the last 5 years, the annual return (CAGR) of 26.7% of US Sectors Long Lookback Sub-strategy is larger, thus better.
• Looking at annual performance (CAGR) in of 25.4% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (8.4%).

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 volatility of 28.3% 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 (20.9%)
• During the last 3 years, the historical 30 days volatility is 25.9%, which is higher, thus worse than the value of 17.7% from the benchmark.

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 (14.9%) in the period of the last 5 years, the downside deviation of 19.9% of US Sectors Long Lookback Sub-strategy is higher, thus worse.
• During the last 3 years, the downside risk is 18.1%, which is greater, thus worse than the value of 12.4% from the benchmark.

Sharpe:

'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.'

• The ratio of return and volatility (Sharpe) over 5 years of US Sectors Long Lookback Sub-strategy is 0.86, which is greater, thus better compared to the benchmark SPY (0.58) in the same period.
• Compared with SPY (0.33) in the period of the last 3 years, the Sharpe Ratio of 0.89 is greater, 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.'

• The ratio of annual return and downside deviation over 5 years of US Sectors Long Lookback Sub-strategy is 1.22, which is higher, thus better compared to the benchmark SPY (0.82) in the same period.
• Looking at ratio of annual return and downside deviation in of 1.26 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (0.47).

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 9.32 , which is larger, thus worse compared to the benchmark SPY (9.32 ) in the same period.
• During the last 3 years, the Ulcer Ratio is 10 , which is greater, thus worse than the value of 10 from the benchmark.

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.'

• The maximum DrawDown over 5 years of US Sectors Long Lookback Sub-strategy is -31.2 days, which is higher, thus better compared to the benchmark SPY (-33.7 days) in the same period.
• During the last 3 years, the maximum DrawDown is -26.1 days, which is lower, thus worse than the value of -24.5 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.'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days below previous high of 294 days of US Sectors Long Lookback Sub-strategy is lower, thus better.
• 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.

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.'

• Compared with the benchmark SPY (123 days) in the period of the last 5 years, the average time in days below previous high water mark of 58 days of US Sectors Long Lookback Sub-strategy is lower, thus better.
• During the last 3 years, the average days under water is 78 days, which is lower, thus better than the value of 177 days from the benchmark.