US sectors mean reversion

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.'

• Compared with the benchmark SPY (106.8%) in the period of the last 5 years, the total return of 53.6% of US sectors mean reversion is lower, thus worse.
• During the last 3 years, the total return, or performance is 14.7%, which is lower, thus worse than the value of 71.9% from the benchmark.

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.'

• The compounded annual growth rate (CAGR) over 5 years of US sectors mean reversion is 9%, which is smaller, thus worse compared to the benchmark SPY (15.7%) in the same period.
• Looking at annual performance (CAGR) in of 4.7% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (19.8%).

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.'

• The 30 days standard deviation over 5 years of US sectors mean reversion is 21.7%, which is larger, thus worse compared to the benchmark SPY (18.9%) in the same period.
• Compared with SPY (21.9%) in the period of the last 3 years, the volatility of 25.4% is higher, thus worse.

DownVol:

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

• Looking at the downside risk of 15.6% in the last 5 years of US sectors mean reversion, we see it is relatively larger, thus worse in comparison to the benchmark SPY (13.8%)
• Looking at downside volatility in of 18.3% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (15.9%).

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.'

• Looking at the risk / return profile (Sharpe) of 0.3 in the last 5 years of US sectors mean reversion, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.69)
• Looking at risk / return profile (Sharpe) in of 0.09 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.79).

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 excess return divided by the downside deviation over 5 years of US sectors mean reversion is 0.41, which is smaller, thus worse compared to the benchmark SPY (0.95) in the same period.
• Looking at downside risk / excess return profile in of 0.12 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.09).

Ulcer:

'The Ulcer Index is a technical indicator that measures downside risk, in terms of both the depth and duration of price declines. The index increases in value as the price moves farther away from a recent high and falls as the price rises to new highs. The indicator is usually calculated over a 14-day period, with the Ulcer Index showing the percentage drawdown a trader can expect from the high over that period. The greater the value of the Ulcer Index, the longer it takes for a stock to get back to the former high.'

• Compared with the benchmark SPY (5.61 ) in the period of the last 5 years, the Ulcer Ratio of 7.51 of US sectors mean reversion is larger, thus worse.
• Compared with SPY (6.08 ) in the period of the last 3 years, the Ulcer Ratio of 9.23 is larger, thus worse.

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

• The maximum drop from peak to valley over 5 years of US sectors mean reversion is -29.2 days, which is larger, thus better compared to the benchmark SPY (-33.7 days) in the same period.
• Looking at maximum reduction from previous high in of -29.2 days in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (-33.7 days).

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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

• Looking at the maximum time in days below previous high water mark of 187 days in the last 5 years of US sectors mean reversion, we see it is relatively larger, thus worse in comparison to the benchmark SPY (139 days)
• Looking at maximum time in days below previous high water mark in of 187 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (119 days).

AveDuration:

'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.'

• Looking at the average time in days below previous high water mark of 52 days in the last 5 years of US sectors mean reversion, we see it is relatively larger, thus worse in comparison to the benchmark SPY (32 days)
• Looking at average time in days below previous high water mark in of 67 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (22 days).