Global Market Rotation Strategy

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 ACWI (62.3%) in the period of the last 5 years, the total return, or performance of 101.3% of Global Market Rotation Strategy is greater, thus better.
• Compared with ACWI (15.8%) in the period of the last 3 years, the total return, or performance of 24.9% 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.'

• Looking at the compounded annual growth rate (CAGR) of 15% in the last 5 years of Global Market Rotation Strategy, we see it is relatively higher, thus better in comparison to the benchmark ACWI (10.2%)
• Looking at compounded annual growth rate (CAGR) in of 7.7% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to ACWI (5%).

Volatility:

'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.'

• Compared with the benchmark ACWI (20%) in the period of the last 5 years, the historical 30 days volatility of 9.7% of Global Market Rotation Strategy is smaller, thus better.
• Looking at volatility in of 7.9% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to ACWI (16.4%).

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.'

• Compared with the benchmark ACWI (14.5%) in the period of the last 5 years, the downside deviation of 6.8% of Global Market Rotation Strategy is lower, thus better.
• Compared with ACWI (11.4%) in the period of the last 3 years, the downside risk of 5.5% is lower, thus better.

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• Compared with the benchmark ACWI (0.38) in the period of the last 5 years, the Sharpe Ratio of 1.3 of Global Market Rotation Strategy is greater, thus better.
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.66, which is larger, thus better than the value of 0.15 from the benchmark.

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.'

• The ratio of annual return and downside deviation over 5 years of Global Market Rotation Strategy is 1.85, which is greater, thus better compared to the benchmark ACWI (0.53) in the same period.
• During the last 3 years, the downside risk / excess return profile is 0.95, which is greater, thus better than the value of 0.22 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 Ulcer Ratio over 5 years of Global Market Rotation Strategy is 3.26 , which is lower, thus better compared to the benchmark ACWI (9.94 ) in the same period.
• Looking at Ulcer Ratio in of 3.56 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to ACWI (11 ).

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.'

• The maximum DrawDown over 5 years of Global Market Rotation Strategy is -14.4 days, which is larger, thus better compared to the benchmark ACWI (-33.5 days) in the same period.
• During the last 3 years, the maximum DrawDown is -10.4 days, which is greater, thus better than the value of -26.4 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.'

• The maximum days below previous high over 5 years of Global Market Rotation Strategy is 281 days, which is lower, thus better compared to the benchmark ACWI (516 days) in the same period.
• During the last 3 years, the maximum time in days below previous high water mark is 281 days, which is lower, thus better than the value of 516 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.'

• Compared with the benchmark ACWI (132 days) in the period of the last 5 years, the average days under water of 55 days of Global Market Rotation Strategy is lower, thus better.
• Compared with ACWI (193 days) in the period of the last 3 years, the average time in days below previous high water mark of 75 days is lower, thus better.