US sectors short lookback

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, or performance of 183.1% in the last 5 years of US sectors short lookback, we see it is relatively greater, thus better in comparison to the benchmark SPY (60.6%)
• Compared with SPY (38%) in the period of the last 3 years, the total return, or increase in value of 163.3% is greater, thus better.

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 (10%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 23.2% of US sectors short lookback is higher, thus better.
• Compared with SPY (11.3%) in the period of the last 3 years, the annual return (CAGR) of 38.1% is larger, thus better.

Volatility:

'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.'

• Looking at the 30 days standard deviation of 26.2% in the last 5 years of US sectors short lookback, we see it is relatively higher, thus worse in comparison to the benchmark SPY (21.5%)
• During the last 3 years, the volatility is 24.4%, which is higher, thus worse than the value of 17.9% from the benchmark.

DownVol:

'Risk measures typically quantify the downside risk, whereas the standard deviation (an example of a deviation risk measure) measures both the upside and downside risk. Specifically, downside risk in our definition is the semi-deviation, that is the standard deviation of all negative returns.'

• The downside risk over 5 years of US sectors short lookback is 18.4%, which is larger, thus worse compared to the benchmark SPY (15.5%) in the same period.
• Looking at downside deviation in of 16.8% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (12.5%).

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.'

• Compared with the benchmark SPY (0.35) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.79 of US sectors short lookback is larger, thus better.
• Looking at ratio of return and volatility (Sharpe) in of 1.46 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (0.49).

Sortino:

'The Sortino ratio improves upon the Sharpe ratio by isolating downside volatility from total volatility by dividing excess return by the downside deviation. The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative asset returns, called downside deviation. The Sortino ratio takes the asset's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. The ratio was named after Frank A. Sortino.'

• The ratio of annual return and downside deviation over 5 years of US sectors short lookback is 1.12, which is larger, thus better compared to the benchmark SPY (0.48) in the same period.
• Looking at excess return divided by the downside deviation in of 2.12 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (0.71).

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.'

• Compared with the benchmark SPY (9.55 ) in the period of the last 5 years, the Ulcer Index of 10 of US sectors short lookback is higher, thus worse.
• Looking at Ulcer Ratio in of 11 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (10 ).

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 short lookback is -37.3 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 -26.3 days, which is lower, thus worse than the value of -24.5 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 (431 days) in the period of the last 5 years, the maximum days under water of 254 days of US sectors short lookback is lower, thus better.
• Looking at maximum days under water in of 254 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (431 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 days under water over 5 years of US sectors short lookback is 57 days, which is lower, thus better compared to the benchmark SPY (105 days) in the same period.
• During the last 3 years, the average days below previous high is 57 days, which is smaller, thus better than the value of 144 days from the benchmark.