Global Market Rotation Strategy

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

• Looking at the total return, or performance of 100.1% in the last 5 years of Global Market Rotation Strategy, we see it is relatively higher, thus better in comparison to the benchmark ACWI (58.7%)
• During the last 3 years, the total return, or performance is 25.7%, which is larger, thus better than the value of 13.6% from the benchmark.

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

• Compared with the benchmark ACWI (9.7%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 14.9% of Global Market Rotation Strategy is greater, thus better.
• Looking at annual return (CAGR) in of 7.9% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to ACWI (4.3%).

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.'

• The volatility over 5 years of Global Market Rotation Strategy is 9.6%, which is smaller, thus better compared to the benchmark ACWI (20%) in the same period.
• Compared with ACWI (16.3%) in the period of the last 3 years, the 30 days standard deviation of 7.9% is lower, thus better.

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.'

• Compared with the benchmark ACWI (14.5%) in the period of the last 5 years, the downside deviation of 6.7% of Global Market Rotation Strategy is lower, thus better.
• Compared with ACWI (11.4%) in the period of the last 3 years, the downside volatility of 5.4% 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.'

• The ratio of return and volatility (Sharpe) over 5 years of Global Market Rotation Strategy is 1.28, which is larger, thus better compared to the benchmark ACWI (0.36) in the same period.
• Compared with ACWI (0.11) in the period of the last 3 years, the Sharpe Ratio of 0.69 is higher, thus better.

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

• The downside risk / excess return profile over 5 years of Global Market Rotation Strategy is 1.84, which is larger, thus better compared to the benchmark ACWI (0.5) in the same period.
• During the last 3 years, the excess return divided by the downside deviation is 1, which is higher, thus better than the value of 0.16 from the benchmark.

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.'

• Looking at the Ulcer Index of 3.26 in the last 5 years of Global Market Rotation Strategy, we see it is relatively lower, thus better in comparison to the benchmark ACWI (9.95 )
• Looking at Downside risk index in of 3.55 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to ACWI (11 ).

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

• Compared with the benchmark ACWI (-33.5 days) in the period of the last 5 years, the maximum drop from peak to valley of -14.4 days of Global Market Rotation Strategy is higher, thus better.
• During the last 3 years, the maximum drop from peak to valley is -10.4 days, which is larger, 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.'

• Compared with the benchmark ACWI (516 days) in the period of the last 5 years, the maximum days below previous high of 281 days of Global Market Rotation Strategy is lower, thus better.
• Looking at maximum days under water in of 281 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to ACWI (516 days).

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.'

• The average days under water over 5 years of Global Market Rotation Strategy is 55 days, which is smaller, 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 days under water of 75 days is lower, thus better.