Description

A sub-strategy for the U.S. Sector strategy. It looks at momentum using a short lookback period to respond faster to changes in the market.

Methodology & Assets

See the main US Sector strategy for a detailed asset description.

Statistics (YTD)

What do these metrics mean? [Read More] [Hide]

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.'

Using this definition on our asset we see for example:
  • Looking at the total return, or performance of 64.8% in the last 5 years of US sectors short lookback, we see it is relatively lower, thus worse in comparison to the benchmark SPY (106.8%)
  • During the last 3 years, the total return, or increase in value is 44.9%, 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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (15.7%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 10.5% of US sectors short lookback is lower, thus worse.
  • Compared with SPY (19.8%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 13.2% is lower, thus worse.

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (18.9%) in the period of the last 5 years, the 30 days standard deviation of 16.8% of US sectors short lookback is lower, thus better.
  • During the last 3 years, the 30 days standard deviation is 18.9%, which is lower, thus better than the value of 21.9% 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.'

Applying this definition to our asset in some examples:
  • The downside volatility over 5 years of US sectors short lookback is 12%, which is lower, thus better compared to the benchmark SPY (13.8%) in the same period.
  • Looking at downside deviation in of 13.2% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (15.9%).

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.'

Using this definition on our asset we see for example:
  • Looking at the risk / return profile (Sharpe) of 0.48 in the last 5 years of US sectors short lookback, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.69)
  • Compared with SPY (0.79) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.56 is lower, thus worse.

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (0.95) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.67 of US sectors short lookback is smaller, thus worse.
  • During the last 3 years, the excess return divided by the downside deviation is 0.81, which is lower, thus worse than the value of 1.09 from the benchmark.

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.'

Applying this definition to our asset in some examples:
  • The Downside risk index over 5 years of US sectors short lookback is 5.48 , which is lower, thus better compared to the benchmark SPY (5.61 ) in the same period.
  • During the last 3 years, the Ulcer Index is 5.44 , which is lower, thus better than the value of 6.08 from the benchmark.

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum reduction from previous high of -26.1 days of US sectors short lookback is larger, thus better.
  • Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum reduction from previous high of -26.1 days is greater, thus better.

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.'

Using this definition on our asset we see for example:
  • The maximum days under water over 5 years of US sectors short lookback is 143 days, which is higher, thus worse compared to the benchmark SPY (139 days) in the same period.
  • During the last 3 years, the maximum days under water is 140 days, which is greater, thus worse than the value of 119 days from the benchmark.

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.'

Which means for our asset as example:
  • The average days under water over 5 years of US sectors short lookback is 46 days, which is higher, thus worse compared to the benchmark SPY (32 days) in the same period.
  • Compared with SPY (22 days) in the period of the last 3 years, the average time in days below previous high water mark of 38 days is greater, thus worse.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations ()

Allocations

Returns (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of US sectors short lookback are hypothetical, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.