US Market 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.'

• Looking at the total return, or performance of 124% in the last 5 years of US Market Strategy, we see it is relatively greater, thus better in comparison to the benchmark DIA (65%)
• During the last 3 years, the total return, or increase in value is 61.7%, which is higher, thus better than the value of 29.6% 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.'

• Looking at the compounded annual growth rate (CAGR) of 17.5% in the last 5 years of US Market Strategy, we see it is relatively greater, thus better in comparison to the benchmark DIA (10.5%)
• Compared with DIA (9%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 17.4% is larger, 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.'

• Compared with the benchmark DIA (20.2%) in the period of the last 5 years, the 30 days standard deviation of 8.8% of US Market Strategy is smaller, thus better.
• Compared with DIA (23.8%) in the period of the last 3 years, the historical 30 days volatility of 10.1% is smaller, thus better.

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.'

• Looking at the downside volatility of 6% in the last 5 years of US Market Strategy, we see it is relatively lower, thus better in comparison to the benchmark DIA (14.7%)
• Compared with DIA (17.5%) in the period of the last 3 years, the downside volatility of 7.1% is lower, thus better.

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 (0.4) in the period of the last 5 years, the risk / return profile (Sharpe) of 1.71 of US Market Strategy is higher, thus better.
• Compared with DIA (0.27) in the period of the last 3 years, the risk / return profile (Sharpe) of 1.48 is higher, thus better.

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 2.49, which is greater, thus better compared to the benchmark DIA (0.55) in the same period.
• Compared with DIA (0.37) in the period of the last 3 years, the excess return divided by the downside deviation of 2.11 is larger, thus better.

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.'

• Compared with the benchmark DIA (6.54 ) in the period of the last 5 years, the Ulcer Ratio of 1.81 of US Market Strategy is smaller, thus better.
• During the last 3 years, the Downside risk index is 2.13 , which is smaller, thus better than the value of 7.83 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 reduction from previous high of -15.3 days in the last 5 years of US Market Strategy, we see it is relatively larger, thus better in comparison to the benchmark DIA (-36.7 days)
• Compared with DIA (-36.7 days) in the period of the last 3 years, the maximum DrawDown of -15.3 days is larger, thus better.

MaxDuration:

'The Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• Compared with the benchmark DIA (186 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 70 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 66 days, which is lower, thus better than the value of 161 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 16 days, which is lower, thus better compared to the benchmark DIA (50 days) in the same period.
• Compared with DIA (49 days) in the period of the last 3 years, the average days under water of 16 days is lower, thus better.