US Market 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 of 78% in the last 5 years of US Market Strategy, we see it is relatively larger, thus better in comparison to the benchmark DIA (57.9%)
• Looking at total return, or performance in of 59.7% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to DIA (52.9%).

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.'

• Looking at the annual return (CAGR) of 12.3% in the last 5 years of US Market Strategy, we see it is relatively higher, thus better in comparison to the benchmark DIA (9.6%)
• During the last 3 years, the annual performance (CAGR) is 17%, which is higher, thus better than the value of 15.3% 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.'

• Looking at the volatility of 8% in the last 5 years of US Market Strategy, we see it is relatively lower, thus better in comparison to the benchmark DIA (14.8%)
• Looking at 30 days standard deviation in of 8.4% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to DIA (13.5%).

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 5.6% in the last 5 years of US Market Strategy, we see it is relatively lower, thus better in comparison to the benchmark DIA (10.2%)
• Looking at downside deviation in of 5.8% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to DIA (8.9%).

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.'

• Looking at the Sharpe Ratio of 1.22 in the last 5 years of US Market Strategy, we see it is relatively greater, thus better in comparison to the benchmark DIA (0.48)
• During the last 3 years, the ratio of return and volatility (Sharpe) is 1.72, which is larger, thus better than the value of 0.94 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 ratio of annual return and downside deviation of 1.76 in the last 5 years of US Market Strategy, we see it is relatively greater, thus better in comparison to the benchmark DIA (0.7)
• During the last 3 years, the ratio of annual return and downside deviation is 2.48, which is greater, thus better than the value of 1.43 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.'

• Looking at the Ulcer Ratio of 2.58 in the last 5 years of US Market Strategy, we see it is relatively smaller, thus better in comparison to the benchmark DIA (6.01 )
• During the last 3 years, the Ulcer Ratio is 1.68 , which is smaller, thus better than the value of 3.54 from the benchmark.

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

• Looking at the maximum DrawDown of -9.2 days in the last 5 years of US Market Strategy, we see it is relatively greater, thus better in comparison to the benchmark DIA (-20.8 days)
• Looking at maximum drop from peak to valley in of -6.8 days in the period of the last 3 years, we see it is relatively greater, thus better in comparison to DIA (-16 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 time in days below previous high water mark over 5 years of US Market Strategy is 261 days, which is lower, thus better compared to the benchmark DIA (477 days) in the same period.
• During the last 3 years, the maximum days under water is 77 days, which is lower, thus better than the value of 142 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.'

• The average days below previous high over 5 years of US Market Strategy is 47 days, which is smaller, thus better compared to the benchmark DIA (115 days) in the same period.
• Looking at average days below previous high in of 16 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to DIA (28 days).