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.

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (57.1%) in the period of the last 5 years, the total return, or increase in value of 129.7% of US sectors worst US sectors is larger, thus better.
- Compared with SPY (32%) in the period of the last 3 years, the total return, or performance of 17.7% is smaller, thus worse.

'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.'

Applying this definition to our asset in some examples:- The annual return (CAGR) over 5 years of US sectors worst US sectors is 18.1%, which is greater, thus better compared to the benchmark SPY (9.5%) in the same period.
- Looking at annual performance (CAGR) in of 5.6% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (9.7%).

'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.'

Using this definition on our asset we see for example:- The volatility over 5 years of US sectors worst US sectors is 19.6%, which is lower, thus better compared to the benchmark SPY (21.5%) in the same period.
- Compared with SPY (17.9%) in the period of the last 3 years, the historical 30 days volatility of 15.6% is lower, thus better.

'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.'

Applying this definition to our asset in some examples:- Looking at the downside risk of 13.2% 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 (15.5%)
- During the last 3 years, the downside risk is 10.8%, which is smaller, thus better than the value of 12.5% from the benchmark.

'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:- The ratio of return and volatility (Sharpe) over 5 years of US sectors worst US sectors is 0.8, which is greater, thus better compared to the benchmark SPY (0.32) in the same period.
- Looking at Sharpe Ratio in of 0.2 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.41).

'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.'

Using this definition on our asset we see for example:- The downside risk / excess return profile over 5 years of US sectors worst US sectors is 1.19, which is larger, thus better compared to the benchmark SPY (0.45) in the same period.
- Compared with SPY (0.58) in the period of the last 3 years, the downside risk / excess return profile of 0.29 is smaller, thus worse.

'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:- Compared with the benchmark SPY (9.57 ) in the period of the last 5 years, the Ulcer Index of 7.02 of US sectors worst US sectors is lower, thus better.
- Compared with SPY (10 ) in the period of the last 3 years, the Downside risk index of 7.99 is lower, 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.'

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 DrawDown of -27.1 days of US sectors worst US sectors is larger, thus better.
- Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum reduction from previous high of -20.5 days is greater, 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) in days.'

Which means for our asset as example:- Looking at the maximum time in days below previous high water mark of 372 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 (439 days)
- Looking at maximum days under water in of 372 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (439 days).

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (106 days) in the period of the last 5 years, the average days below previous high of 77 days of US sectors worst US sectors is lower, thus better.
- During the last 3 years, the average time in days below previous high water mark is 110 days, which is lower, thus better than the value of 149 days from the benchmark.

Historical returns have been extended using synthetic data.
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- Note that yearly returns do not equal 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.