US Market 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.'

• Looking at the total return of 105.9% in the last 5 years of US Market Strategy, we see it is relatively larger, thus better in comparison to the benchmark DIA (65.4%)
• During the last 3 years, the total return, or increase in value is 30.7%, which is larger, thus better than the value of 18.2% from the benchmark.

CAGR:

'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.'

• The compounded annual growth rate (CAGR) over 5 years of US Market Strategy is 15.5%, which is higher, thus better compared to the benchmark DIA (10.6%) in the same period.
• Compared with DIA (5.8%) in the period of the last 3 years, the annual performance (CAGR) of 9.4% is greater, thus better.

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.'

• Looking at the 30 days standard deviation of 9% in the last 5 years of US Market Strategy, we see it is relatively lower, thus better in comparison to the benchmark DIA (20.7%)
• Looking at historical 30 days volatility in of 7% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to DIA (14.7%).

DownVol:

'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.'

• The downside risk over 5 years of US Market Strategy is 6.2%, which is lower, thus better compared to the benchmark DIA (14.9%) in the same period.
• Looking at downside deviation in of 4.7% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to DIA (10.4%).

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.'

• Compared with the benchmark DIA (0.39) in the period of the last 5 years, the risk / return profile (Sharpe) of 1.46 of US Market Strategy is higher, thus better.
• During the last 3 years, the Sharpe Ratio is 0.97, which is higher, thus better than the value of 0.22 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 downside risk / excess return profile over 5 years of US Market Strategy is 2.09, which is greater, thus better compared to the benchmark DIA (0.54) in the same period.
• Looking at excess return divided by the downside deviation in of 1.45 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to DIA (0.31).

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 Downside risk index over 5 years of US Market Strategy is 2.74 , which is smaller, thus better compared to the benchmark DIA (7.68 ) in the same period.
• Compared with DIA (7.08 ) in the period of the last 3 years, the Downside risk index of 2.95 is lower, thus better.

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.'

• Compared with the benchmark DIA (-36.7 days) in the period of the last 5 years, the maximum reduction from previous high of -13.1 days of US Market Strategy is higher, thus better.
• Compared with DIA (-20.8 days) in the period of the last 3 years, the maximum reduction from previous high of -9.2 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.'

• Compared with the benchmark DIA (477 days) in the period of the last 5 years, the maximum days under water of 261 days of US Market Strategy is lower, thus better.
• During the last 3 years, the maximum time in days below previous high water mark is 261 days, which is smaller, thus better than the value of 477 days from the benchmark.

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.'

• Compared with the benchmark DIA (123 days) in the period of the last 5 years, the average days below previous high of 49 days of US Market Strategy is smaller, thus better.
• Looking at average days below previous high in of 68 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to DIA (168 days).