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.'

• Looking at the total return of 70.7% in the last 5 years of US sectors mean reversion, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (86.4%)
• Compared with SPY (82.3%) in the period of the last 3 years, the total return of 19% is smaller, thus worse.

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 11.3% in the last 5 years of US sectors mean reversion, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (13.3%)
• Looking at annual performance (CAGR) in of 6% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (22.3%).

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

• Compared with the benchmark SPY (17.1%) in the period of the last 5 years, the volatility of 22.5% of US sectors mean reversion is larger, thus worse.
• During the last 3 years, the volatility is 19.5%, which is higher, thus worse than the value of 15.1% 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 (11.8%) in the period of the last 5 years, the downside risk of 15.7% of US sectors mean reversion is higher, thus worse.
• During the last 3 years, the downside volatility is 13.5%, which is larger, thus worse than the value of 10.1% from the benchmark.

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.'

• The ratio of return and volatility (Sharpe) over 5 years of US sectors mean reversion is 0.39, which is lower, thus worse compared to the benchmark SPY (0.63) in the same period.
• Compared with SPY (1.31) in the period of the last 3 years, the Sharpe Ratio of 0.18 is smaller, thus worse.

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.'

• Looking at the excess return divided by the downside deviation of 0.56 in the last 5 years of US sectors mean reversion, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.92)
• Looking at excess return divided by the downside deviation in of 0.26 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.97).

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 Ulcer Index over 5 years of US sectors mean reversion is 9.6 , which is higher, thus worse compared to the benchmark SPY (8.45 ) in the same period.
• Looking at Ulcer Ratio in of 8.58 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (3.5 ).

MaxDD:

'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.'

• The maximum reduction from previous high over 5 years of US sectors mean reversion is -26.1 days, which is smaller, thus worse compared to the benchmark SPY (-24.5 days) in the same period.
• During the last 3 years, the maximum drop from peak to valley 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 under water of 266 days of US sectors mean reversion is smaller, thus better.
• During the last 3 years, the maximum time in days below previous high water mark is 265 days, which is greater, thus worse than the value of 87 days from the benchmark.

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.'

• Looking at the average time in days below previous high water mark of 90 days in the last 5 years of US sectors mean reversion, we see it is relatively smaller, thus better in comparison to the benchmark SPY (119 days)
• During the last 3 years, the average time in days below previous high water mark is 94 days, which is larger, thus worse than the value of 20 days from the benchmark.