A sub-strategy for the U.S. Sector strategy. It goes long the worst performing U.S. sectors assuming they may rebound.

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

'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.'

Applying this definition to our asset in some examples:- The total return, or increase in value over 5 years of US sectors worst US sectors is 163.2%, which is larger, thus better compared to the benchmark SPY (65.8%) in the same period.
- During the last 3 years, the total return, or increase in value is 69.9%, which is larger, thus better than the value of 49.4% from the benchmark.

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

Applying this definition to our asset in some examples:- The annual performance (CAGR) over 5 years of US sectors worst US sectors is 21.4%, which is greater, thus better compared to the benchmark SPY (10.6%) in the same period.
- Compared with SPY (14.3%) in the period of the last 3 years, the annual return (CAGR) of 19.4% is higher, thus better.

'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.'

Using this definition on our asset we see for example:- The historical 30 days volatility over 5 years of US sectors worst US sectors is 15.4%, which is higher, thus worse compared to the benchmark SPY (13.3%) in the same period.
- Looking at 30 days standard deviation in of 12.7% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (12.6%).

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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.'

Using this definition on our asset we see for example:- The downside volatility over 5 years of US sectors worst US sectors is 16%, which is larger, thus worse compared to the benchmark SPY (14.6%) in the same period.
- Looking at downside risk in of 13.5% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (14.3%).

'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.'

Applying this definition to our asset in some examples:- Looking at the risk / return profile (Sharpe) of 1.22 in the last 5 years of US sectors worst US sectors, we see it is relatively larger, thus better in comparison to the benchmark SPY (0.61)
- Looking at ratio of return and volatility (Sharpe) in of 1.32 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (0.94).

'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.'

Which means for our asset as example:- The excess return divided by the downside deviation over 5 years of US sectors worst US sectors is 1.18, which is larger, thus better compared to the benchmark SPY (0.56) in the same period.
- Looking at ratio of annual return and downside deviation in of 1.25 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (0.83).

'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.'

Using this definition on our asset we see for example:- The Ulcer Ratio over 5 years of US sectors worst US sectors is 3.63 , which is lower, thus better compared to the benchmark SPY (3.99 ) in the same period.
- Compared with SPY (4.05 ) in the period of the last 3 years, the Ulcer Ratio of 3.55 is smaller, thus better.

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

Which means for our asset as example:- The maximum drop from peak to valley over 5 years of US sectors worst US sectors is -14.9 days, which is larger, thus better compared to the benchmark SPY (-19.3 days) in the same period.
- Compared with SPY (-19.3 days) in the period of the last 3 years, the maximum DrawDown of -14.9 days is larger, thus better.

'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'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (187 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 129 days of US sectors worst US sectors is lower, thus better.
- During the last 3 years, the maximum days under water is 129 days, which is lower, thus better than the value of 139 days from the benchmark.

'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:- Looking at the average days under water of 26 days in the last 5 years of US sectors worst US sectors, we see it is relatively lower, thus better in comparison to the benchmark SPY (41 days)
- Looking at average time in days below previous high water mark in of 35 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (36 days).

Historical returns have been extended using synthetic data.
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- "Year" returns in the table above are not equal to the sum of monthly returns due to compounding.
- Performance results of US sectors worst US sectors 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.