US sectors mean reversion

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 (95%) in the period of the last 5 years, the total return of 65% of US sectors mean reversion is lower, thus worse.
• During the last 3 years, the total return, or performance is 15.5%, which is lower, thus worse than the value of 86.4% from the benchmark.

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.'

• Compared with the benchmark SPY (14.3%) in the period of the last 5 years, the annual return (CAGR) of 10.6% of US sectors mean reversion is smaller, thus worse.
• Looking at annual performance (CAGR) in of 4.9% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (23.2%).

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 22.6% in the last 5 years of US sectors mean reversion, we see it is relatively greater, thus worse in comparison to the benchmark SPY (17.1%)
• Compared with SPY (15.1%) in the period of the last 3 years, the 30 days standard deviation of 19.7% is greater, thus worse.

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 (11.7%) in the period of the last 5 years, the downside risk of 15.8% of US sectors mean reversion is greater, thus worse.
• During the last 3 years, the downside deviation is 13.7%, which is higher, thus worse than the value of 10.1% from the benchmark.

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• The risk / return profile (Sharpe) over 5 years of US sectors mean reversion is 0.36, which is smaller, thus worse compared to the benchmark SPY (0.69) in the same period.
• Looking at ratio of return and volatility (Sharpe) in of 0.12 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.37).

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 downside risk / excess return profile over 5 years of US sectors mean reversion is 0.51, which is lower, thus worse compared to the benchmark SPY (1.01) in the same period.
• Compared with SPY (2.06) in the period of the last 3 years, the excess return divided by the downside deviation of 0.18 is lower, thus worse.

Ulcer:

'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.'

• Compared with the benchmark SPY (8.45 ) in the period of the last 5 years, the Downside risk index of 9.62 of US sectors mean reversion is larger, thus worse.
• Compared with SPY (3.5 ) in the period of the last 3 years, the Downside risk index of 8.62 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 DrawDown of -26.1 days in the last 5 years of US sectors mean reversion, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (-24.5 days)
• During the last 3 years, the maximum reduction from previous high is -25.7 days, which is smaller, thus worse than the value of -18.8 days from the benchmark.

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) in days.'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days below previous high of 266 days of US sectors mean reversion is lower, thus better.
• Looking at maximum time in days below previous high water mark in of 265 days in the period of the last 3 years, we see it is relatively larger, 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 mean reversion is 90 days, which is lower, thus better compared to the benchmark SPY (120 days) in the same period.
• Looking at average days under water in of 94 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (20 days).