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 (57.9%) in the period of the last 5 years, the total return, or increase in value of 106% of Global Sector Rotation Strategy is greater, thus better.
• Compared with ACWI (12.8%) in the period of the last 3 years, the total return of 9.4% is smaller, thus worse.

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 Global Sector Rotation Strategy is 15.6%, which is greater, thus better compared to the benchmark ACWI (9.6%) in the same period.
• During the last 3 years, the compounded annual growth rate (CAGR) is 3%, which is lower, thus worse than the value of 4.1% 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.'

• The volatility over 5 years of Global Sector Rotation Strategy is 9.4%, which is smaller, thus better compared to the benchmark ACWI (20%) in the same period.
• During the last 3 years, the volatility is 6.2%, which is lower, thus better than the value of 16.3% from the benchmark.

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 volatility of 6.6% of Global Sector Rotation Strategy is lower, thus better.
• Compared with ACWI (11.4%) in the period of the last 3 years, the downside volatility of 4.5% is lower, thus better.

Sharpe:

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

• The risk / return profile (Sharpe) over 5 years of Global Sector Rotation Strategy is 1.39, which is greater, thus better compared to the benchmark ACWI (0.35) in the same period.
• Looking at risk / return profile (Sharpe) in of 0.09 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to ACWI (0.1).

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.'

• Compared with the benchmark ACWI (0.49) in the period of the last 5 years, the excess return divided by the downside deviation of 1.98 of Global Sector Rotation Strategy is greater, thus better.
• During the last 3 years, the excess return divided by the downside deviation is 0.12, which is lower, thus worse than the value of 0.14 from the benchmark.

Ulcer:

'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.'

• The Ulcer Index over 5 years of Global Sector Rotation Strategy is 3.63 , which is smaller, thus better compared to the benchmark ACWI (9.95 ) in the same period.
• Compared with ACWI (11 ) in the period of the last 3 years, the Ulcer Ratio of 3.91 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.'

• Looking at the maximum DrawDown 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)
• During the last 3 years, the maximum DrawDown is -9.2 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.'

• The maximum days below previous high 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.
• Compared with ACWI (516 days) in the period of the last 3 years, the maximum days below previous high of 463 days is smaller, thus better.

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 (133 days) in the period of the last 5 years, the average days below previous high of 113 days of Global Sector Rotation Strategy is lower, thus better.
• Compared with ACWI (193 days) in the period of the last 3 years, the average days under water of 163 days is lower, thus better.