Global Sector Rotation Strategy

TotalReturn:

'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.'

• Compared with the benchmark ACWI (65.2%) in the period of the last 5 years, the total return, or increase in value of 107.5% of Global Sector Rotation Strategy is larger, thus better.
• Looking at total return, or performance in of 8.1% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to ACWI (14.8%).

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.'

• Compared with the benchmark ACWI (10.6%) in the period of the last 5 years, the annual return (CAGR) of 15.7% of Global Sector Rotation Strategy is greater, thus better.
• During the last 3 years, the compounded annual growth rate (CAGR) is 2.6%, which is lower, thus worse than the value of 4.7% from the benchmark.

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.'

• Compared with the benchmark ACWI (20%) in the period of the last 5 years, the 30 days standard deviation of 9.4% of Global Sector Rotation Strategy is smaller, thus better.
• Looking at historical 30 days volatility in of 6.2% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to ACWI (16.4%).

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• Looking at the downside deviation of 6.6% in the last 5 years of Global Sector Rotation Strategy, we see it is relatively lower, thus better in comparison to the benchmark ACWI (14.5%)
• During the last 3 years, the downside risk is 4.5%, which is lower, thus better than the value of 11.4% from the benchmark.

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 (0.4) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 1.41 of Global Sector Rotation Strategy is larger, thus better.
• During the last 3 years, the risk / return profile (Sharpe) is 0.02, which is smaller, thus worse than the value of 0.14 from the benchmark.

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.'

• Looking at the excess return divided by the downside deviation of 2 in the last 5 years of Global Sector Rotation Strategy, we see it is relatively greater, thus better in comparison to the benchmark ACWI (0.56)
• Compared with ACWI (0.2) in the period of the last 3 years, the downside risk / excess return profile of 0.03 is lower, thus worse.

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.'

• The Ulcer Ratio over 5 years of Global Sector Rotation Strategy is 3.63 , which is lower, thus better compared to the benchmark ACWI (9.94 ) in the same period.
• Looking at Ulcer Index in of 3.92 in the period of the last 3 years, we see it is relatively smaller, 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.'

• Looking at the maximum drop from peak to valley of -16.8 days in the last 5 years of Global Sector Rotation Strategy, we see it is relatively higher, thus better in comparison to the benchmark ACWI (-33.5 days)
• Looking at maximum drop from peak to valley in of -9.2 days in the period of the last 3 years, we see it is relatively higher, thus better in comparison to ACWI (-26.4 days).

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). 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'

• The maximum days under water over 5 years of Global Sector Rotation Strategy is 463 days, which is lower, thus better compared to the benchmark ACWI (516 days) in the same period.
• Looking at maximum days below previous high in of 463 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to ACWI (516 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 days under water over 5 years of Global Sector Rotation Strategy is 113 days, which is lower, thus better compared to the benchmark ACWI (133 days) in the same period.
• Compared with ACWI (193 days) in the period of the last 3 years, the average time in days below previous high water mark of 162 days is lower, thus better.