US sectors short lookback

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

• Compared with the benchmark SPY (97.3%) in the period of the last 5 years, the total return, or performance of 211.1% of US sectors short lookback is higher, thus better.
• Looking at total return, or performance in of 69.9% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (40.1%).

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 annual performance (CAGR) of 25.6% in the last 5 years of US sectors short lookback, we see it is relatively higher, thus better in comparison to the benchmark SPY (14.6%)
• During the last 3 years, the annual performance (CAGR) is 19.5%, which is greater, thus better than the value of 12% from the benchmark.

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.'

• The 30 days standard deviation over 5 years of US sectors short lookback is 26.3%, which is larger, thus worse compared to the benchmark SPY (21%) in the same period.
• Looking at 30 days standard deviation in of 22.4% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (17.3%).

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 deviation over 5 years of US sectors short lookback is 18.4%, which is larger, thus worse compared to the benchmark SPY (15%) in the same period.
• Compared with SPY (12.1%) in the period of the last 3 years, the downside deviation of 15.9% is greater, thus worse.

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.'

• Looking at the ratio of return and volatility (Sharpe) of 0.88 in the last 5 years of US sectors short lookback, we see it is relatively higher, thus better in comparison to the benchmark SPY (0.58)
• Compared with SPY (0.55) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.76 is larger, 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.'

• Looking at the downside risk / excess return profile of 1.25 in the last 5 years of US sectors short lookback, we see it is relatively larger, thus better in comparison to the benchmark SPY (0.8)
• During the last 3 years, the downside risk / excess return profile is 1.06, which is higher, thus better than the value of 0.78 from the benchmark.

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.'

• The Downside risk index over 5 years of US sectors short lookback is 10 , which is higher, thus worse compared to the benchmark SPY (9.33 ) in the same period.
• Compared with SPY (8.64 ) in the period of the last 3 years, the Ulcer Ratio of 11 is higher, thus worse.

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.'

• Looking at the maximum reduction from previous high of -37.3 days in the last 5 years of US sectors short lookback, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-33.7 days)
• During the last 3 years, the maximum DrawDown is -26.3 days, which is lower, thus worse than the value of -22.1 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.'

• Looking at the maximum days under water of 254 days in the last 5 years of US sectors short lookback, we see it is relatively lower, thus better in comparison to the benchmark SPY (488 days)
• Looking at maximum days under water in of 254 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (325 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 short lookback is 52 days, which is lower, thus better compared to the benchmark SPY (122 days) in the same period.
• Compared with SPY (89 days) in the period of the last 3 years, the average days below previous high of 66 days is lower, thus better.